Serena Ng

Columbia University - Columbia Business School, Economics

420 West 118th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

35

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2,692

SSRN CITATIONS
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SSRN RANKINGS

Top 609

in Total Papers Citations

677

CROSSREF CITATIONS

1,003

Scholarly Papers (35)

The Empirical Risk-Return Relation: A Factor Analysis Approach

Number of pages: 58 Posted: 14 Jul 2005
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 556 (69,411)
Citation 1

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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: 13 May 2022
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 78 (425,591)
Citation 30

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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 University - Columbia Business School, Economics
Downloads 274 (155,519)

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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 Last Revised: 09 Mar 2022
Serena Ng
Columbia University - Columbia Business School, Economics
Downloads 24 (690,351)
Citation 2

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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 University - Columbia Business School, Economics
Downloads 229 (186,166)
Citation 66

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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
Frankfurt School of Finance and Management, Columbia University - Columbia Business School, Economics and Peterson Institute for International Economics
Downloads 183 (228,443)
Citation 28

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

5.

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 University - Columbia Business School, Economics
Downloads 177 (235,082)
Citation 92

Abstract:

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diffusion index, forecasting, big data, factors

6.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013 Last Revised: 28 Feb 2022
Duke University - Department of Economics, New York University - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 162 (253,317)
Citation 212

Abstract:

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7.
Downloads 127 (306,806)

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Jun 2022
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 127 (308,096)
Citation 58

Abstract:

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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 University - Columbia Business School, Economics

Abstract:

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E0, E4, G10, G12

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

Number of pages: 28 Posted: 09 Mar 2002
Serena Ng
Columbia University - Columbia Business School, Economics
Downloads 82 (413,147)

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persistence, half-lives, rigidities, real exchange rates

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

Posted: 24 Jun 2002
Serena Ng
Columbia University - Columbia Business School, Economics

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persistence, half-lives, rigidities, real exchange rates

9.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188
Number of pages: 60 Posted: 28 Jul 2009 Last Revised: 03 Jul 2022
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 79 (417,901)
Citation 3

Abstract:

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10.

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 University - Columbia Business School, Economics
Downloads 67 (457,007)

Abstract:

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Seasonal Adjustment, Random Forest, Demand System

11.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 52 Posted: 14 Dec 2015 Last Revised: 30 Jul 2022
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Economics
Downloads 65 (467,680)
Citation 60

Abstract:

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12.

Are More Data Always Better for Factor Analysis?

NBER Working Paper No. w9829
Number of pages: 27 Posted: 14 Jul 2003 Last Revised: 12 May 2022
Jean Boivin, Jean Boivin and Serena Ng
Columbia Business SchoolHEC Montreal and Columbia University - Columbia Business School, Economics
Downloads 61 (478,956)
Citation 34

Abstract:

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13.
Downloads 58 (490,540)
Citation 10

Estimation of DSGE Models When the Data are Persistent

Number of pages: 35 Posted: 25 Jul 2009
Serena Ng and Yuriy Gorodnichenko
Columbia University - Columbia Business School, Economics and University of California, Berkeley - Department of Economics
Downloads 46 (552,577)
Citation 3

Abstract:

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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: 03 Jul 2022
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 12 (798,072)

Abstract:

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14.

Understanding and Comparing Factor-Based Forecasts

NBER Working Paper No. w11285
Number of pages: 29 Posted: 02 Jun 2005 Last Revised: 04 May 2022
Jean Boivin, Jean Boivin and Serena Ng
Columbia Business SchoolHEC Montreal and Columbia University - Columbia Business School, Economics
Downloads 57 (494,387)
Citation 9

Abstract:

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15.

Covid-19 and the Macroeconomic Effects of Costly Disasters

NBER Working Paper No. w26987
Number of pages: 24 Posted: 13 Apr 2020 Last Revised: 28 Mar 2022
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Economics
Downloads 53 (510,818)
Citation 11

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16.

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 Last Revised: 14 Mar 2021
Serena Ng and Jonathan H. Wright
Columbia University - Columbia Business School, Economics and Johns Hopkins University - Department of Economics
Downloads 53 (510,818)
Citation 6

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Fred-Qd: A Quarterly Database for Macroeconomic Research

Number of pages: 129 Posted: 14 May 2021
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia University - Columbia Business School, Economics
Downloads 36 (607,175)

Abstract:

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18.

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
Federal Reserve Bank of Atlanta, University of California, San Diego (UCSD) - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 40 (571,896)
Citation 4

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measurement error, minimum distance, simulation estimation, dynamic panel

19.

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: 17 Mar 2022
Angus Deaton and Serena Ng
Princeton University and Columbia University - Columbia Business School, Economics
Downloads 40 (571,896)

Abstract:

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20.

Fred-Qd: A Quarterly Database for Macroeconomic Research

NBER Working Paper No. w26872
Number of pages: 52 Posted: 23 Mar 2020 Last Revised: 05 Jun 2022
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia University - Columbia Business School, Economics
Downloads 27 (648,742)

Abstract:

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21.

Level and Volatility Factors in Macroeconomic Data

NBER Working Paper No. w23672
Number of pages: 31 Posted: 17 Aug 2017 Last Revised: 07 Mar 2022
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 25 (662,975)
Citation 7

Abstract:

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22.

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 University - Columbia Business School, Economics
Downloads 25 (662,975)
Citation 4

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

23.

Modeling Macroeconomic Variations after Covid-19

NBER Working Paper No. w29060
Number of pages: 21 Posted: 26 Jul 2021 Last Revised: 28 May 2022
Serena Ng
Columbia University - Columbia Business School, Economics
Downloads 22 (685,517)
Citation 1

Abstract:

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24.

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 University - Columbia Business School, Economics and California Institute of Technology
Downloads 21 (693,212)

Abstract:

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information pooling, earnings forecasts, brokerage mergers

25.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 49 Posted: 19 Mar 2017 Last Revised: 18 Jun 2022
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School, Economics
Downloads 20 (700,981)
Citation 5

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26.

A Note on the Selection of Time Series Models

Number of pages: 20 Posted: 11 Jan 2005
Serena Ng and Pierre Perron
Columbia University - Columbia Business School, Economics and Boston University - Department of Economics
Downloads 19 (708,863)
Citation 2

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27.

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

NBER Working Paper No. w17424
Number of pages: 43 Posted: 21 Sep 2011 Last Revised: 10 Feb 2022
University of California, Berkeley - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 16 (733,632)

Abstract:

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28.

Latent Dirichlet Analysis of Categorical Survey Expectations

NBER Working Paper No. w27182
Number of pages: 33 Posted: 18 May 2020 Last Revised: 10 Apr 2022
Evan Munro and Serena Ng
Stanford University and Columbia University - Columbia Business School, Economics
Downloads 9 (798,341)
Citation 1

Abstract:

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29.

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 Last Revised: 08 Apr 2022
Rishab Guha and Serena Ng
Harvard University and Columbia University - Columbia Business School, Economics
Downloads 7 (818,543)

Abstract:

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30.

An Econometric Perspective on Algorithmic Subsampling

Annual Review of Economics, Vol. 12, pp. 45-80, 2020
Posted: 14 Aug 2020
Sokbae Lee and Serena Ng
Columbia University and Columbia University - Columbia Business School, Economics

Abstract:

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31.

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 University - Columbia Business School, Economics
Downloads 0 (905,910)
Citation 9

Abstract:

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32.

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 University - Columbia Business School, Economics

Abstract:

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33.

Intergenerational Linkages in Consumption Behavior

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

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family, income, tastes, habits, learning

34.

Determining the Number of Factors in Approximate Factor Models

Posted: 15 May 2002
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia University - Columbia Business School, Economics

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35.

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
Université de Montréal, George Washington University - Department of Accountancy and Columbia University - Columbia Business School, Economics

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