Serena Ng

Columbia Business School - Economics Department

420 West 118th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

29

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CITATIONS
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424

Scholarly Papers (29)

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 525 (42,420)
Citation 57

Abstract:

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
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 57 (315,825)
Citation 57

Abstract:

2.

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 199 (124,560)
Citation 112

Abstract:

Panel data, common factors, common trends, principal components

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 157 (158,658)

Abstract:

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 15 (494,025)
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Abstract:

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 104 (202,031)
Citation 6

Abstract:

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

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 75 (272,035)

Abstract:

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

Abstract:

persistence, half-lives, rigidities, real exchange rates

6.
Downloads 75 (271,478)
Citation 97

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 75 (274,173)
Citation 97

Abstract:

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

Abstract:

E0, E4, G10, G12

7.

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 46 (322,540)
Citation 72

Abstract:

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 36 (385,429)
Citation 7

Abstract:

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
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia Business School - Economics Department
Downloads 9 (528,364)
Citation 7

Abstract:

9.

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 43 (346,445)
Citation 47

Abstract:

10.

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 27 (392,442)
Citation 2

Abstract:

11.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013
Duke University - Department of Economics, New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 25 (346,445)
Citation 2

Abstract:

12.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188
Number of pages: 60 Posted: 28 Jul 2009
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 23 (384,622)
Citation 9

Abstract:

13.

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 22 (396,505)
Citation 3

Abstract:

14.

Fred-Md: A Monthly Database for Macroeconomic Research

FRB St Louis Paper No. 2015-012
Number of pages: 31 Posted: 19 Aug 2015
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 17 (369,820)

Abstract:

diffusion index, forecasting, big data, factors.

15.

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 (470,382)
Citation 7
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Abstract:

16.

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 (475,582)
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Abstract:

Forecasting, Trends, Unit root, GLS estimation

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
Federal Reserve Bank of Atlanta, University of California, San Diego (UCSD) - Department of Economics and Columbia Business School - Economics Department
Downloads 13 (433,945)

Abstract:

measurement error, minimum distance, simulation estimation, dynamic panel

18.

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

NBER Working Paper No. w17424
Number of pages: 43 Posted: 21 Sep 2011
University of California, Berkeley - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Columbia Business School - Economics Department
Downloads 7 (501,380)
Citation 1

Abstract:

19.

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 2 (515,953)

Abstract:

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

20.

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 (541,599)
Citation 2
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Abstract:

FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values

21.

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 0 (480,860)
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Abstract:

22.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 36 Posted: 19 Mar 2017
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, New York University (NYU) - Department of Economics and Columbia Business School - Economics Department
Downloads 0 (506,309)
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Abstract:

23.

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 0 (511,222)

Abstract:

information pooling, earnings forecasts, brokerage mergers

24.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 44 Posted: 14 Dec 2015
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, New York University (NYU) - Department of Economics and Columbia Business School - Economics Department
Downloads 0 (506,309)
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Abstract:

25.

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 (565,991)
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Abstract:

26.

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

Abstract:

27.

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

Abstract:

family, income, tastes, habits, learning

28.

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

Abstract:

29.

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 - CIREQ - Département de sciences économiques, George Washington University - Department of Accountancy and Columbia Business School - Economics Department

Abstract: