Serena Ng‎ > ‎

Publications


  • The ABC of Simulation Estimation with Auxiliary Statistics, (with Jean-Jacques
  • Forneron (2018) Journal of Econometrics, 205:1, 112-139


  • A Likelihood Reverse Sampler of the Posterior Distribution, (with Jean-Jacques Forneron, 2016) pdf Advances in Econometrics Vol 36, p.389-415


  • Level and Volatility Factors in Macroeconomic Data (with Yuriy Gorodnichenko, 2017). Journal of Monetary Economics, 91. p.52-68 

  • Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data (11/16). Forthcoming in Eleventh World Congress of the Econometric Society, Cambridge University Press. 

  • FRED-MD: A Monthly Database for Macroeconomic Research (with Michael McCracken, 06/1) pdf & Journal of Business and Economic Statistics, download data here

  • Minimum Distance Estimation of Dynamic Models with Errors in Variables (2017, with N. Gospodinov and I. Komunjer), Journal of Econometrics.

  • Constructing Common Factors from Continuous and Categorical Data (2015), Econometric Reviews, 34, 1141-1171.

  • Measuring Uncertainty (2015, with K. Jurado and S. Ludvigson) American Economic Review, 105:3, 1177-1216)   Uncertainty Series   Macro data

  • Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models (with N. Gospodinov, 2015, Journal of Business and Economic Statistics, 33:3, p.403-417)

  • Boosting Recessions (2014), Canadian Journal of Economics 47:1, p.1-34)

  • Measurement Errors in Dynamic Models (2014, with I. Komunjer), Econometric Theory, 30, 150-175

  • Principal Components Estimation and Identification of the Factors (2013, with J. Bai, Journal of Econometrics, 176:1, p.18-29)

  • Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling (with J. Wright, 2013, Journal of Economic Literature, 51L4, p.1120-1154)

  • Variable Selection in Predictive Regressions (2013, Handbook of Forecasting Vol.2B, p.753-786)

  • Dynamic Hierarchical Factor Models (2013, with E. Moench and S. Potter) Review of Economics and Statistics, 95:5. Data Appendix

  • Commodity Prices, Convenience Yields, and Inflation (with N. Gospodinov, 03/13, Review of Economics and Statistics) 

  • Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties (2012, with Yuriy Gorodnichenko and Anna Mikusheva), Econometric Theory, 28, p.1003-1036  on line appendix

  • Estimation of Panel Data Models with Parameter Heterogeneity When Group Membership is Unknown (2012, with CC Lin) Journal of Economic Methods, 1, p.42-55 

  • Dynamic Identification of DSGE Models (2011, with I. Komunjer), Econometrica, 79:6, 1995-2032  supp. file Further details

  • A Factor Analysis of Housing Market Dynamics in the U.S. and the Regions (with E. Moench, 2011,} Econometrics Journal, 14, C1-C24. 

  • Estimaton of DSGE Models When the Data are Persistent (2010), with Yuriy Gorodnichenko, Journal of Monetary Economics, 57, p.325-340. 

  • A Factor Analysis of Bond Risk Premia (with Sydney Ludvigson, 2011)  Handbook of Empirical Economics and Finance, A. Ulah and D. Giles Ed. p.313-372, Chapman and Hall.

  • Instrumental Variable Estimation in a Data Rich Environment (2010, with J. Bai), Econometric Theory, 26:6, 1577-1606

  • Panel Unit Root Tests with Cross-Section Dependence (2010), with J. Bai Econometric Theory, 26, 1088-1114 

  • Selecting Instrumental Variables in a Data Rich Environment (2009) with Jushan Bai, Journal of Time Series Econometrics, 1:1, Article 4 

  • Panel Cointegration with Global Stochastic Trends (2009), with J. Bai and C. Kao, Journal of Econometrics, 149, 82-99.

  • Boosting Diffusion Indices (2009), with J. Bai, Journal of Applied Econometrics, 24:4, 607-629. 

  • Macro Factors in Bond Risk Premia (2009) (with S. Ludvigson) Review of Financial Studies, 22:12, 5027-5067 Data

  • Forecasting Economic Time Series Using Targeted Predictors (2008) (with J. Bai), Journal of Econometrics 146, 304-317

  • Extremum Estimation when the Predictors are Estimated from Large Panels (2008), with Jushan Bai, Annals of Economics and Fiance, 9-2, 201-222. 

  • Large Dimensional Factor Analysis, (2008), Foundations and Trends in Econometrics , 3:2, 89-163. 

  • Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers (with M. Shum), (2007), BE Journal of Economic Analysis and Policy, (Advancees), 7:1, Article 60 

  • A Simple Test for NoN-Stationarity in Mixed Panels, (2008) Journal of Business and Economic Statistics , 26:1, 113-127,

  • The Empirical Risk-Return Relation: A Factor Analysis Approach (with S. Ludvigson) , Journal of Financial Economics , 2007, 83:171-222 

  • "Determining the Number of Primitive Shocks in Factor Models" (with J. Bai), (2007), Journal of Business and Economic Statistics, 25:1, p.52-60. 

  • "Confidence Intervals for Diffusion Index Forecasts and Inference for Factor Augmented Regressions, (with J. Bai), (2006) Econometrica, 74:4, p. 1133-1150" . Also available: long version

  • "Are More Data Always Better for Factor Analysis", (with J. Boivin), (2006), Journal of Econometrics, 132, p. 169-194. 

  • " Evaluating Latent and Observed Factors in Macroeconomics and Finance", (with J. Bai), (2006) Journal of Econometrics, 113:1-2, p. 507-537". 

  • "Testing Cross-Section Correlation in Panel Data using Spacings", Journal of Bisiness and Economics Statistics , (2006), 24:1, 12-23. p

  • "Understanding and Comparing Factor Based Macroeconomic Forecasts", with J. Boivin, (2005) International Journal of Central Banking, 1:3, p.117-152. 

  • "Non-stationary Demand Systems" (with A. Lewbel), (2005), Review of Economics and Statistics , Vol 87:4, p. 479-494.

  • "A Note on the Selection of Time Series Models", (with P. Perron), (2005), Oxford Bulletin of Economics and Statistics, 67:1, 115-134. 

  • "Tests of Skewness, Kurtosis, and Normality in Time Series Data" (with J. Bai), (2005), Journal of Bisiness and Economics Statistics , 23:1, 49-60. 

  • "Intergenerational Linkages in Consumption Behavior", (with A. Waldkirch and D. Cox), (2004), Journal of Human Resources , 39:2, p. 355-381. 

  • "A PANIC Attack on Unit Roots and Cointegration, ", (with J. Bai), Econometrica, (2004), 72:4, 1127-1177.

  • A New Look at Panel Testing of Stationarity and the PPP Hypothesis with J. Bai, (2004), Indentification and Inference in Econometric Models: Essays in Honor of Thomas J. Rothenberg, Don Andrews and James Stock (ed), Cambridge University Press. 

  • "Intergenerational Time Transfers and ChildCare (with E. Cardia) Review of Economic Dynamics", (2003), 6:2, 431-454.

  • "Analysis of Vector Autoregressions in the Presence of Mean Shifts", (with T. Vogelsang), (2002), Econometric Reviews, 21:3, 353-381, 

  • "Forecasting Dynamic Time Series in the Presence of Deterministic Components", (with T. Vogelsang), (2002)  5, 196-224.

  • "Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates" , Journal of International Money and Finance,, (2003), 22:1, 65-85, 

  • PPP May not Hold Afterall: A Further Investigation (with P. Perron), Annals of Economics and Finance, (2002), 3, 41-64.

  • "Determining the Number of Factors in Approximate Factor Models", (with J. Bai), Econometrica, (2002), 70:1, 191-221. 

  • "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power ", (with P. Perron), Econometrica, (2001), 69:6, 1519-1554. 

  • "A Test for Conditional Symmetry in Time Series Models", (with J. Bai), (2001), Journal of Econometrics, Vol 103, 1:2, 225-258. 

  • "A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks", (with J. Gonzalo), (2001), Journal of Economic Dynamics and Control, 25:10, p. 1527-1546. 

  • "Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators", (with A. Michaelides), (2000),Journal of Econometrics, Vol 96:2, p. 231-266. 

  • "Testing for ARCH in the Presence of a Possibly Misspecified Mean". (with R. L. Lumsdaine), (1999), Journal of Econometrics, 93:2, p. 257-279. 

  • "Properties of the Autoregressive Spectral Density Estimator at Frequency Zero in ARIMA Processes". (with P.Perron), (1998), Econometric Theory, Vol 14, p. 560- 603. 

  • "A Semi-Parametric Factor Model for Interest Rates and Spreads" (with E. Ghysels), (1998), Review of Economics and Statistics , Vol 80:4, p. 489-502. 

  • "Parametric and Non-parametric Approaches to Price and Tax Policy Reform" (with A. Deaton), (1998), Journal of the American Statistical Association, Vol 93, p.900- 909. 

  • "Excess Sensitivity and Asymmetries in Consumption" (with A. Lusardi and R. Garcia), (1997), Journal of Money Credit and Banking, Vol. 29:2, 154-176. 

  • "Estimation and Inference in Nearly Unbalanced Nearly Cointegrated Systems" (with P. Perron),(1997), Journal of Econometrics, Vol 79, 54-81. 

  • "Useful Modifications to Unit Root Tests with Dependent Errors and their Local Asymptotic Properties" (with P. Perron). (1996), Review of Economic Studies , Volume 63, 435-464. 

  • "The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information" (with Huntley Schaller), (1996), Review of Economics and Statistics , Vol. 78, 375-383. 

  • "Looking for Evidence of Speculative Stockholding in Commodity Markets", (1996), Journal of Economic Dynamics and Control, Volume 20, 123-144. 

  • "The Exact Error of the Spectral Density at the Origin" (with P. Perron). (1996) Journal of Time Series Analysis, Volume 17, 379-408. 

  • "Unit Root Tests in ARMA Models with Data Dependent Methods for the Truncation Lag" (with P. Perron) (1995), Journal of the American Statistical Association, Volume 429, 268-281. 

  • "Testing for Homogeneity in Demand Systems when the Regressors are Non-Stationary ", (1995), Journal of Applied Econometrics, Volume 10, 147-164. 

  • "Testing for Unit Roots in Flow Data Sampled at Different Frequencies", (1995),Economics Letters , Volume 47, p. 237-242. 

  • Invited Papers

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