Details about Serena Ng
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Working Papers
2023
- Approximate Factor Models with Weaker Loadings
Papers, arXiv.org View citations (15)
2022
- Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
Papers, arXiv.org View citations (1)
- Least Squares Estimation Using Sketched Data with Heteroskedastic Errors
Papers, arXiv.org View citations (5)
- Time Series Estimation of the Dynamic Effects of Disaster-Type Shock
Papers, arXiv.org View citations (10)
2021
- Estimation and Inference by Stochastic Optimization: Three Examples
Papers, arXiv.org View citations (2)
See also Journal Article Estimation and Inference by Stochastic Optimization: Three Examples, AEA Papers and Proceedings, American Economic Association (2021) View citations (2) (2021)
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
Papers, arXiv.org View citations (41)
See also Journal Article Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Journal of the American Statistical Association, Taylor & Francis Journals (2021) View citations (35) (2021)
- Modeling Macroeconomic Variations After COVID-19
Papers, arXiv.org View citations (39)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (38)
2020
- An Econometric Perspective on Algorithmic Subsampling
Papers, arXiv.org View citations (8)
Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2020) View citations (6)
See also Journal Article An Econometric Perspective on Algorithmic Subsampling, Annual Review of Economics, Annual Reviews (2020) View citations (7) (2020)
- COVID-19 and The Macroeconomic Effects of Costly Disasters
NBER Working Papers, National Bureau of Economic Research, Inc View citations (74)
- FRED-QD: A Quarterly Database for Macroeconomic Research
NBER Working Papers, National Bureau of Economic Research, Inc View citations (75)
Also in Working Papers, Federal Reserve Bank of St. Louis (2020) View citations (47)
See also Journal Article FRED-QD: A Quarterly Database for Macroeconomic Research, Review, Federal Reserve Bank of St. Louis (2021) View citations (13) (2021)
- Inference by Stochastic Optimization: A Free-Lunch Bootstrap
Papers, arXiv.org View citations (2)
- Latent Dirichlet Analysis of Categorical Survey Expectations
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
- Latent Dirichlet Analysis of Categorical Survey Responses
Papers, arXiv.org View citations (2)
See also Journal Article Latent Dirichlet Analysis of Categorical Survey Responses, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) View citations (5) (2022)
- Simpler Proofs for Approximate Factor Models of Large Dimensions
Papers, arXiv.org View citations (6)
2019
- A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
See also Chapter A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data, NBER Chapters, National Bureau of Economic Research, Inc (2019) View citations (4) (2019)
- Boosting High Dimensional Predictive Regressions with Time Varying Parameters
Papers, arXiv.org View citations (5)
See also Journal Article Boosting high dimensional predictive regressions with time varying parameters, Journal of Econometrics, Elsevier (2021) View citations (11) (2021)
2017
- Level and Volatility Factors in Macroeconomic Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (33)
See also Journal Article Level and volatility factors in macroeconomic data, Journal of Monetary Economics, Elsevier (2017) View citations (32) (2017)
- Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data
NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
- Principal Components and Regularized Estimation of Factor Models
Papers, arXiv.org View citations (14)
- Shock Restricted Structural Vector-Autoregressions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
- The ABC of Simulation Estimation with Auxiliary Statistics
Papers, arXiv.org View citations (2)
See also Journal Article The ABC of simulation estimation with auxiliary statistics, Journal of Econometrics, Elsevier (2018) View citations (16) (2018)
2015
- FRED-MD: A Monthly Database for Macroeconomic Research
Working Papers, Federal Reserve Bank of St. Louis View citations (51)
See also Journal Article FRED-MD: A Monthly Database for Macroeconomic Research, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (423) (2016)
- Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (166)
See also Journal Article Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?, American Economic Journal: Macroeconomics, American Economic Association (2021) View citations (244) (2021)
2014
- Minimum Distance Estimation of Dynamic Models with Errors-In-Variables
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (3)
2013
- Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
NBER Working Papers, National Bureau of Economic Research, Inc View citations (206)
See also Journal Article Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling, Journal of Economic Literature, American Economic Association (2013) View citations (205) (2013)
- Measuring Uncertainty
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
See also Journal Article Measuring Uncertainty, American Economic Review, American Economic Association (2015) View citations (1371) (2015)
- Minimum distance estimation of possibly non-invertible moving average models
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (1)
See also Journal Article Minimum Distance Estimation of Possibly Noninvertible Moving Average Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (11) (2015)
2011
- Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES, Econometric Theory, Cambridge University Press (2012) View citations (6) (2012)
2009
- A Factor Analysis of Bond Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
- Dynamic hierarchical factor models
Staff Reports, Federal Reserve Bank of New York View citations (20)
See also Journal Article Dynamic Hierarchical Factor Model, The Review of Economics and Statistics, MIT Press (2013) View citations (7) (2013)
- Estimation of DSGE Models When the Data are Persistent
NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
See also Journal Article Estimation of DSGE models when the data are persistent, Journal of Monetary Economics, Elsevier (2010) View citations (60) (2010)
2007
- Panel Cointegration with Global Stochastic Trends
Center for Policy Research Working Papers, Center for Policy Research, Maxwell School, Syracuse University View citations (6)
See also Journal Article Panel cointegration with global stochastic trends, Journal of Econometrics, Elsevier (2009) View citations (226) (2009)
2006
- The Empirical Risk-Return Relation: a factor analysis approach
2006 Meeting Papers, Society for Economic Dynamics View citations (2)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (13)
See also Journal Article The empirical risk-return relation: A factor analysis approach, Journal of Financial Economics, Elsevier (2007) View citations (289) (2007)
2005
- Macro Factors in Bond Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
See also Journal Article Macro Factors in Bond Risk Premia, The Review of Financial Studies, Society for Financial Studies (2009) View citations (563) (2009)
- Understanding and Comparing Factor-Based Forecasts
MPRA Paper, University Library of Munich, Germany View citations (225)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (226)
See also Journal Article Understanding and Comparing Factor-Based Forecasts, International Journal of Central Banking, International Journal of Central Banking (2005) View citations (224) (2005)
2004
- Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
Econometrics, University Library of Munich, Germany View citations (7)
- Evaluating Latent and Observed Factors in Macroeconomics and Financ
Econometrics, University Library of Munich, Germany View citations (4)
See also Journal Article Evaluating latent and observed factors in macroeconomics and finance, Journal of Econometrics, Elsevier (2006) View citations (120) (2006)
2003
- Are More Data Always Better for Factor Analysis?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (62)
See also Journal Article Are more data always better for factor analysis?, Journal of Econometrics, Elsevier (2006) View citations (623) (2006)
- Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data
Computing in Economics and Finance 2003, Society for Computational Economics
2002
- Demand Systems With Nonstationary Prices
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
See also Journal Article Demand Systems with Nonstationary Prices, The Review of Economics and Statistics, MIT Press (2005) View citations (31) (2005)
- PPP May not Hold Afterall: A Further Investigation
CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics View citations (15)
Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (9)
See also Journal Article PPP May not Hold Afterall: A Further Investigation, Annals of Economics and Finance, Society for AEF (2002) View citations (11) (2002)
2001
- A New Look at Panel Testing of Stationarity and the PPP Hypothesis
Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (10)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2001) View citations (10)
- A Note on the Selection of Time Series Models
Boston College Working Papers in Economics, Boston College Department of Economics View citations (6)
See also Journal Article A Note on the Selection of Time Series Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (41) (2005)
- A PANIC Attack on Unit Roots and Cointegration
Boston College Working Papers in Economics, Boston College Department of Economics View citations (23)
Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2001) View citations (25)
See also Journal Article A PANIC Attack on Unit Roots and Cointegration, Econometrica, Econometric Society (2004) View citations (991) (2004)
- Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?
Economics Working Paper Archive, The Johns Hopkins University,Department of Economics
See also Journal Article Can sticky prices account for the variations and persistence in real exchange rates?, Journal of International Money and Finance, Elsevier (2003) View citations (11) (2003)
- Tests for Skewness, Kurtosis, and Normality for Time Series Data
Boston College Working Papers in Economics, Boston College Department of Economics View citations (7)
See also Journal Article Tests for Skewness, Kurtosis, and Normality for Time Series Data, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (186) (2005)
2000
- Determining the Number of Factors in Approximate Factor Models
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (33)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000) View citations (28)
See also Journal Article Determining the Number of Factors in Approximate Factor Models, Econometrica, Econometric Society (2002) View citations (2569) (2002)
- Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (70)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997) View citations (14)
See also Journal Article Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators, Journal of Econometrics, Elsevier (2000) View citations (72) (2000)
- Forecasting Autoregressive Time Series in the Presence of Deterministic Components
Working Papers, Cornell University, Center for Analytic Economics 
See also Journal Article Forecasting autoregressive time series in the presence of deterministic components, Econometrics Journal, Royal Economic Society (2002) View citations (6) (2002)
- How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (9)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (1997)  Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2000) View citations (9)
- Intergenerational Linkages in Consumption Behavior
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (13)
Also in Boston College Working Papers in Economics, Boston College Department of Economics (2000) View citations (5)
See also Journal Article Intergenerational Linkages in Consumption Behavior, Journal of Human Resources, University of Wisconsin Press (2004) View citations (48) (2004)
- Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
Boston College Working Papers in Economics, Boston College Department of Economics View citations (45)
See also Journal Article LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power, Econometrica, Econometric Society (2001) View citations (2482) (2001)
1999
- Forecasting Dynamic Time Series in the Presence of Deterministic Components
Boston College Working Papers in Economics, Boston College Department of Economics
1998
- A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure
Boston College Working Papers in Economics, Boston College Department of Economics View citations (16)
Also in CIRANO Working Papers, CIRANO (1997) View citations (1)
See also Journal Article A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure, The Review of Economics and Statistics, MIT Press (1998) View citations (15) (1998)
- A Test for Conditional Symmetry in Time Series Models
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
- Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean
Boston College Working Papers in Economics, Boston College Department of Economics 
See also Journal Article Testing for ARCH in the presence of a possibly misspecified conditional mean, Journal of Econometrics, Elsevier (1999) View citations (47) (1999)
1997
- Accounting for Trends in the Almost Ideal Demand System
Boston College Working Papers in Economics, Boston College Department of Economics View citations (2)
- Analysis of Vector Autoregressions in the Presence of Shifts in Mean
Boston College Working Papers in Economics, Boston College Department of Economics View citations (4)
See also Journal Article ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN, Econometric Reviews, Taylor & Francis Journals (2002) View citations (16) (2002)
- Explaining the Persistence of Commodity Prices
Boston College Working Papers in Economics, Boston College Department of Economics View citations (5)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1997) View citations (5)
See also Journal Article Explaining the Persistence of Commodity Prices, Computational Economics, Springer (2000) View citations (25) (2000)
- Parametric and non-parametric approaches to price and tax reform
Boston College Working Papers in Economics, Boston College Department of Economics View citations (1)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (2) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (2) NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (2)
1996
- A Semi-Parametric Factor Model for Interest Rates
CIRANO Working Papers, CIRANO View citations (3)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (3) Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (2)
- A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (6)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (7) DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de EstadÃstica (1996) View citations (6)
See also Journal Article A systematic framework for analyzing the dynamic effects of permanent and transitory shocks, Journal of Economic Dynamics and Control, Elsevier (2001) View citations (137) (2001)
- An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (7)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (7)
See also Journal Article AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS, Econometric Theory, Cambridge University Press (1998) View citations (40) (1998)
- The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
Carleton Economic Papers, Carleton University, Department of Economics View citations (15)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (4) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (9)
See also Journal Article The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information, The Review of Economics and Statistics, MIT Press (1996) View citations (14) (1996)
1995
- Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (5)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (6)
See also Journal Article Estimation and inference in nearly unbalanced nearly cointegrated systems, Journal of Econometrics, Elsevier (1997) View citations (43) (1997)
- Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
CIRANO Working Papers, CIRANO View citations (8)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (3) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (6)
See also Journal Article Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation, Journal of Money, Credit and Banking, Blackwell Publishing (1997) View citations (60) (1997)
- Looking for Evidence of Speculative Stockholding in Commodity Markets
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (4)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (5)
See also Journal Article Looking for evidence of speculative stockholding in commodity markets, Journal of Economic Dynamics and Control, Elsevier (1996) View citations (20) (1996)
- Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (6)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (6)
- Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (48)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (48)
See also Journal Article Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1995) View citations (42) (1995)
- The Exact Error in Estimating the Special Density at the Origin
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations (1)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (1)
See also Journal Article THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN, Journal of Time Series Analysis, Wiley Blackwell (1996) View citations (9) (1996)
1994
- Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (118)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (13)
- Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (8)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1994) View citations (17)
See also Journal Article Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties, The Review of Economic Studies, Review of Economic Studies Ltd (1996) View citations (404) (1996)
1991
- Adjustment Costs and Factor Demands in Canadian Manufacturing Industries
Cahiers de recherche, Université Laval - Département d'économique View citations (1)
Also in Working Papers, Laval - Recherche en Energie (1991)
Journal Articles
2022
- Latent Dirichlet Analysis of Categorical Survey Responses
Journal of Business & Economic Statistics, 2022, 40, (1), 256-271 View citations (5)
See also Working Paper Latent Dirichlet Analysis of Categorical Survey Responses, Papers (2020) View citations (2) (2020)
2021
- Boosting high dimensional predictive regressions with time varying parameters
Journal of Econometrics, 2021, 224, (1), 60-87 View citations (11)
See also Working Paper Boosting High Dimensional Predictive Regressions with Time Varying Parameters, Papers (2019) View citations (5) (2019)
- COVID-19 and the Costs of Deadly Disasters
AEA Papers and Proceedings, 2021, 111, 366-70 View citations (9)
- Estimation and Inference by Stochastic Optimization: Three Examples
AEA Papers and Proceedings, 2021, 111, 626-30 View citations (2)
See also Working Paper Estimation and Inference by Stochastic Optimization: Three Examples, Papers (2021) View citations (2) (2021)
- FRED-QD: A Quarterly Database for Macroeconomic Research
Review, 2021, 103, (1), 1-44 View citations (13)
See also Working Paper FRED-QD: A Quarterly Database for Macroeconomic Research, NBER Working Papers (2020) View citations (75) (2020)
- Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
Journal of the American Statistical Association, 2021, 116, (536), 1746-1763 View citations (35)
See also Working Paper Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data, Papers (2021) View citations (41) (2021)
- Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
American Economic Journal: Macroeconomics, 2021, 13, (4), 369-410 View citations (244)
See also Working Paper Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?, NBER Working Papers (2015) View citations (166) (2015)
2020
- An Econometric Perspective on Algorithmic Subsampling
Annual Review of Economics, 2020, 12, (1), 45-80 View citations (7)
See also Working Paper An Econometric Perspective on Algorithmic Subsampling, Papers (2020) View citations (8) (2020)
2019
- Rank regularized estimation of approximate factor models
Journal of Econometrics, 2019, 212, (1), 78-96 View citations (32)
2018
- The ABC of simulation estimation with auxiliary statistics
Journal of Econometrics, 2018, 205, (1), 112-139 View citations (16)
See also Working Paper The ABC of Simulation Estimation with Auxiliary Statistics, Papers (2017) View citations (2) (2017)
2017
- Level and volatility factors in macroeconomic data
Journal of Monetary Economics, 2017, 91, (C), 52-68 View citations (32)
See also Working Paper Level and Volatility Factors in Macroeconomic Data, NBER Working Papers (2017) View citations (33) (2017)
- Simulated minimum distance estimation of dynamic models with errors-in-variables
Journal of Econometrics, 2017, 200, (2), 181-193 View citations (10)
2016
- FRED-MD: A Monthly Database for Macroeconomic Research
Journal of Business & Economic Statistics, 2016, 34, (4), 574-589 View citations (423)
See also Working Paper FRED-MD: A Monthly Database for Macroeconomic Research, Working Papers (2015) View citations (51) (2015)
2015
- Constructing Common Factors from Continuous and Categorical Data
Econometric Reviews, 2015, 34, (6-10), 1141-1171 View citations (6)
- Measuring Uncertainty
American Economic Review, 2015, 105, (3), 1177-1216 View citations (1371)
See also Working Paper Measuring Uncertainty, NBER Working Papers (2013) View citations (25) (2013)
- Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
Journal of Business & Economic Statistics, 2015, 33, (3), 403-417 View citations (11)
See also Working Paper Minimum distance estimation of possibly non-invertible moving average models, FRB Atlanta Working Paper (2013) View citations (1) (2013)
2014
- MEASUREMENT ERRORS IN DYNAMIC MODELS
Econometric Theory, 2014, 30, (1), 150-175 View citations (11)
- Viewpoint: Boosting Recessions
Canadian Journal of Economics/Revue canadienne d'économique, 2014, 47, (1), 1-34 View citations (38)
Also in Canadian Journal of Economics, 2014, 47, (1), 1-34 (2014) View citations (47)
2013
- Commodity Prices, Convenience Yields, and Inflation
The Review of Economics and Statistics, 2013, 95, (1), 206-219 View citations (103)
- Dynamic Hierarchical Factor Model
The Review of Economics and Statistics, 2013, 95, (5), 1811-1817 View citations (7)
See also Working Paper Dynamic hierarchical factor models, Staff Reports (2009) View citations (20) (2009)
- Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
Journal of Economic Literature, 2013, 51, (4), 1120-54 View citations (205)
See also Working Paper Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling, NBER Working Papers (2013) View citations (206) (2013)
- Principal components estimation and identification of static factors
Journal of Econometrics, 2013, 176, (1), 18-29 View citations (174)
2012
- ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
Econometric Theory, 2012, 28, (5), 1003-1036 View citations (6)
See also Working Paper Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties, NBER Working Papers (2011) (2011)
- Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown
Journal of Econometric Methods, 2012, 1, (1), 42-55 View citations (73)
2011
- A hierarchical factor analysis of U.S. housing market dynamics
Econometrics Journal, 2011, 14, C1-C24 View citations (34)
Also in Econometrics Journal, 2011, 14, (1), C1-C24 (2011) View citations (55)
- Dynamic Identification of Dynamic Stochastic General Equilibrium Models
Econometrica, 2011, 79, (6), 1995-2032 View citations (138)
2010
- Editors’ Report 2009
Journal of Business & Economic Statistics, 2010, 28, (4), 574-574
- Estimation of DSGE models when the data are persistent
Journal of Monetary Economics, 2010, 57, (3), 325-340 View citations (60)
See also Working Paper Estimation of DSGE Models When the Data are Persistent, NBER Working Papers (2009) View citations (14) (2009)
- INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
Econometric Theory, 2010, 26, (6), 1577-1606 View citations (104)
- PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
Econometric Theory, 2010, 26, (4), 1088-1114 View citations (96)
2009
- Boosting diffusion indices
Journal of Applied Econometrics, 2009, 24, (4), 607-629 View citations (88)
- Editors' Report 2008
Journal of Business & Economic Statistics, 2009, 27, (4), 566-566 View citations (1)
- Macro Factors in Bond Risk Premia
The Review of Financial Studies, 2009, 22, (12), 5027-5067 View citations (563)
See also Working Paper Macro Factors in Bond Risk Premia, NBER Working Papers (2005) View citations (11) (2005)
- Panel cointegration with global stochastic trends
Journal of Econometrics, 2009, 149, (1), 82-99 View citations (226)
See also Working Paper Panel Cointegration with Global Stochastic Trends, Center for Policy Research Working Papers (2007) View citations (6) (2007)
- Selecting Instrumental Variables in a Data Rich Environment
Journal of Time Series Econometrics, 2009, 1, (1), 34 View citations (29)
2008
- A Simple Test for Nonstationarity in Mixed Panels
Journal of Business & Economic Statistics, 2008, 26, 113-127 View citations (36)
- Editors' Report 2007
Journal of Business & Economic Statistics, 2008, 26, 557-557 View citations (3)
- Extremum Estimation when the Predictors are Estimated from Large Panels
Annals of Economics and Finance, 2008, 9, (2), 201-222 View citations (23)
- Forecasting economic time series using targeted predictors
Journal of Econometrics, 2008, 146, (2), 304-317 View citations (407)
- Large Dimensional Factor Analysis
Foundations and Trends(R) in Econometrics, 2008, 3, (2), 89-163 View citations (233)
2007
- Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers
The B.E. Journal of Economic Analysis & Policy, 2007, 7, (1), 38 View citations (1)
- Determining the Number of Primitive Shocks in Factor Models
Journal of Business & Economic Statistics, 2007, 25, 52-60 View citations (396)
- Editors' Report 2006
Journal of Business & Economic Statistics, 2007, 25, 503-503 View citations (2)
- The empirical risk-return relation: A factor analysis approach
Journal of Financial Economics, 2007, 83, (1), 171-222 View citations (289)
See also Working Paper The Empirical Risk-Return Relation: a factor analysis approach, 2006 Meeting Papers (2006) View citations (2) (2006)
2006
- Are more data always better for factor analysis?
Journal of Econometrics, 2006, 132, (1), 169-194 View citations (623)
See also Working Paper Are More Data Always Better for Factor Analysis?, NBER Working Papers (2003) View citations (62) (2003)
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Econometrica, 2006, 74, (4), 1133-1150 View citations (445)
- Evaluating latent and observed factors in macroeconomics and finance
Journal of Econometrics, 2006, 131, (1-2), 507-537 View citations (120)
See also Working Paper Evaluating Latent and Observed Factors in Macroeconomics and Financ, Econometrics (2004) View citations (4) (2004)
- Testing Cross-Section Correlation in Panel Data Using Spacings
Journal of Business & Economic Statistics, 2006, 24, 12-23 View citations (71)
2005
- A Note on the Selection of Time Series Models
Oxford Bulletin of Economics and Statistics, 2005, 67, (1), 115-134 View citations (41)
See also Working Paper A Note on the Selection of Time Series Models, Boston College Working Papers in Economics (2001) View citations (6) (2001)
- Demand Systems with Nonstationary Prices
The Review of Economics and Statistics, 2005, 87, (3), 479-494 View citations (31)
See also Working Paper Demand Systems With Nonstationary Prices, Boston College Working Papers in Economics (2002) View citations (1) (2002)
- Tests for Skewness, Kurtosis, and Normality for Time Series Data
Journal of Business & Economic Statistics, 2005, 23, 49-60 View citations (186)
See also Working Paper Tests for Skewness, Kurtosis, and Normality for Time Series Data, Boston College Working Papers in Economics (2001) View citations (7) (2001)
- Understanding and Comparing Factor-Based Forecasts
International Journal of Central Banking, 2005, 1, (3) View citations (224)
See also Working Paper Understanding and Comparing Factor-Based Forecasts, MPRA Paper (2005) View citations (225) (2005)
2004
- A PANIC Attack on Unit Roots and Cointegration
Econometrica, 2004, 72, (4), 1127-1177 View citations (991)
See also Working Paper A PANIC Attack on Unit Roots and Cointegration, Boston College Working Papers in Economics (2001) View citations (23) (2001)
- Intergenerational Linkages in Consumption Behavior
Journal of Human Resources, 2004, 39, (2) View citations (48)
See also Working Paper Intergenerational Linkages in Consumption Behavior, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (13) (2000)
2003
- Can sticky prices account for the variations and persistence in real exchange rates?
Journal of International Money and Finance, 2003, 22, (1), 65-85 View citations (11)
See also Working Paper Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?, Economics Working Paper Archive (2001) (2001)
- Intergenerational Time Transfers and Childcare
Review of Economic Dynamics, 2003, 6, (2), 431-454 View citations (72)
2002
- ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
Econometric Reviews, 2002, 21, (3), 353-381 View citations (16)
See also Working Paper Analysis of Vector Autoregressions in the Presence of Shifts in Mean, Boston College Working Papers in Economics (1997) View citations (4) (1997)
- Determining the Number of Factors in Approximate Factor Models
Econometrica, 2002, 70, (1), 191-221 View citations (2569)
See also Working Paper Determining the Number of Factors in Approximate Factor Models, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (33) (2000)
- Forecasting autoregressive time series in the presence of deterministic components
Econometrics Journal, 2002, 5, (1), 196-224 View citations (6)
See also Working Paper Forecasting Autoregressive Time Series in the Presence of Deterministic Components, Working Papers (2000) (2000)
- PPP May not Hold Afterall: A Further Investigation
Annals of Economics and Finance, 2002, 3, (1), 43-64 View citations (11)
See also Working Paper PPP May not Hold Afterall: A Further Investigation, CEMA Working Papers (2002) View citations (15) (2002)
2001
- A consistent test for conditional symmetry in time series models
Journal of Econometrics, 2001, 103, (1-2), 225-258 View citations (64)
- A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
Journal of Economic Dynamics and Control, 2001, 25, (10), 1527-1546 View citations (137)
See also Working Paper A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks, Cahiers de recherche (1996) View citations (6) (1996)
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
Econometrica, 2001, 69, (6), 1519-1554 View citations (2482)
See also Working Paper Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power, Boston College Working Papers in Economics (2000) View citations (45) (2000)
2000
- Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
Journal of Econometrics, 2000, 96, (2), 231-266 View citations (72)
See also Working Paper Estimating the rational expectations model of speculative storage: a Monte Carlo comparison of three simulation estimators, LSE Research Online Documents on Economics (2000) View citations (70) (2000)
- Explaining the Persistence of Commodity Prices
Computational Economics, 2000, 16, (1/2), 149-171 View citations (25)
See also Working Paper Explaining the Persistence of Commodity Prices, Boston College Working Papers in Economics (1997) View citations (5) (1997)
1999
- Testing for ARCH in the presence of a possibly misspecified conditional mean
Journal of Econometrics, 1999, 93, (2), 257-279 View citations (47)
See also Working Paper Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean, Boston College Working Papers in Economics (1998) (1998)
1998
- A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure
The Review of Economics and Statistics, 1998, 80, (4), 535-548 View citations (15)
See also Working Paper A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure, Boston College Working Papers in Economics (1998) View citations (16) (1998)
- AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
Econometric Theory, 1998, 14, (5), 560-603 View citations (40)
See also Working Paper An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests, Cahiers de recherche (1996) View citations (7) (1996)
1997
- Estimation and inference in nearly unbalanced nearly cointegrated systems
Journal of Econometrics, 1997, 79, (1), 53-81 View citations (43)
See also Working Paper Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems, Cahiers de recherche (1995) View citations (5) (1995)
- Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
Journal of Money, Credit and Banking, 1997, 29, (2), 154-76 View citations (60)
See also Working Paper Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation, CIRANO Working Papers (1995) View citations (8) (1995)
1996
- Looking for evidence of speculative stockholding in commodity markets
Journal of Economic Dynamics and Control, 1996, 20, (1-3), 123-143 View citations (20)
See also Working Paper Looking for Evidence of Speculative Stockholding in Commodity Markets, Cahiers de recherche (1995) View citations (4) (1995)
- THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
Journal of Time Series Analysis, 1996, 17, (4), 379-408 View citations (9)
See also Working Paper The Exact Error in Estimating the Special Density at the Origin, Cahiers de recherche (1995) View citations (1) (1995)
- The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
The Review of Economics and Statistics, 1996, 78, (3), 375-83 View citations (14)
See also Working Paper The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information, Carleton Economic Papers (1996) View citations (15) (1996)
- Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
The Review of Economic Studies, 1996, 63, (3), 435-463 View citations (404)
See also Working Paper Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties, Cahiers de recherche (1994) View citations (8) (1994)
1995
- Review of Coint 2.0
Journal of Applied Econometrics, 1995, 10, (2), 205-10
- Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary
Journal of Applied Econometrics, 1995, 10, (2), 147-63 View citations (42)
See also Working Paper Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary, Cahiers de recherche (1995) View citations (48) (1995)
- Testing for unit roots in flow data sampled at different frequencies
Economics Letters, 1995, 47, (3-4), 237-242 View citations (17)
Chapters
2019
- A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
A chapter in Big Data for Twenty-First-Century Economic Statistics, 2019, pp 403-436 View citations (4)
See also Working Paper A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data, National Bureau of Economic Research, Inc (2019) View citations (5) (2019)
2016
- A Likelihood-Free Reverse Sampler of the Posterior Distribution
A chapter in Essays in Honor of Aman Ullah, 2016, vol. 36, pp 389-415 View citations (4)
2013
- Variable Selection in Predictive Regressions
Elsevier View citations (38)
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