Serena Ng

Columbia University - Columbia Business School, Economics

420 West 118th Street

New York, NY 10027

United States

  • Columbia University - Columbia Business School, Economics

SCHOLARLY PAPERS

33

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3,449

SSRN CITATIONS
Rank 619

SSRN RANKINGS

Top 619

in Total Papers Citations

1,122

CROSSREF CITATIONS

989

Scholarly Papers (33)

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1.

The Empirical Risk-Return Relation: A Factor Analysis Approach

Downloads 677 (67,645)
Citation 199

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 581 (80,933)
Citation 2

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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: 12 Nov 2022
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 96 (468,625)
Citation 30

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2.

Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

Downloads 339 (154,128)
Citation 7

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 301 (173,750)

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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 2023
Serena Ng
Columbia University - Columbia Business School, Economics
Downloads 38 (757,423)
Citation 4

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3.

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 272 (194,130)
Citation 161

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diffusion index, forecasting, big data, factors

4.

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 249 (211,916)
Citation 66

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Panel data, common factors, common trends, principal components

5.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013 Last Revised: 01 Mar 2023
Kyle Jurado, Sydney C. Ludvigson and Serena Ng
Duke University - Department of Economics, New York University - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 233 (226,120)
Citation 341

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6.

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 & Management, Columbia University - Columbia Business School, Economics and Peterson Institute for International Economics
Downloads 210 (249,422)
Citation 36

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

7.

Macro Factors in Bond Risk Premia

Downloads 161 (315,178)

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Dec 2022
Serena Ng and Sydney C. Ludvigson
Columbia University - Columbia Business School, Economics and New York University - Department of Economics
Downloads 161 (315,261)
Citation 58

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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

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E0, E4, G10, G12

8.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 52 Posted: 14 Dec 2015 Last Revised: 28 Jan 2023
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 124 (387,625)
Citation 60

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9.

Fred-Qd: A Quarterly Database for Macroeconomic Research

Downloads 80 (431,608)
Citation 7

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 80 (526,305)
Citation 4

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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: 03 Jul 2022
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 101 (449,734)
Citation 10

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11.

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

Downloads 98 (458,840)

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 98 (462,187)

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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

12.

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 89 (488,035)

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Seasonal Adjustment, Random Forest, Demand System

13.

Are More Data Always Better for Factor Analysis?

NBER Working Paper No. w9829
Number of pages: 27 Posted: 14 Jul 2003 Last Revised: 11 Nov 2022
Jean Boivin, Jean Boivin and Serena Ng
Columbia Business SchoolHEC Montreal and Columbia University - Columbia Business School, Economics
Downloads 83 (509,322)
Citation 50

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14.

Estimation of DSGE Models When the Data are Persistent

Downloads 81 (516,811)
Citation 11

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 60 (618,030)
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: 02 Jul 2023
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 21 (904,285)

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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: 29 Mar 2023
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 75 (540,482)
Citation 16

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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: 13 Mar 2023
Serena Ng and Jonathan H. Wright
Columbia University - Columbia Business School, Economics and Johns Hopkins University - Department of Economics
Downloads 72 (552,936)
Citation 11

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17.

Understanding and Comparing Factor-Based Forecasts

NBER Working Paper No. w11285
Number of pages: 29 Posted: 02 Jun 2005 Last Revised: 03 Nov 2022
Jean Boivin, Jean Boivin and Serena Ng
Columbia Business SchoolHEC Montreal and Columbia University - Columbia Business School, Economics
Downloads 69 (565,741)
Citation 9

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18.

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 62 (597,835)

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19.

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 University - Columbia Business School, Economics
Downloads 57 (623,089)
Citation 4

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measurement error, minimum distance, simulation estimation, dynamic panel

20.

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: 16 Sep 2022
Angus Deaton and Serena Ng
Princeton University and Columbia University - Columbia Business School, Economics
Downloads 53 (644,528)
Citation 1

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21.

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 48 (672,979)
Citation 4

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

22.

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 42 (710,568)

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information pooling, earnings forecasts, brokerage mergers

23.

Level and Volatility Factors in Macroeconomic Data

NBER Working Paper No. w23672
Number of pages: 31 Posted: 17 Aug 2017 Last Revised: 08 Mar 2023
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 39 (731,050)
Citation 12

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24.

Modeling Macroeconomic Variations after Covid-19

NBER Working Paper No. w29060
Number of pages: 21 Posted: 26 Jul 2021 Last Revised: 28 May 2023
Serena Ng
Columbia University - Columbia Business School, Economics
Downloads 38 (738,071)
Citation 1

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25.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 49 Posted: 19 Mar 2017 Last Revised: 18 Jun 2023
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 37 (745,111)
Citation 5

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26.

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 2023
Yuriy Gorodnichenko, Anna Mikusheva and Serena Ng
University of California, Berkeley - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Columbia University - Columbia Business School, Economics
Downloads 30 (798,144)

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27.

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 18 (904,471)
Citation 1

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28.

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 2023
Rishab Guha and Serena Ng
Harvard University and Columbia University - Columbia Business School, Economics
Downloads 12 (963,651)

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29.

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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30.

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

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31.

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

32.

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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33.

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, Stanford University - Stanford Institute for Economic Policy Research and Columbia University - Columbia Business School, Economics

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