Serena Ng

发表

Determining the Number of Factors in Approximate Factor Models

J. Bai, Serena Ng, Jushan Bai, 2000 .

The ABC of simulation estimation with auxiliary statistics

Jean-Jacques Forneron, Serena Ng, Serena Ng, 2015, Journal of Econometrics.

Testing Cross-Section Correlation in Panel Data Using Spacings

Serena Ng, Serena Ng, 2006 .

A systematic framework for analyzing the dynamic e!ects of permanent and transitory shocks

Serena Ng, Serena Ng, 2001 .

Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power

P. Perron, Serena Ng, Pierre Perron, 2001 .

A Panic Attack on Unit Roots and Cointegration

J. Bai, Serena Ng, Jushan Bai, 2001 .

PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION

Serena Ng, Jushan Bai, J. Bai, 2009, Econometric Theory.

A Semiparametric Factor Model of Interest Rates and Tests of the Affine Term Structure

E. Ghysels, Serena Ng, Eric Ghysels, 1998, Review of Economics and Statistics.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

Sydney C. Ludvigson, Serena Ng, S. Ludvigson, 2015, American Economic Journal: Macroeconomics.

Forecasting economic time series using targeted predictors

J. Bai, Serena Ng, Jushan Bai, 2008 .

The Empirical Risk-Return Relation: A Factor Analysis Approach

Sydney C. Ludvigson, Serena Ng, S. Ludvigson, 2005 .

Macro Factors in Bond Risk Premia

Sydney C. Ludvigson, Serena Ng, S. Ludvigson, 2005 .

A Factor Analysis of Bond Risk Premia

Serena Ng, S. Ludvigson, 2009 .

Large Dimensional Factor Analysis

J. Bai, Serena Ng, Jushan Bai, 2008 .

Dynamic Hierarchical Factor Models

Simon M. Potter, Serena Ng, E. Moench, 2011, Review of Economics and Statistics.

Principal components estimation and identification of static factors

J. Bai, Serena Ng, Jushan Bai, 2013 .

Rank regularized estimation of approximate factor models

J. Bai, Serena Ng, Jushan Bai, 2019, Journal of Econometrics.

Constructing Common Factors from Continuous and Categorical Data

Serena Ng, 2015 .

Principal Components and Regularized Estimation of Factor Models

Serena Ng, Jushan Bai, J. Bai, 2017, 1708.08137.

Tests for Skewness, Kurtosis, and Normality for Time Series Data

Serena Ng, Jushan Bai, J. Bai, 2005 .

Panel cointegration with global stochastic trends

Serena Ng, Jushan Bai, Chihwa Kao, 2008, 0805.1768.

Demand Systems with Nonstationary Prices

Serena Ng, Arthur Lewbel, A. Lewbel, 2005, Review of Economics and Statistics.

Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary

Serena Ng, Serena Ng, 1995 .

Simpler Proofs for Approximate Factor Models of Large Dimensions

J. Bai, Serena Ng, Jushan Bai, 2020, 2008.00254.

INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT

Serena Ng, Jushan Bai, J. Bai, 2010, Econometric Theory.

Selecting Instrumental Variables in a Data Rich Environment

Serena Ng, Jushan Bai, J. Bai, 2009 .

Variable Selection in Predictive Regressions

Serena Ng, Serena Ng, 2013 .

Boosting High Dimensional Predictive Regressions with Time Varying Parameters

Serena Ng, Kashif Yousuf, 2019, 1910.03109.

Minimum Distance Estimation of Possibly Noninvertible Moving Average Models

Serena Ng, Nikolay Gospodinov, 2015 .

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation

René Garcia, A. Lusardi, Serena Ng, 1995 .

Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data

J. Bai, Serena Ng, 2019, 1910.06677.

Forecasting Autoregressive Time Series in the Presence of Deterministic Components

T. Vogelsang, Serena Ng, 2002 .

Minimum Distance Estimation of Dynamic Models with Errors-in-Variables

Serena Ng, Nikolay Gospodinov, Ivana Komunjer, 2014 .

BOOSTING RECESSIONS

Serena Ng, 2013 .

A Simple Test for Nonstationarity in Mixed Panels

Serena Ng, 2008 .

Working Paper Series

Serena Ng, Michael W. McCracken, Serena Ng, 2019 .

Federal Reserve Bank of New York Staff Reports Dynamic Hierarchical Factor Models

Simon M. Potter, Serena Ng, E. Moench, 2011 .

NBER WORKING PAPER SERIES COMMODITY-PRICE COMOVEMENT AND GLOBAL ECONOMIC ACTIVITY

John C. Bluedorn, L. Kilian, C. Baumeister, 2014 .

Principal Components Estimation and Identication of the Factors

Serena Ng, Bai, 2011 .

NBER WORKING PAPER SERIES ESTIMATING CROSS-COUNTRY DIFFERENCES IN PRODUCT QUALITY

Peter K. Schott, Juan Carlos Hallak, Philip A. Haile, 2008 .

MEASUREMENT ERRORS IN DYNAMIC MODELS

Serena Ng, Ivana Komunjer, 2013, Econometric Theory.

A Hierarchical Factor Analysis of U.S. Housing Market Dynamics

Serena Ng, Serena Ng, E. Moench, 2011 .

SimpleModels and Biased Forecasts*

Kristoffer P. Nimark, A. Pavan, Annie Liang, 2022 .

Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions

J. Bai, Serena Ng, Jushan Bai, 2006 .

Least Squares Estimation using Sketched Data with Heteroskedastic Errors

Serena Ng, S. Lee, 2020, ICML.

Factor-based imputation of missing values and covariances in panel data of large dimensions

J. Bai, Serena Ng, Ercument Cahan, 2021, Journal of Econometrics.

A Semi-Parametric Factor Model for Interest Rates

Serena Ng, Eric Ghysels, 1996 .

Level and Volatility Factors in Macroeconomic Data

Serena Ng, Y. Gorodnichenko, 2017 .

The Exact Error In Estimating The Spectral Density At The Origin

Serena Ng, Pierre Perron, 1996 .

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models

Serena Ng, Nikolay Gospodinov, 2013 .

Dynamic Identification of Dynamic Stochastic General Equilibrium Models

Serena Ng, Ivana Komunjer, 2011 .

Intergenerational Linkages in Consumption Behavior

Serena Ng, Donald Cox, A. Waldkirch, 2004, The Journal of Human Resources.

Dynamic Identification of DSGE Models

Serena Ng, Ivana Komunjer, Serena Ng, 2009 .

Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Serena Ng, Pierre Perron, Serena Ng, 1995 .

Useful References

Serena Ng, 2019, Wasps.

Estimation of DSGE Models When the Data are Persistent

Serena Ng, Y. Gorodnichenko, 2009 .

An Econometric Perspective on Algorithmic Subsampling

Serena Ng, S. Lee, 2019, Annual Review of Economics.

An Econometric View of Algorithmic Subsampling

Serena Ng, Simon Lee, Serena Ng, 2019 .

Local Projection Inference Is Simpler and More Robust Than You Think

Serena Ng, Domenico Giannone, Marco Del Negro, 2020, Econometrica.

Time series estimation of the dynamic effects of disaster-type shocks

Serena Ng, R. Davis, R. Davis, 2021, Journal of Econometrics.

AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS

Serena Ng, Pierre Perron, 1998, Econometric Theory.

Viewpoint: Boosting Recessions (Prévoir les Recessions)

Serena Ng, 2014 .

Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown

Serena Ng, Chang-Ching Lin, Serena Ng, 2007 .

Iubkabies) S

Serena Ng, Jushan Bai, Pierre Perron, 2011 .

RECENT DEVELOPMENTS IN LARGE DIMENSIONAL FACTOR ANALYSIS

Serena Ng, Jushan Bai, Serena Ng, 2008 .

Covid-19 and the Macroeconomic Effects of Costly Disasters

Serena Ng, S. Ludvigson, Sai Ma, 2020 .

Fred-Qd: A Quarterly Database for Macroeconomic Research

Serena Ng, Michael W. McCracken, Serena Ng, 2020, Review.

Shock Restricted Structural Vector-Autoregressions

Sydney C. Ludvigson, Serena Ng, S. Ludvigson, 2017 .

Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties

Serena Ng, Pierre Perron, Serena Ng, 1996 .

Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data

Serena Ng, Jushan Bai, 2019, 1910.06677.

Explaining the Persistence of Commodity Prices

Serena Ng, F. Ruge-Murcia, 2000 .

Constructing High Frequency Economic Indicators by Imputation

Serena Ng, Susannah Scanlan, 2023, 2303.01863.

Are more data always better for factor analysis

Serena Ng, Jean Boivin, Jean Boivin, 2006 .

A Note on the Selection of Time Series Models

Serena Ng, Pierre Perron, Serena Ng, 2005 .

A SIMPLE TEST FOR NON-STATIONARITY IN MIXED PANELS

Serena Ng, 2005 .

A New Look at Panel Testing of Stationarity and the PPP Hypothesis

Serena Ng, Jushan Bai, 2001 .

ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN

T. Vogelsang, Serena Ng, 2002 .

Forecasting Dynamic Time Series in the Presence of Deterministic Components

T. Vogelsang, Serena Ng, 1999 .

PRACTITIONERS' CORNER A Note on the Selection of Time Series Models

Serena Ng, Pierre Perron, 2005 .

FACTOR AUGMENTED AUTOREGRESSIVE DISTRIBUTED LAG MODELS

Serena Ng, D. Stevanovic, Serena Ng, 2012 .

Latent Dirichlet Analysis of Categorical Survey Expectations

Evan Munro, Serena Ng, Serena Ng, 2019, SSRN Electronic Journal.

Latent Dirichlet Analysis of Categorical Survey Responses

Evan Munro, Serena Ng, Evan Munro, 2019, Journal of Business & Economic Statistics.

Indirect Estimation of Panel Models With Time Varying Latent Components

Serena Ng, Ivana Komunjer, Serena Ng, 2010 .

Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates

Serena Ng, 2002 .

PPP May not Hold Afterall: A Further Investigation

Serena Ng, Pierre Perron, 2002 .

Looking for evidence of speculative stockholding in commodity markets

Serena Ng, 1995 .

Evaluating latent and observed factors in macroeconomics and finance

Serena Ng, Jushan Bai, Serena Ng, 2006 .

Determining the Number of Primitive Shocks in Factor Models

Serena Ng, Jushan Bai, Serena Ng, 2007 .

The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information

Serena Ng, Huntley Schaller, Huntley Schaller, 1996 .

A Semi-Parametric Factor Model of Interest Rates and Tests of the A ne Term Structure Eric Ghysels Pennsylvania State University and CIRANO

Serena Ng, 1998 .

Commodity Prices, Convenience Yields, and Inflation

Serena Ng, Nikolay Gospodinov, 2013, Review of Economics and Statistics.

A consistent test for conditional symmetry in time series models

Serena Ng, Jushan Bai, Serena Ng, 2001 .

Testing for ARCH in the presence of a possibly misspecified conditional mean

Serena Ng, Robin L. Lumsdaine, R. Lumsdaine, 1999 .

Measuring Uncertainty: Supplementary Material

Serena Ng, Kyle Jurado, Sydney C. Ludvigson, 2015 .

Appendix for 2014 Update of "Measuring Uncertainty" Data

Serena Ng, Kyle Jurado, Sydney C. Ludvigson, 2014 .

Measuring Uncertainty

Serena Ng, S. Ludvigson, Kyle Jurado, 2013 .

Extremum Estimation when the Predictors are Estimated from Large Panels

Serena Ng, Jushan Bai, 2008 .

A Test for Conditional Symmetry in Time Series Models

Serena Ng, Jushan Bai, 1998 .

Parametric and Nonparametric Approaches to Price and Tax Reform

Angus Deaton, Serena Ng, 1998 .

Adjustment Costs and Factor Demands in Canadian Manufacturing Industries

B. Carmichael, Serena Ng, 1992 .

Do Housing Bubbles Aect Consumption

Huntley Schaller, Serena Ng, 1998 .

INSTRUMENTAL VARIABLE ESTIMATION BY ITERATIVE PROJECTIONS

Serena Ng, S. Ludvigson, Sai Ma, 2016 .

COINTEGRATION WITH GLOBAL STOCHASTIC TRENDS

Serena Ng, C. Kao, Jushan Bai, 2007 .

A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data

Serena Ng, Rishabh D Guha, 2019, SSRN Electronic Journal.

Understanding and Comparing Factor-Based Forecasts

Serena Ng, Jean Boivin, Jean Boivin, 2005 .

COVID-19 and the Costs of Deadly Disasters

Serena Ng, S. Ludvigson, Sai Ma, 2021 .

REDUCED-RANK IDENTIFICATION OF STRUCTURAL SHOCKS

L. Kilian, Serena Ng, A. Inoue, 2004 .

Modeling Macroeconomic Variations after Covid-19

Serena Ng, 2021, 2103.02732.

COVID-19 and Estimation of Macroconomic Factors

Serena Ng, 2021 .

Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems.

Serena Ng, Pierre Perron, 1997 .

HIGH FREQUENCY IDENTIFICATION OF MONETARY NON-NEUTRALITY

Jonathan H. Wright, Richard K. Crump, Eric T. Swanson, 2015 .

The Causal Effect of Environmental Catastrophe on Long-Run Economic Growth: Evidence from 6,700 Cyclones

Kyle C. Meng, M. Oppenheimer, M. Burke, 2014 .

Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent

Serena Ng, J. Pinkse, 1995 .

Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

Serena Ng, Serena Ng, 2016 .

Sketching for Two-Stage Least Squares Estimation pdf

Serena Ng, Sokbae Lee, Serena Ng, 2020, ArXiv.

Gaming the Boston School Choice Mechanism in Beijing

Thierry Magnac, Michael Riordan, Parag A. Pathak, 2012 .

Jörg Breitung and M. Hashem Pesaran Unit Roots and Cointegration in Panels

G. Kapetanios, M. Pesaran, B. Baltagi, 2005 .

Parametric and Non-Parametric Approaches to Price and Tax Reform

Serena Ng, A. Deaton, 1996 .

Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers

M. Shum, Serena Ng, 2007 .

Detecting Information Pooling: Analysts' Forecasts after Brokerage Firm Mergers

M. Shum, Serena Ng, 2007 .

The Causal Effect of Environmental Catastrophe on Long-Run Economic Growth: Evidence from 6,700 Cyclones

Kyle C. Meng, M. Oppenheimer, M. Burke, 2014 .

Understanding and Comparing Factor-Based Forecasts

Jean Boivin, Serena Ng, 2005 .

NBER WORKING PAPER SERIES UNCERTAINTY AND BUSINESS CYCLES : EXOGENOUS IMPULSE OR ENDOGENOUS RESPONSE ?

Serena Ng, S. Ludvigson, Sai Ma, 2015 .

Constructing High Frequency Economic Indicators by Imputation

Serena Ng, Susannah Scanlan, 2023, The Econometrics Journal.

Simulated minimum distance estimation of dynamic models with errors-in-variables

Nikolay Gospodinov, Serena Ng, Ivana Komunjer, 2017 .

FRED-MD: A Monthly Database for Macroeconomic Research

Michael W. McCracken, Serena Ng, 2015 .

Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators

Serena Ng, Alexander Michaelides, Serena Ng, 2000 .

Are More Data Always Better for Factor Analysis?

Serena Ng, Jean Boivin, Serena Ng, 2003 .

A Likelihood-Free Reverse Sampler of the Posterior Distribution

Jean-Jacques Forneron, Serena Ng, Serena Ng, 2015, 1506.04017.

Estimation and Inference by Stochastic Optimization: Three Examples

Jean-Jacques Forneron, Serena Ng, Serena Ng, 2021, AEA Papers and Proceedings.

Inference by Stochastic Optimization: A Free-Lunch Bootstrap

Jean-Jacques Forneron, Serena Ng, Serena Ng, 2020, 2004.09627.

On the Identification of DSGE Models

Serena Ng, Ivana Komunjer, 2009 .

Accounting for Trends in the Almost Ideal Demand System

Serena Ng, 1997 .

Measuring Uncertainty

Serena Ng, S. Ludvigson, Kyle Jurado, 2013 .

The Predictive Content of High Frequency Consumer Confidence Data

Serena Ng, 2016 .

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

Serena Ng, S. Ludvigson, Sai Ma, 2015, American Economic Journal: Macroeconomics.