Serena Ng

Columbia Business School - Economics Department

420 West 118th Street

New York, NY 10027

United States

  • Columbia Business School - Economics Department

SCHOLARLY PAPERS

31

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SSRN CITATIONS
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Top 741

in Total Papers Citations

166

CROSSREF CITATIONS

1,017

Scholarly Papers (31)

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1.

The Empirical Risk-Return Relation: A Factor Analysis Approach

Downloads 610 ( 43,249)
Citation 142

The Empirical Risk-Return Relation: A Factor Analysis Approach

Number of pages: 58 Posted: 14 Jul 2005
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 543 (49,656)

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Risk-premia, excess returns, stock market volatility

The Empirical Risk-Return Relation: A Factor Analysis Approach

NBER Working Paper No. w11477
Number of pages: 58 Posted: 09 Aug 2005 Last Revised: 02 Apr 2015
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 67 (343,737)
Citation 8

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2.

Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

Downloads 239 (128,853)
Citation 3

Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

Number of pages: 35 Posted: 04 Nov 2016 Last Revised: 21 Feb 2017
Serena Ng
Columbia Business School - Economics Department
Downloads 220 (139,393)

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Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

NBER Working Paper No. w23673
Number of pages: 36 Posted: 17 Aug 2017
Serena Ng
Columbia Business School - Economics Department
Downloads 19 (550,560)

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3.

A Panic Attack on Unit Roots and Cointegration

Boston College Working Paper No. 519
Number of pages: 40 Posted: 23 Dec 2001
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia Business School - Economics Department
Downloads 212 (144,709)
Citation 54

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Panel data, common factors, common trends, principal components

4.

Dynamic Hierarchical Factor Models

FRB of New York Staff Report No. 412
Number of pages: 17 Posted: 15 Dec 2009 Last Revised: 31 Jul 2011
Emanuel Moench, Serena Ng and Simon Potter
Deutsche Bundesbank, Columbia Business School - Economics Department and Federal Reserve Bank of New York
Downloads 148 (199,080)
Citation 16

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forecasting, monitoring, comovements, large dimensional panel, diffusion index

5.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013
Kyle Jurado, Sydney C. Ludvigson and Serena Ng
Duke University - Department of Economics, New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 98 (270,545)
Citation 28

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6.

Macro Factors in Bond Risk Premia

Downloads 94 (278,006)

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Jun 2010
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 94 (280,101)
Citation 15

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Macro Factors in Bond Risk Premia

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5027-5067, 2009
Posted: 24 Nov 2009
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia Business School - Economics Department

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E0, E4, G10, G12

7.

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

Downloads 78 (311,976)

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

Number of pages: 28 Posted: 09 Mar 2002
Serena Ng
Columbia Business School - Economics Department
Downloads 78 (315,062)
Citation 1

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persistence, half-lives, rigidities, real exchange rates

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

Forthcoming in Journal of International Money & Finance
Posted: 24 Jun 2002
Serena Ng
Columbia Business School - Economics Department

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persistence, half-lives, rigidities, real exchange rates

8.

Fred-Md: A Monthly Database for Macroeconomic Research

FRB St. Louis Working Paper No. 2015-12
Number of pages: 31 Posted: 19 Aug 2015 Last Revised: 06 Mar 2019
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 69 (334,247)
Citation 14

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diffusion index, forecasting, big data, factors.

9.

Are More Data Always Better for Factor Analysis?

NBER Working Paper No. w9829
Number of pages: 27 Posted: 14 Jul 2003
Jean Boivin and Serena Ng
HEC Montreal and Columbia Business School - Economics Department
Downloads 57 (368,388)
Citation 7

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10.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188
Number of pages: 60 Posted: 28 Jul 2009 Last Revised: 04 Jul 2010
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 56 (371,649)
Citation 2

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11.

Estimation of DSGE Models When the Data are Persistent

Downloads 52 (384,420)
Citation 6

Estimation of DSGE Models When the Data are Persistent

Number of pages: 35 Posted: 25 Jul 2009
Serena Ng and Yuriy Gorodnichenko
Columbia Business School - Economics Department and University of California, Berkeley - Department of Economics
Downloads 41 (432,337)
Citation 2

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DSGE, estimation, persistence

Estimation of DSGE Models When the Data are Persistent

NBER Working Paper No. w15187
Number of pages: 36 Posted: 28 Jul 2009 Last Revised: 04 Jul 2010
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia Business School - Economics Department
Downloads 11 (604,417)

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12.

Understanding and Comparing Factor-Based Forecasts

NBER Working Paper No. w11285
Number of pages: 29 Posted: 02 Jun 2005
Jean Boivin and Serena Ng
HEC Montreal and Columbia Business School - Economics Department
Downloads 48 (398,036)
Citation 23

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13.

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

NBER Working Paper No. w19469
Number of pages: 45 Posted: 02 Oct 2013
Serena Ng and Jonathan H. Wright
Columbia Business School - Economics Department and Johns Hopkins University - Department of Economics
Downloads 43 (415,955)
Citation 2

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14.

Parametric and Non-Parametric Approaches to Price and Tax Reform

NBER Working Paper No. w5564
Number of pages: 27 Posted: 24 Sep 1996 Last Revised: 01 Oct 2010
Angus Deaton and Serena Ng
Princeton University and Columbia Business School - Economics Department
Downloads 35 (448,146)
Citation 1

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15.

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

Number of pages: 37 Posted: 24 Mar 2019
Rishab Guha and Serena Ng
Harvard University and Columbia Business School - Economics Department
Downloads 33 (456,836)

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Seasonal Adjustment, Random Forest, Demand System

16.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 52 Posted: 14 Dec 2015
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve and Columbia Business School - Economics Department
Downloads 32 (461,320)
Citation 3

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17.

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

FRB Atlanta Working Paper No. 2014-11
Number of pages: 37 Posted: 04 Apr 2015 Last Revised: 25 Aug 2015
Nikolay Gospodinov, Ivana Komunjer and Serena Ng
Federal Reserve Bank of Atlanta, University of California, San Diego (UCSD) - Department of Economics and Columbia Business School - Economics Department
Downloads 32 (461,320)
Citation 2

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measurement error, minimum distance, simulation estimation, dynamic panel

18.

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models

FRB Atlanta Working Paper No. 2013-11
Number of pages: 32 Posted: 22 Mar 2015
Nikolay Gospodinov and Serena Ng
Federal Reserve Bank of Atlanta and Columbia Business School - Economics Department
Downloads 18 (537,674)
Citation 4

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GMM, simulation-based estimation, non-invertibility, identification, non-Gaussian errors, generalized lambda distribution

19.

Level and Volatility Factors in Macroeconomic Data

NBER Working Paper No. w23672
Number of pages: 31 Posted: 17 Aug 2017
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia Business School - Economics Department
Downloads 16 (549,417)
Citation 2

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20.

A Note on the Selection of Time Series Models

Oxford Bulletin of Economics & Statistics, Vol. 67, No. 1, pp. 115-134, February 2005
Number of pages: 20 Posted: 11 Jan 2005
Serena Ng and Pierre Perron
Columbia Business School - Economics Department and Boston University - Department of Economics
Downloads 16 (549,417)
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21.

Detecting Information Pooling: Analysts' Forecasts after Brokerage Firm Mergers

The B.E. Journal of Economic Analysis & Policy, 2007
Number of pages: 38 Posted: 20 Mar 2016 Last Revised: 26 Apr 2016
Serena Ng and Matthew Shum
Columbia Business School - Economics Department and California Institute of Technology
Downloads 15 (555,366)

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information pooling, earnings forecasts, brokerage mergers

22.

Forecasting Autoregressive Time Series in the Presence of Deterministic Components

The Econometrics Journal, Vol. 5, pp. 196-224, 2002
Number of pages: 29 Posted: 02 Dec 2002
Serena Ng and Timothy J. Vogelsang
Columbia Business School - Economics Department and Cornell University
Downloads 15 (555,366)
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Forecasting, Trends, Unit root, GLS estimation

23.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 45 Posted: 19 Mar 2017
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve and Columbia Business School - Economics Department
Downloads 14 (561,595)

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24.

Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties

NBER Working Paper No. w17424
Number of pages: 43 Posted: 21 Sep 2011
Yuriy Gorodnichenko, Anna Mikusheva and Serena Ng
University of California, Berkeley - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Columbia Business School - Economics Department
Downloads 12 (574,048)

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25.

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

NBER Working Paper No. w25899
Number of pages: 40 Posted: 07 Jun 2019
Rishab Guha and Serena Ng
Harvard University and Columbia Business School - Economics Department
Downloads 4 (626,685)
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26.

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

Econometrics Journal, Vol. 14, No. 1, pp. C1-C24, 2011
Number of pages: 24 Posted: 28 Feb 2011
Emanuel Moench and Serena Ng
Deutsche Bundesbank and Columbia Business School - Economics Department
Downloads 2 (644,260)
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FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values

27.

Viewpoint: Boosting Recessions (Prévoir les Recessions)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 47, Issue 1, pp. 1-34, 2014
Number of pages: 34 Posted: 28 Jan 2014
Serena Ng
Columbia Business School - Economics Department
Downloads 0 (673,801)
Citation 1
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28.

Panel Cointegration with Global Stochastic Trends

Journal of Econometrics, Vol. 149, No. 1, 2009
Posted: 21 Apr 2011
Jushan Bai, Chihwa Kao and Serena Ng
New York University (NYU) - Department of Economics, Syracuse University and Columbia Business School - Economics Department

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29.

Intergenerational Linkages in Consumption Behavior

Journal of Human Resources, Forthcoming
Posted: 19 Nov 2003
Andreas Waldkirch, Serena Ng and Donald Cox
Colby College - Department of Economics, Columbia Business School - Economics Department and Boston College - Department of Economics

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family, income, tastes, habits, learning

30.

Determining the Number of Factors in Approximate Factor Models

Econometrica, Vol. 70, pp. 191-221, January 2002
Posted: 15 May 2002
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia Business School - Economics Department

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31.

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation

JOURNAL OF MONEY, CREDIT, AND BANKING, Vol. 29, No. 2, May 1997
Posted: 05 Feb 1997
René Garcia, Annamaria Lusardi and Serena Ng
Université de Montréal - CIREQ - Département de sciences économiques, George Washington University - Department of Accountancy and Columbia Business School - Economics Department

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