Serena Ng
Personal Details
First Name: | Serena |
Middle Name: | |
Last Name: | Ng |
Suffix: | |
RePEc Short-ID: | png6 |
| |
http://www.columbia.edu/~sn2294 | |
Department of Economics Columbia University 420 W 118 St. New York, NY 10027 | |
Terminal Degree: | 1993 Department of Economics; Princeton University (from RePEc Genealogy) |
Affiliation
Department of Economics
School of Arts and Sciences
Columbia University
New York City, New York (United States)http://www.columbia.edu/cu/economics/
RePEc:edi:declbus (more details at EDIRC)
Research output
Jump to: Working papers Articles ChaptersWorking papers
- Serena Ng, 2021.
"Modeling Macroeconomic Variations After COVID-19,"
Papers
2103.02732, arXiv.org, revised Jul 2021.
- Serena Ng, 2021. "Modeling Macroeconomic Variations after Covid-19," NBER Working Papers 29060, National Bureau of Economic Research, Inc.
- Ercument Cahan & Jushan Bai & Serena Ng, 2021.
"Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions,"
Papers
2103.03045, arXiv.org, revised Feb 2022.
- Cahan, Ercument & Bai, Jushan & Ng, Serena, 2023. "Factor-based imputation of missing values and covariances in panel data of large dimensions," Journal of Econometrics, Elsevier, vol. 233(1), pages 113-131.
- Jean-Jacques Forneron & Serena Ng, 2021.
"Estimation and Inference by Stochastic Optimization: Three Examples,"
Papers
2102.10443, arXiv.org.
- Jean-Jacques Forneron & Serena Ng, 2021. "Estimation and Inference by Stochastic Optimization: Three Examples," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 626-630, May.
- Richard Davis & Serena Ng, 2021. "Time Series Estimation of the Dynamic Effects of Disaster-Type Shock," Papers 2107.06663, arXiv.org, revised Mar 2022.
- Jushan Bai & Serena Ng, 2021.
"Approximate Factor Models with Weaker Loadings,"
Papers
2109.03773, arXiv.org, revised Mar 2023.
- Bai, Jushan & Ng, Serena, 2023. "Approximate factor models with weaker loadings," Journal of Econometrics, Elsevier, vol. 235(2), pages 1893-1916.
- Jushan Bai & Serena Ng, 2020. "Simpler Proofs for Approximate Factor Models of Large Dimensions," Papers 2008.00254, arXiv.org.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2020. "COVID-19 and The Macroeconomic Effects of Costly Disasters," NBER Working Papers 26987, National Bureau of Economic Research, Inc.
- Evan M. Munro & Serena Ng, 2020. "Latent Dirichlet Analysis of Categorical Survey Expectations," NBER Working Papers 27182, National Bureau of Economic Research, Inc.
- Jean-Jacques Forneron & Serena Ng, 2020. "Inference by Stochastic Optimization: A Free-Lunch Bootstrap," Papers 2004.09627, arXiv.org, revised Sep 2020.
- Michael McCracken & Serena Ng, 2020.
"FRED-QD: A Quarterly Database for Macroeconomic Research,"
NBER Working Papers
26872, National Bureau of Economic Research, Inc.
- Michael W. McCracken & Serena Ng, 2021. "FRED-QD: A Quarterly Database for Macroeconomic Research," Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
- Michael W. McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers 2020-005, Federal Reserve Bank of St. Louis.
- Sokbae Lee & Serena Ng, 2020. "Least Squares Estimation Using Sketched Data with Heteroskedastic Errors," Papers 2007.07781, arXiv.org, revised Jun 2022.
- Evan Munro & Serena Ng, 2019.
"Latent Dirichlet Analysis of Categorical Survey Responses,"
Papers
1910.04883, arXiv.org, revised Jul 2020.
- Evan Munro & Serena Ng, 2022. "Latent Dirichlet Analysis of Categorical Survey Responses," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 256-271, January.
- Kashif Yousuf & Serena Ng, 2019.
"Boosting High Dimensional Predictive Regressions with Time Varying Parameters,"
Papers
1910.03109, arXiv.org.
- Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
- Rishab Guha & Serena Ng, 2019.
"A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data,"
NBER Working Papers
25899, National Bureau of Economic Research, Inc.
- Rishab Guha & Serena Ng, 2019. "A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 403-436, National Bureau of Economic Research, Inc.
- Jushan Bai & Serena Ng, 2019.
"Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data,"
Papers
1910.06677, arXiv.org, revised Aug 2021.
- Jushan Bai & Serena Ng, 2021. "Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1746-1763, October.
- Sokbae Lee & Serena Ng, 2019.
"An Econometric Perspective on Algorithmic Subsampling,"
Papers
1907.01954, arXiv.org, revised Apr 2020.
- Sokbae Lee & Serena Ng, 2020. "An Econometric Perspective on Algorithmic Subsampling," Annual Review of Economics, Annual Reviews, vol. 12(1), pages 45-80, August.
- Sokbae (Simon) Lee & Serena Ng, 2020. "An econometric perspective on algorithmic subsampling," CeMMAP working papers CWP18/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.
- Yuriy Gorodnichenko & Serena Ng, 2017.
"Level and Volatility Factors in Macroeconomic Data,"
NBER Working Papers
23672, National Bureau of Economic Research, Inc.
- Gorodnichenko, Yuriy & Ng, Serena, 2017. "Level and volatility factors in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 91(C), pages 52-68.
- Jushan Bai & Serena Ng, 2017. "Principal Components and Regularized Estimation of Factor Models," Papers 1708.08137, arXiv.org, revised Nov 2017.
- Serena Ng, 2017. "Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data," NBER Working Papers 23673, National Bureau of Economic Research, Inc.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015.
"Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?,"
NBER Working Papers
21803, National Bureau of Economic Research, Inc.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2021. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 369-410, October.
- Michael W. McCracken & Serena Ng, 2015.
"FRED-MD: A Monthly Database for Macroeconomic Research,"
Working Papers
2015-12, Federal Reserve Bank of St. Louis.
- Michael W. McCracken & Serena Ng, 2016. "FRED-MD: A Monthly Database for Macroeconomic Research," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
- Jean-Jacques Forneron & Serena Ng, 2015.
"The ABC of Simulation Estimation with Auxiliary Statistics,"
Papers
1501.01265, arXiv.org, revised Oct 2017.
- Forneron, Jean-Jacques & Ng, Serena, 2018. "The ABC of simulation estimation with auxiliary statistics," Journal of Econometrics, Elsevier, vol. 205(1), pages 112-139.
- Nikolay Gospodinov & Ivana Komunjer & Serena Ng, 2014. "Minimum Distance Estimation of Dynamic Models with Errors-In-Variables," FRB Atlanta Working Paper 2014-11, Federal Reserve Bank of Atlanta.
- Serena Ng & Jonathan H. Wright, 2013.
"Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling,"
NBER Working Papers
19469, National Bureau of Economic Research, Inc.
- Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013.
"Measuring Uncertainty,"
NBER Working Papers
19456, National Bureau of Economic Research, Inc.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
- Nikolay Gospodinov & Serena Ng, 2013.
"Minimum distance estimation of possibly non-invertible moving average models,"
FRB Atlanta Working Paper
2013-11, Federal Reserve Bank of Atlanta.
- Nikolay Gospodinov & Serena Ng, 2015. "Minimum Distance Estimation of Possibly Noninvertible Moving Average Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 403-417, July.
- Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011.
"Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties,"
NBER Working Papers
17424, National Bureau of Economic Research, Inc.
- Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012. "Estimators For Persistent And Possibly Nonstationary Data With Classical Properties," Econometric Theory, Cambridge University Press, vol. 28(5), pages 1003-1036, October.
- Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
- Emanuel Moench & Serena Ng & Simon M. Potter, 2009.
"Dynamic hierarchical factor models,"
Staff Reports
412, Federal Reserve Bank of New York.
- Emanuel Moench & Serena Ng & Simon Potter, 2013. "Dynamic Hierarchical Factor Model," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1811-1817, December.
- Yuriy Gorodnichenko & Serena Ng, 2009.
"Estimation of DSGE Models When the Data are Persistent,"
NBER Working Papers
15187, National Bureau of Economic Research, Inc.
- Gorodnichenko, Yuriy & Ng, Serena, 2010. "Estimation of DSGE models when the data are persistent," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 325-340, April.
- Jushan Bai & Chihwa Kao & Serena Ng, 2007.
"Panel Cointegration with Global Stochastic Trends,"
Center for Policy Research Working Papers
90, Center for Policy Research, Maxwell School, Syracuse University.
- Bai, Jushan & Kao, Chihwa & Ng, Serena, 2009. "Panel cointegration with global stochastic trends," Journal of Econometrics, Elsevier, vol. 149(1), pages 82-99, April.
- Sydney C. Ludvigson & Serena Ng, 2005.
"The Empirical Risk-Return Relation: A Factor Analysis Approach,"
NBER Working Papers
11477, National Bureau of Economic Research, Inc.
- Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Sydeny C. Ludvigson & Serena Ng, 2005.
"Macro Factors in Bond Risk Premia,"
NBER Working Papers
11703, National Bureau of Economic Research, Inc.
- Sydney C. Ludvigson & Serena Ng, 2009. "Macro Factors in Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5027-5067, December.
- Jean Boivin & Serena Ng, 2005.
"Understanding and Comparing Factor-Based Forecasts,"
NBER Working Papers
11285, National Bureau of Economic Research, Inc.
- Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 1(3), December.
- Boivin, Jean & Ng, Serena, 2005. "Understanding and Comparing Factor-Based Forecasts," MPRA Paper 836, University Library of Munich, Germany.
- Jushan Bai & Serena Ng, 2004. "Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor," Econometrics 0408006, University Library of Munich, Germany.
- Jushan Bai & Serena Ng, 2004.
"Evaluating Latent and Observed Factors in Macroeconomics and Financ,"
Econometrics
0408007, University Library of Munich, Germany.
- Bai, Jushan & Ng, Serena, 2006. "Evaluating latent and observed factors in macroeconomics and finance," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 507-537.
- Serena Ng & Jean Boivin, 2003. "Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data," Computing in Economics and Finance 2003 255, Society for Computational Economics.
- Jean Boivin & Serena Ng, 2003.
"Are More Data Always Better for Factor Analysis?,"
NBER Working Papers
9829, National Bureau of Economic Research, Inc.
- Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
- Serena Ng, 2001.
"Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?,"
Economics Working Paper Archive
468, The Johns Hopkins University,Department of Economics.
- Ng, Serena, 2003. "Can sticky prices account for the variations and persistence in real exchange rates?," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 65-85, February.
- Serena Ng & Pierre Perron, 2001.
"PPP May not Hold After all: A Further Investigation,"
Economics Working Paper Archive
466, The Johns Hopkins University,Department of Economics.
- Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
- Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers 83, China Economics and Management Academy, Central University of Finance and Economics.
- Serena Ng & Pierre Perron, 2001.
"A Note on the Selection of Time Series Models,"
Boston College Working Papers in Economics
500, Boston College Department of Economics.
- Serena Ng & Pierre Perron, 2005. "A Note on the Selection of Time Series Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 115-134, February.
- Jushan Bai & Serena Ng, 2001.
"A New Look at Panel Testing of Stationarity and the PPP Hypothesis,"
Boston College Working Papers in Economics
518, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A New Look at Panel Testing of Stationarity and the PPP Hypothesis," Economics Working Paper Archive 467, The Johns Hopkins University,Department of Economics.
- Jushan Bai & Serena Ng, 2001.
"Tests for Skewness, Kurtosis, and Normality for Time Series Data,"
Boston College Working Papers in Economics
501, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2005. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 49-60, January.
- Jushan Bai & Serena Ng, 2001.
"A PANIC Attack on Unit Roots and Cointegration,"
Boston College Working Papers in Economics
519, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
- Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
- Jushan Bai & Serena Ng, 2000.
"Determining the Number of Factors in Approximate Factor Models,"
Boston College Working Papers in Economics
440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Arthur Lewbel & Serena Ng, 2000.
"Demand Systems With Nonstationary Prices,"
Boston College Working Papers in Economics
441, Boston College Department of Economics, revised 07 Jun 2002.
- Arthur Lewbel & Serena Ng, 2005. "Demand Systems with Nonstationary Prices," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 479-494, August.
- Donald Cox & Serena Ng & Andreas Waldkirch, 2000.
"Intergenerational Linkages in Consumption Behavior,"
Boston College Working Papers in Economics
482, Boston College Department of Economics.
- Andreas Waldkirch & Serena Ng & Donald Cox, 2004. "Intergenerational Linkages in Consumption Behavior," Journal of Human Resources, University of Wisconsin Press, vol. 39(2).
- Donald Cox & Serena Ng & Andreas Waldkirch, 2000. "Intergenerational Linkages in Consumption Behavior," Econometric Society World Congress 2000 Contributed Papers 1791, Econometric Society, revised 08 Nov 2000.
- Ng, Serena & Vogelsang, Tim, 2000.
"Forecasting Autoregressive Time Series in the Presence of Deterministic Components,"
Working Papers
00-07, Cornell University, Center for Analytic Economics.
- Serena Ng & Timothy J. Vogelsang, 2002. "Forecasting autoregressive time series in the presence of deterministic components," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 196-224, June.
- Serena Ng & Timothy Vogelsang, 1999. "Forecasting Dynamic Time Series in the Presence of Deterministic Components," Boston College Working Papers in Economics 445, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
- Robin L. Lumsdaine & Serena Ng, 1998.
"Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean,"
Boston College Working Papers in Economics
370, Boston College Department of Economics.
- Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
- Eric Ghysels & Serena Ng, 1998.
"A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure,"
Boston College Working Papers in Economics
403, Boston College Department of Economics.
- Eric Ghysels & Serena Ng, 1998. "A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
- Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO.
- Serena Ng & Pierre Perron, 1997.
"Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Boston College Working Papers in Economics
369, Boston College Department of Economics, revised 01 Sep 2000.
- Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Timothy J. Vogelsang, 1997.
"Analysis of Vector Autoregressions in the Presence of Shifts in Mean,"
Boston College Working Papers in Economics
379, Boston College Department of Economics.
- Serena Ng & Timothy Vogelsang, 2002. "Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 353-381.
- Emanuela Cardia & Serena Ng, 1997.
"How Important are Intergenerational Transfers of Time? A Macroeconomic Analysis,"
Boston College Working Papers in Economics
395, Boston College Department of Economics.
- Cardia, E. & Ng, S., 2000. "How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis," Cahiers de recherche 2000-04, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- CARDIA, Emanuela & NG, Serena, 2000. "How Important Are Intergenerational Transfers of Time? a Macroeconomic Analysis," Cahiers de recherche 2000-04, Universite de Montreal, Departement de sciences economiques.
- Alexander Michaelides & Serena Ng, 1997.
"Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators,"
Boston College Working Papers in Economics
373, Boston College Department of Economics.
- Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
- Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators," LSE Research Online Documents on Economics 198, London School of Economics and Political Science, LSE Library.
- Serena Ng, 1997. "Accounting for Trends in the Almost Ideal Demand System," Boston College Working Papers in Economics 368, Boston College Department of Economics.
- Angus Deaton & Serena Ng, 1997.
"Parametric and non-parametric approaches to price and tax reform,"
Boston College Working Papers in Economics
376, Boston College Department of Economics.
- Angus Deaton & Serena Ng, 1996. "Parametric and Non-Parametric Approaches to Price and Tax Reform," NBER Working Papers 5564, National Bureau of Economic Research, Inc.
- Deaton, A. & Ng, S., 1996. "Parametric and Nonparametric Approaches to Price and Tax Reform," Cahiers de recherche 9601, Universite de Montreal, Departement de sciences economiques.
- Deaton, A. & Ng, S., 1996. "Parametric and Nonparametric Approaches to Price and Tax Reform," Cahiers de recherche 9601, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Serena Ng & Francisco Ruge-Murcia, 1997.
"Explaining the Persistence of Commodity Prices,"
Boston College Working Papers in Economics
374, Boston College Department of Economics.
- Serena Ng & Francisco J. Ruge-Murcia, 2000. "Explaining the Persistence of Commodity Prices," Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 149-171, October.
- NG, Serena & RUGE-MURCIA, Francisco J., 1997. "Explaining the Persistence of Commodity Prices," Cahiers de recherche 9709, Universite de Montreal, Departement de sciences economiques.
- Gonzalo, J. & Ng, S., 1996.
"A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks,"
Cahiers de recherche
9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonzalo, Jesus & Ng, Serena, 2001. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
- Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Ng, S., 1996.
"An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests,"
Cahiers de recherche
9611, Universite de Montreal, Departement de sciences economiques.
- Perron, Pierre & Ng, Serena, 1998. "An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests," Econometric Theory, Cambridge University Press, vol. 14(5), pages 560-603, October.
- Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Serena Ng, 1996.
"A Semi-Parametric Factor Model for Interest Rates,"
CIRANO Working Papers
96s-18, CIRANO.
- Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- René Garcia & Serena Ng & Annamaria Lusardi, 1995.
"Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation,"
CIRANO Working Papers
95s-09, CIRANO.
- Garcia, Rene & Lusardi, Annamaria & Ng, Serena, 1997. "Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(2), pages 154-176, May.
- Garcia, R. & Lusardi, A. & Ng, S., 1995. "Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation," Cahiers de recherche 9511, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Lusardi, A. & Ng, S., 1995. "Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation," Cahiers de recherche 9511, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S. & Pinkse, J., 1995.
"Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent,"
Cahiers de recherche
9551, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Pinkse, J., 1995. "Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent," Cahiers de recherche 9551, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S., 1995.
"Looking for Evidence of Speculative Stockholding in Commodity Markets,"
Cahiers de recherche
9514, Universite de Montreal, Departement de sciences economiques.
- Ng, Serena, 1996. "Looking for evidence of speculative stockholding in commodity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 123-143.
- Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S., 1995.
"Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary,"
Cahiers de recherche
9516, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, Serena, 1995. "Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-163, April-Jun.
- Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Schaller, H., 1995.
"The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information,"
Cahiers de recherche
9515, Universite de Montreal, Departement de sciences economiques.
- Ng, Serena & Schaller, Huntley, 1996. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 375-383, August.
- Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Huntley Schaller & Serena Ng, 1993. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Carleton Economic Papers 93-07, Carleton University, Department of Economics, revised Aug 1996.
- Ng, S. & Perron, P., 1995.
"The Exact Error in Estimating the Special Density at the Origin,"
Cahiers de recherche
9535, Universite de Montreal, Departement de sciences economiques.
- Serena Ng & Pierre Perron, 1996. "The Exact Error In Estimating The Spectral Density At The Origin," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(4), pages 379-408, July.
- Ng, S. & Perron, P., 1995. "The Exact Error in Estimating the Special Density at the Origin," Cahiers de recherche 9535, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S. & Perron, P., 1995.
"Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems,"
Cahiers de recherche
9534, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, Serena & Perron, Pierre, 1997. "Estimation and inference in nearly unbalanced nearly cointegrated systems," Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
- Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Universite de Montreal, Departement de sciences economiques.
- Perron, P. & Ng, S., 1994.
"Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties,"
Cahiers de recherche
9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Pierre Perron & Serena Ng, 1996. "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, vol. 63(3), pages 435-463.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1994.
"Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag,"
Cahiers de recherche
9423, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche 9423, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Carmichael, B. & Ng, S., 1991.
"Adjustment Costs and Factor Demands in Canadian Manufacturing Industries,"
Papers
9126, Laval - Recherche en Energie.
- Carmichael, B. & Ng, S., 1991. "Adjustment Costs and Factor Demands in Canadian Manufacturing Industries," Cahiers de recherche 9126, Université Laval - Département d'économique.
Articles
- Evan Munro & Serena Ng, 2022.
"Latent Dirichlet Analysis of Categorical Survey Responses,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 256-271, January.
- Evan Munro & Serena Ng, 2019. "Latent Dirichlet Analysis of Categorical Survey Responses," Papers 1910.04883, arXiv.org, revised Jul 2020.
- Michael W. McCracken & Serena Ng, 2021.
"FRED-QD: A Quarterly Database for Macroeconomic Research,"
Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
- Michael W. McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers 2020-005, Federal Reserve Bank of St. Louis.
- Michael McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," NBER Working Papers 26872, National Bureau of Economic Research, Inc.
- Jean-Jacques Forneron & Serena Ng, 2021.
"Estimation and Inference by Stochastic Optimization: Three Examples,"
AEA Papers and Proceedings, American Economic Association, vol. 111, pages 626-630, May.
- Jean-Jacques Forneron & Serena Ng, 2021. "Estimation and Inference by Stochastic Optimization: Three Examples," Papers 2102.10443, arXiv.org.
- Yousuf, Kashif & Ng, Serena, 2021.
"Boosting high dimensional predictive regressions with time varying parameters,"
Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
- Kashif Yousuf & Serena Ng, 2019. "Boosting High Dimensional Predictive Regressions with Time Varying Parameters," Papers 1910.03109, arXiv.org.
- Jushan Bai & Serena Ng, 2021.
"Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(536), pages 1746-1763, October.
- Jushan Bai & Serena Ng, 2019. "Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data," Papers 1910.06677, arXiv.org, revised Aug 2021.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2021.
"Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 13(4), pages 369-410, October.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers 21803, National Bureau of Economic Research, Inc.
- Sydney C. Ludvigson & Sai Ma & Serena Ng, 2021. "COVID-19 and the Costs of Deadly Disasters," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 366-370, May.
- Sokbae Lee & Serena Ng, 2020.
"An Econometric Perspective on Algorithmic Subsampling,"
Annual Review of Economics, Annual Reviews, vol. 12(1), pages 45-80, August.
- Sokbae (Simon) Lee & Serena Ng, 2020. "An econometric perspective on algorithmic subsampling," CeMMAP working papers CWP18/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sokbae Lee & Serena Ng, 2019. "An Econometric Perspective on Algorithmic Subsampling," Papers 1907.01954, arXiv.org, revised Apr 2020.
- Bai, Jushan & Ng, Serena, 2019. "Rank regularized estimation of approximate factor models," Journal of Econometrics, Elsevier, vol. 212(1), pages 78-96.
- Forneron, Jean-Jacques & Ng, Serena, 2018.
"The ABC of simulation estimation with auxiliary statistics,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 112-139.
- Jean-Jacques Forneron & Serena Ng, 2015. "The ABC of Simulation Estimation with Auxiliary Statistics," Papers 1501.01265, arXiv.org, revised Oct 2017.
- Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena, 2017. "Simulated minimum distance estimation of dynamic models with errors-in-variables," Journal of Econometrics, Elsevier, vol. 200(2), pages 181-193.
- Gorodnichenko, Yuriy & Ng, Serena, 2017.
"Level and volatility factors in macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 91(C), pages 52-68.
- Yuriy Gorodnichenko & Serena Ng, 2017. "Level and Volatility Factors in Macroeconomic Data," NBER Working Papers 23672, National Bureau of Economic Research, Inc.
- Michael W. McCracken & Serena Ng, 2016.
"FRED-MD: A Monthly Database for Macroeconomic Research,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
- Michael W. McCracken & Serena Ng, 2015. "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers 2015-12, Federal Reserve Bank of St. Louis.
- Nikolay Gospodinov & Serena Ng, 2015.
"Minimum Distance Estimation of Possibly Noninvertible Moving Average Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 403-417, July.
- Nikolay Gospodinov & Serena Ng, 2013. "Minimum distance estimation of possibly non-invertible moving average models," FRB Atlanta Working Paper 2013-11, Federal Reserve Bank of Atlanta.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015.
"Measuring Uncertainty,"
American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
- Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013. "Measuring Uncertainty," NBER Working Papers 19456, National Bureau of Economic Research, Inc.
- Serena Ng, 2015. "Constructing Common Factors from Continuous and Categorical Data," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 1141-1171, December.
- Serena Ng, 2014.
"Viewpoint: Boosting Recessions,"
Canadian Journal of Economics, Canadian Economics Association, vol. 47(1), pages 1-34, February.
- Serena Ng, 2014. "Viewpoint: Boosting Recessions," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(1), pages 1-34, February.
- Komunjer, Ivana & Ng, Serena, 2014. "Measurement Errors In Dynamic Models," Econometric Theory, Cambridge University Press, vol. 30(1), pages 150-175, February.
- Serena Ng & Jonathan H. Wright, 2013.
"Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1120-1154, December.
- Serena Ng & Jonathan H. Wright, 2013. "Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling," NBER Working Papers 19469, National Bureau of Economic Research, Inc.
- Emanuel Moench & Serena Ng & Simon Potter, 2013.
"Dynamic Hierarchical Factor Model,"
The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1811-1817, December.
- Emanuel Moench & Serena Ng & Simon M. Potter, 2009. "Dynamic hierarchical factor models," Staff Reports 412, Federal Reserve Bank of New York.
- Nikolay Gospodinov & Serena Ng, 2013. "Commodity Prices, Convenience Yields, and Inflation," The Review of Economics and Statistics, MIT Press, vol. 95(1), pages 206-219, March.
- Bai, Jushan & Ng, Serena, 2013. "Principal components estimation and identification of static factors," Journal of Econometrics, Elsevier, vol. 176(1), pages 18-29.
- Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena, 2012.
"Estimators For Persistent And Possibly Nonstationary Data With Classical Properties,"
Econometric Theory, Cambridge University Press, vol. 28(5), pages 1003-1036, October.
- Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng, 2011. "Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties," NBER Working Papers 17424, National Bureau of Economic Research, Inc.
- Lin Chang-Ching & Ng Serena, 2012. "Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown," Journal of Econometric Methods, De Gruyter, vol. 1(1), pages 42-55, August.
- Ivana Komunjer & Serena Ng, 2011. "Dynamic Identification of Dynamic Stochastic General Equilibrium Models," Econometrica, Econometric Society, vol. 79(6), pages 1995-2032, November.
- Emanuel Moench & Serena Ng, 2011.
"A hierarchical factor analysis of U.S. housing market dynamics,"
Econometrics Journal, Royal Economic Society, vol. 14(1), pages 1-24, February.
- Emanuel Moench & Serena Ng, 2011. "A hierarchical factor analysis of U.S. housing market dynamics," Econometrics Journal, Royal Economic Society, vol. 14, pages 1-24, February.
- Bai, Jushan & Ng, Serena, 2010. "Panel Unit Root Tests With Cross-Section Dependence: A Further Investigation," Econometric Theory, Cambridge University Press, vol. 26(4), pages 1088-1114, August.
- Lewbel, Arthur & Ng, Serena & Hirano, Keisuke & Wright, Jonathan, 2010. "Editors’ Report 2009," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(4), pages 574-574.
- Bai, Jushan & Ng, Serena, 2010. "Instrumental Variable Estimation In A Data Rich Environment," Econometric Theory, Cambridge University Press, vol. 26(6), pages 1577-1606, December.
- Gorodnichenko, Yuriy & Ng, Serena, 2010.
"Estimation of DSGE models when the data are persistent,"
Journal of Monetary Economics, Elsevier, vol. 57(3), pages 325-340, April.
- Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
- Ng Serena & Bai Jushan, 2009. "Selecting Instrumental Variables in a Data Rich Environment," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-34, April.
- Ng, Serena & Lewbel, Arthur, 2009. "Editors' Report 2008," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 566-566.
- Bai, Jushan & Kao, Chihwa & Ng, Serena, 2009.
"Panel cointegration with global stochastic trends,"
Journal of Econometrics, Elsevier, vol. 149(1), pages 82-99, April.
- Jushan Bai & Chihwa Kao & Serena Ng, 2007. "Panel Cointegration with Global Stochastic Trends," Center for Policy Research Working Papers 90, Center for Policy Research, Maxwell School, Syracuse University.
- Jushan Bai & Serena Ng, 2009. "Boosting diffusion indices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 607-629.
- Sydney C. Ludvigson & Serena Ng, 2009.
"Macro Factors in Bond Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5027-5067, December.
- Sydeny C. Ludvigson & Serena Ng, 2005. "Macro Factors in Bond Risk Premia," NBER Working Papers 11703, National Bureau of Economic Research, Inc.
- Jushan Bai & Serena Ng, 2008. "Extremum Estimation when the Predictors are Estimated from Large Panels," Annals of Economics and Finance, Society for AEF, vol. 9(2), pages 201-222, November.
- Bai, Jushan & Ng, Serena, 2008. "Large Dimensional Factor Analysis," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(2), pages 89-163, June.
- Ng, Serena, 2008. "A Simple Test for Nonstationarity in Mixed Panels," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 113-127, January.
- Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
- Ng, Serena & Lewbel, Arthur, 2008. "Editors' Report 2007," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 557-557.
- Ng Serena & Shum Matt, 2007. "Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 7(1), pages 1-38, November.
- Andersen, Torben G. & Lewbel, Arthur & Ng, Serena, 2007.
"Editors' Report 2006,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 503-503, October.
- Andersen, Torben G., 2006. "Editor Report 2005," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 505-505, October.
- Bai, Jushan & Ng, Serena, 2007. "Determining the Number of Primitive Shocks in Factor Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 52-60, January.
- Ludvigson, Sydney C. & Ng, Serena, 2007.
"The empirical risk-return relation: A factor analysis approach,"
Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
- Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Ng, Serena, 2006. "Testing Cross-Section Correlation in Panel Data Using Spacings," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 12-23, January.
- Jushan Bai & Serena Ng, 2006. "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions," Econometrica, Econometric Society, vol. 74(4), pages 1133-1150, July.
- Boivin, Jean & Ng, Serena, 2006.
"Are more data always better for factor analysis?,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
- Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
- Bai, Jushan & Ng, Serena, 2006.
"Evaluating latent and observed factors in macroeconomics and finance,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 507-537.
- Jushan Bai & Serena Ng, 2004. "Evaluating Latent and Observed Factors in Macroeconomics and Financ," Econometrics 0408007, University Library of Munich, Germany.
- Arthur Lewbel & Serena Ng, 2005.
"Demand Systems with Nonstationary Prices,"
The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 479-494, August.
- Arthur Lewbel & Serena Ng, 2000. "Demand Systems With Nonstationary Prices," Boston College Working Papers in Economics 441, Boston College Department of Economics, revised 07 Jun 2002.
- Jushan Bai & Serena Ng, 2005.
"Tests for Skewness, Kurtosis, and Normality for Time Series Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 49-60, January.
- Jushan Bai & Serena Ng, 2001. "Tests for Skewness, Kurtosis, and Normality for Time Series Data," Boston College Working Papers in Economics 501, Boston College Department of Economics.
- Jean Boivin & Serena Ng, 2005.
"Understanding and Comparing Factor-Based Forecasts,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(3), December.
- Boivin, Jean & Ng, Serena, 2005. "Understanding and Comparing Factor-Based Forecasts," MPRA Paper 836, University Library of Munich, Germany.
- Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," NBER Working Papers 11285, National Bureau of Economic Research, Inc.
- Serena Ng & Pierre Perron, 2005.
"A Note on the Selection of Time Series Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 115-134, February.
- Serena Ng & Pierre Perron, 2001. "A Note on the Selection of Time Series Models," Boston College Working Papers in Economics 500, Boston College Department of Economics.
- Andreas Waldkirch & Serena Ng & Donald Cox, 2004.
"Intergenerational Linkages in Consumption Behavior,"
Journal of Human Resources, University of Wisconsin Press, vol. 39(2).
- Donald Cox & Serena Ng & Andreas Waldkirch, 2000. "Intergenerational Linkages in Consumption Behavior," Econometric Society World Congress 2000 Contributed Papers 1791, Econometric Society, revised 08 Nov 2000.
- Donald Cox & Serena Ng & Andreas Waldkirch, 2000. "Intergenerational Linkages in Consumption Behavior," Boston College Working Papers in Economics 482, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2004.
"A PANIC Attack on Unit Roots and Cointegration,"
Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
- Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
- Ng, Serena, 2003.
"Can sticky prices account for the variations and persistence in real exchange rates?,"
Journal of International Money and Finance, Elsevier, vol. 22(1), pages 65-85, February.
- Serena Ng, 2001. "Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?," Economics Working Paper Archive 468, The Johns Hopkins University,Department of Economics.
- Emanuela Cardia & Serena Ng, 2003. "Intergenerational Time Transfers and Childcare," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(2), pages 431-454, April.
- Serena Ng & Timothy J. Vogelsang, 2002.
"Forecasting autoregressive time series in the presence of deterministic components,"
Econometrics Journal, Royal Economic Society, vol. 5(1), pages 196-224, June.
- Ng, Serena & Vogelsang, Tim, 2000. "Forecasting Autoregressive Time Series in the Presence of Deterministic Components," Working Papers 00-07, Cornell University, Center for Analytic Economics.
- Serena Ng & Timothy Vogelsang, 2002.
"Analysis Of Vector Autoregressions In The Presence Of Shifts In Mean,"
Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 353-381.
- Serena Ng & Timothy J. Vogelsang, 1997. "Analysis of Vector Autoregressions in the Presence of Shifts in Mean," Boston College Working Papers in Economics 379, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2002.
"Determining the Number of Factors in Approximate Factor Models,"
Econometrica, Econometric Society, vol. 70(1), pages 191-221, January.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Boston College Working Papers in Economics 440, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2000. "Determining the Number of Factors in Approximate Factor Models," Econometric Society World Congress 2000 Contributed Papers 1504, Econometric Society.
- Tom Doan, "undated". "BAING: RATS procedure to estimate factors in a factor model using Bai-Ng formulas," Statistical Software Components RTS00012, Boston College Department of Economics.
- Serena Ng & Pierre Perron, 2002.
"PPP May not Hold Afterall: A Further Investigation,"
Annals of Economics and Finance, Society for AEF, vol. 3(1), pages 43-64, May.
- Serena Ng & Pierre Perron, 2001. "PPP May not Hold After all: A Further Investigation," Economics Working Paper Archive 466, The Johns Hopkins University,Department of Economics.
- Serena Ng & Pierre Perron, 2002. "PPP May not Hold Afterall: A Further Investigation," CEMA Working Papers 83, China Economics and Management Academy, Central University of Finance and Economics.
- Bai, Jushan & Ng, Serena, 2001. "A consistent test for conditional symmetry in time series models," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 225-258, July.
- Serena Ng & Pierre Perron, 2001.
"LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power,"
Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
- Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
- Gonzalo, Jesus & Ng, Serena, 2001.
"A systematic framework for analyzing the dynamic effects of permanent and transitory shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1527-1546, October.
- Ng, Serena, 1996. "A systematic framework for analyzing the dynamic effects of permanent and transitory shocks," DES - Working Papers. Statistics and Econometrics. WS 6203, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Gonzalo, J. & Ng, S., 1996. "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks," Cahiers de recherche 9603, Universite de Montreal, Departement de sciences economiques.
- Michaelides, Alexander & Ng, Serena, 2000.
"Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators,"
Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
- Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators," LSE Research Online Documents on Economics 198, London School of Economics and Political Science, LSE Library.
- Alexander Michaelides & Serena Ng, 1997. "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators," Boston College Working Papers in Economics 373, Boston College Department of Economics.
- Serena Ng & Francisco J. Ruge-Murcia, 2000.
"Explaining the Persistence of Commodity Prices,"
Computational Economics, Springer;Society for Computational Economics, vol. 16(1/2), pages 149-171, October.
- NG, Serena & RUGE-MURCIA, Francisco J., 1997. "Explaining the Persistence of Commodity Prices," Cahiers de recherche 9709, Universite de Montreal, Departement de sciences economiques.
- Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics 374, Boston College Department of Economics.
- Lumsdaine, Robin L. & Ng, Serena, 1999.
"Testing for ARCH in the presence of a possibly misspecified conditional mean,"
Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
- Robin L. Lumsdaine & Serena Ng, 1998. "Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean," Boston College Working Papers in Economics 370, Boston College Department of Economics.
- Eric Ghysels & Serena Ng, 1998.
"A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure,"
The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 535-548, November.
- Eric Ghysels & Serena Ng, 1997. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," CIRANO Working Papers 97s-33, CIRANO.
- Eric Ghysels & Serena Ng, 1998. "A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure," Boston College Working Papers in Economics 403, Boston College Department of Economics.
- Perron, Pierre & Ng, Serena, 1998.
"An Autoregressive Spectral Density Estimator At Frequency Zero For Nonstationarity Tests,"
Econometric Theory, Cambridge University Press, vol. 14(5), pages 560-603, October.
- Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Ng, S., 1996. "An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests," Cahiers de recherche 9611, Universite de Montreal, Departement de sciences economiques.
- Garcia, Rene & Lusardi, Annamaria & Ng, Serena, 1997.
"Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(2), pages 154-176, May.
- René Garcia & Serena Ng & Annamaria Lusardi, 1995. "Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation," CIRANO Working Papers 95s-09, CIRANO.
- Garcia, R. & Lusardi, A. & Ng, S., 1995. "Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation," Cahiers de recherche 9511, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Lusardi, A. & Ng, S., 1995. "Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation," Cahiers de recherche 9511, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, Serena & Perron, Pierre, 1997.
"Estimation and inference in nearly unbalanced nearly cointegrated systems,"
Journal of Econometrics, Elsevier, vol. 79(1), pages 53-81, July.
- Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S. & Perron, P., 1995. "Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems," Cahiers de recherche 9534, Universite de Montreal, Departement de sciences economiques.
- Pierre Perron & Serena Ng, 1996.
"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, vol. 63(3), pages 435-463.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Ng, S., 1994. "Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties," Cahiers de recherche 9427, Universite de Montreal, Departement de sciences economiques.
- Serena Ng & Pierre Perron, 1996.
"The Exact Error In Estimating The Spectral Density At The Origin,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 17(4), pages 379-408, July.
- Ng, S. & Perron, P., 1995. "The Exact Error in Estimating the Special Density at the Origin," Cahiers de recherche 9535, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S. & Perron, P., 1995. "The Exact Error in Estimating the Special Density at the Origin," Cahiers de recherche 9535, Universite de Montreal, Departement de sciences economiques.
- Ng, Serena, 1996.
"Looking for evidence of speculative stockholding in commodity markets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 20(1-3), pages 123-143.
- Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, S., 1995. "Looking for Evidence of Speculative Stockholding in Commodity Markets," Cahiers de recherche 9514, Universite de Montreal, Departement de sciences economiques.
- Ng, Serena & Schaller, Huntley, 1996.
"The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information,"
The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 375-383, August.
- Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Universite de Montreal, Departement de sciences economiques.
- Ng, S. & Schaller, H., 1995. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Cahiers de recherche 9515, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Huntley Schaller & Serena Ng, 1993. "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information," Carleton Economic Papers 93-07, Carleton University, Department of Economics, revised Aug 1996.
- Ng, Serena, 1995. "Testing for unit roots in flow data sampled at different frequencies," Economics Letters, Elsevier, vol. 47(3-4), pages 237-242, March.
- Ng, Serena, 1995.
"Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 147-163, April-Jun.
- Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Universite de Montreal, Departement de sciences economiques.
- Ng, S., 1995. "Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary," Cahiers de recherche 9516, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ng, Serena, 1995. "Review of Coint 2.0," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 205-210, April-Jun.
Chapters
- Rishab Guha & Serena Ng, 2019.
"A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data,"
NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 403-436,
National Bureau of Economic Research, Inc.
- Rishab Guha & Serena Ng, 2019. "A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data," NBER Working Papers 25899, National Bureau of Economic Research, Inc.
- Jean-Jacques Forneron & Serena Ng, 2016. "A Likelihood-Free Reverse Sampler of the Posterior Distribution," Advances in Econometrics, in: Essays in Honor of Aman Ullah, volume 36, pages 389-415, Emerald Group Publishing Limited.
- Ng, Serena, 2013.
"Variable Selection in Predictive Regressions,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789,
Elsevier.
RePEc:eme:aeco11:s0731-905320160000036020 is not listed on IDEAS
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This author is among the top 5% authors according to these criteria:- Average Rank Score
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 50 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (31) 1998-08-31 2000-01-31 2000-04-17 2001-12-26 2001-12-26 2002-03-27 2003-07-16 2004-08-30 2005-05-07 2007-01-23 2009-07-28 2009-07-28 2010-01-16 2013-12-06 2014-11-22 2015-06-27 2017-04-09 2017-08-20 2017-11-26 2019-07-22 2019-10-14 2019-10-21 2019-10-21 2020-05-11 2020-07-20 2020-08-24 2021-03-08 2021-03-15 2021-07-19 2021-08-23 2021-09-13. Author is listed
- NEP-ETS: Econometric Time Series (23) 1998-08-31 2000-01-31 2000-01-31 2001-12-26 2001-12-26 2002-03-14 2002-03-14 2002-03-14 2003-07-13 2004-08-23 2004-08-23 2005-05-07 2006-11-25 2007-01-23 2010-01-16 2011-09-22 2017-04-09 2019-10-14 2020-03-23 2020-08-24 2021-07-19 2021-08-23 2021-09-13. Author is listed
- NEP-MAC: Macroeconomics (15) 2001-12-04 2004-08-23 2005-05-07 2005-11-05 2009-07-28 2013-09-24 2013-10-02 2015-12-28 2017-04-09 2017-08-20 2019-06-24 2020-04-13 2020-04-27 2021-07-19 2021-08-23. Author is listed
- NEP-FOR: Forecasting (7) 2005-07-18 2005-11-05 2006-11-25 2007-01-13 2013-10-02 2015-06-27 2019-10-14. Author is listed
- NEP-IFN: International Finance (5) 2001-12-26 2002-03-14 2002-03-14 2002-03-14 2002-03-14. Author is listed
- NEP-BIG: Big Data (4) 2017-08-20 2017-11-26 2019-06-24 2019-10-14
- NEP-FMK: Financial Markets (4) 2000-04-17 2005-07-18 2005-11-05 2009-07-28
- NEP-ORE: Operations Research (4) 2015-06-27 2020-05-11 2020-06-22 2021-08-23
- NEP-FIN: Finance (3) 2004-08-23 2005-07-18 2005-11-05
- NEP-CBA: Central Banking (2) 2002-03-14 2009-07-28
- NEP-ISF: Islamic Finance (2) 2021-08-23 2021-09-13
- NEP-RMG: Risk Management (2) 2007-01-13 2021-03-15
- NEP-CFN: Corporate Finance (1) 2005-07-18
- NEP-CWA: Central and Western Asia (1) 2021-08-23
- NEP-DGE: Dynamic General Equilibrium (1) 2009-07-28
- NEP-GEN: Gender (1) 2020-05-11
- NEP-PAY: Payment Systems and Financial Technology (1) 2019-06-24
- NEP-PKE: Post Keynesian Economics (1) 2015-06-27
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