Serena Ng
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Contact
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homepage: 
http://www.columbia.edu/~sn2294 
postal address: 
Department of Economics
Columbia University
420 W 118 St.
New York, NY 10027 
Affiliations

Columbia University
→ School of Arts and Sciences
→ Department of Economics
 website
 location: New York City, New York (United States)
Research profile
author of:

Accounting for Trends in the Almost Ideal Demand System
by Serena Ng

Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
by Serena Ng & Pierre Perron

Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean
by Robin L. Lumsdaine & Serena Ng

Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators
by Alexander Michaelides & Serena Ng

Explaining the Persistence of Commodity Prices
by Serena Ng & Francisco RugeMurcia

Parametric and nonparametric approaches to price and tax reform
by Angus Deaton & Serena Ng

Analysis of Vector Autoregressions in the Presence of Shifts in Mean
by Serena Ng & Timothy J. Vogelsang

How Important are Intergenerational Transfers of Time? A Macroeconomic Analysis
by Emanuela Cardia & Serena Ng

A SemiParametric Factor Model of Interest Rates and Tests of the Affine Term Structure
by Eric Ghysels & Serena Ng

A Test for Conditional Symmetry in Time Series Models
by Jushan Bai & Serena Ng

Determining the Number of Factors in Approximate Factor Models
by Jushan Bai & Serena Ng

Demand Systems With Nonstationary Prices
by Arthur Lewbel & Serena Ng

Forecasting Dynamic Time Series in the Presence of Deterministic Components
by Serena Ng & Timothy Vogelsang

Intergenerational Linkages in Consumption Behavior
by Donald Cox & Serena Ng & Andreas Waldkirch

A Note on the Selection of Time Series Models
by Serena Ng & Pierre Perron

Tests for Skewness, Kurtosis, and Normality for Time Series Data
by Jushan Bai & Serena Ng

A New Look at Panel Testing of Stationarity and the PPP Hypothesis
by Jushan Bai & Serena Ng

A PANIC Attack on Unit Roots and Cointegration
by Jushan Bai & Serena Ng

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
by René Garcia & Serena Ng & Annamaria Lusardi

A SemiParametric Factor Model for Interest Rates
by Eric Ghysels & Serena Ng

A SemiParametric Factor Model of Interest Rates and Tests of the Affine Term Structure
by Eric Ghysels & Serena Ng

Determining the Number of Factors in Approximate Factor Models
by Jushan Bai & Serena Ng

Intergenerational Linkages in Consumption Behavior
by Donald Cox & Serena Ng & Andreas Waldkirch

Parametric and NonParametric Approaches to Price and Tax Reform
by Angus Deaton & Serena Ng

Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary.
by Ng, Serena

Review of Coint 2.0.
by Ng, Serena

Explaining the Persistence of Commodity Prices
by Serena Ng & Francisco J. RugeMurcia

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation.
by Garcia, Rene & Lusardi, Annamaria & Ng, Serena

Intergenerational Time Transfers and Childcare
by Emanuela Cardia & Serena Ng

The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information.
by Ng, Serena & Schaller, Huntley

A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure
by Eric Ghysels & Serena Ng

Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data
by Serena Ng & Jean Boivin

Are More Data Always Better for Factor Analysis?
by Jean Boivin & Serena Ng

LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
by Serena Ng & Pierre Perron

Determining the Number of Factors in Approximate Factor Models
by Jushan Bai & Serena Ng

Forecasting autoregressive time series in the presence of deterministic components
by Serena Ng & Timothy J. Vogelsang

Explaining the Persistence of Commodity Prices
by NG, Serena & RUGEMURCIA, Francisco J.

Looking for evidence of speculative stockholding in commodity markets
by Ng, Serena

Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
by Michaelides, Alexander & Ng, Serena

How Important Are Intergenerational Transfers of Time? a Macroeconomic Analysis.
by CARDIA, Emanuela & NG, Serena

A PANIC Attack on Unit Roots and Cointegration
by Jushan Bai & Serena Ng

Testing for unit roots in flow data sampled at different frequencies
by Ng, Serena

Estimation and inference in nearly unbalanced nearly cointegrated systems
by Ng, Serena & Perron, Pierre

Testing for ARCH in the presence of a possibly misspecified conditional mean
by Lumsdaine, Robin L. & Ng, Serena

A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
by Gonzalo, Jesus & Ng, Serena

Can sticky prices account for the variations and persistence in real exchange rates?
by Ng, Serena

An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests.
by Perron, P. & Ng, S.

Adjustment Costs and Factor Demands in Canadian Manufacturing Industries.
by Carmichael, B. & Ng, S.

A Panic Attack on Unit Roots and Cointegration
by Jushan Bai & Serena Ng

A New Look at Panel Testing of Stationarity and the PPP Hypothesis
by Jushan Bai & Serena Ng

A SemiParametric Factor Model for Interest Rates.
by Ghysels, E. & Ng, S.

Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor
by Jushan Bai & Serena Ng

Adjustment Costs and Factor Demands in Canadian Manufacturing Industries.
by Carmichael, B. & Ng, S.

An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests.
by Perron, P. & Ng, S.

Evaluating Latent and Observed Factors in Macroeconomics and Financ
by Jushan Bai & Serena Ng

PPP May not Hold After all: A Further Investigation
by Serena Ng & Pierre Perron

A SemiParametric Factor Model for Interest Rates.
by Ghysels, E. & Ng, S.

Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?
by Serena Ng

Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems.
by Ng, S. & Perron, P.

Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation.
by Garcia, R. & Lusardi, A. & Ng, S.

The Exact Error in Estimating the Special Density at the Origin.
by Ng, S. & Perron, P.

The Exact Error in Estimating the Special Density at the Origin.
by Ng, S. & Perron, P.

Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems.
by Ng, S. & Perron, P.

Looking for Evidence of Speculative Stockholding in Commodity Markets.
by Ng, S.

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation.
by Garcia, R. & Lusardi, A. & Ng, S.

Looking for Evidence of Speculative Stockholding in Commodity Markets.
by Ng, S.

How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis.
by Cardia, E. & Ng, S.

A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks.
by Gonzalo, J. & Ng, S.

NonparametrictwoStep Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent.
by Ng, S. & Pinkse, J.

A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks.
by Gonzalo, J. & Ng, S.

The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information.
by Ng, S. & Schaller, H.

The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information.
by Ng, S. & Schaller, H.

Testing for Homogeneity in Demand Systems when the Regressors Are NonStationary.
by Ng, S.

Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag.
by Ng, S. & Perron, P.

The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information.
by Huntley Schaller & Serena Ng

Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties.
by Perron, P. & Ng, S.

Parametric and Nonparametric Approaches to Price and Tax Reform.
by Deaton, A. & Ng, S.

Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag.
by Ng, S. & Perron, P.

Parametric and Nonparametric Approaches to Price and Tax Reform.
by Deaton, A. & Ng, S.

Testing for Homogeneity in Demand Systems when the Regressors Are NonStationary.
by Ng, S.

NonparametrictwoStep Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent.
by Ng, S. & Pinkse, J.

Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties.
by Perron, P. & Ng, S.

A Note on the Selection of Time Series Models
by Serena Ng & Pierre Perron

Understanding and Comparing FactorBased Forecasts
by Jean Boivin & Serena Ng

A consistent test for conditional symmetry in time series models
by Bai, Jushan & Ng, Serena

ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
by Serena Ng & Timothy Vogelsang

The Empirical RiskReturn Relation: A Factor Analysis Approach
by Sydney C. Ludvigson & Serena Ng

Macro Factors in Bond Risk Premia
by Sydeny C. Ludvigson & Serena Ng

Evaluating latent and observed factors in macroeconomics and finance
by Bai, Jushan & Ng, Serena

Are more data always better for factor analysis?
by Boivin, Jean & Ng, Serena

Confidence Intervals for Diffusion Index Forecasts and Inference for FactorAugmented Regressions
by Jushan Bai & Serena Ng

Demand Systems with Nonstationary Prices
by Arthur Lewbel & Serena Ng

The Empirical RiskReturn Relation: a factor analysis approach
by Sydney Ludvigson & Serena Ng

The empirical riskreturn relation: A factor analysis approach
by Ludvigson, Sydney C. & Ng, Serena

Understanding and Comparing FactorBased Forecasts
by Boivin, Jean & Ng, Serena

Panel Cointegration with Global Stochastic Trends
by Jushan Bai & Chihwa Kao & Serena Ng

Understanding and Comparing FactorBased Forecasts
by Jean Boivin & Serena Ng

Determining the Number of Primitive Shocks in Factor Models
by Bai, Jushan & Ng, Serena

Tests for Skewness, Kurtosis, and Normality for Time Series Data
by Jushan Bai & Serena Ng

Testing CrossSection Correlation in Panel Data Using Spacings
by Ng, Serena

A Simple Test for Nonstationarity in Mixed Panels
by Ng, Serena

Forecasting Autoregressive Time Series in the Presence of Deterministic Components
by Ng, Serena & Vogelsang, Tim

Editors' Report 2006
by Andersen, Torben G. & Lewbel, Arthur & Ng, Serena

Forecasting economic time series using targeted predictors
by Bai, Jushan & Ng, Serena

Editors' Report 2007
by Ng, Serena & Lewbel, Arthur

AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
by Perron, Pierre & Ng, Serena

Estimation of DSGE Models When the Data are Persistent
by Yuriy Gorodnichenko & Serena Ng

A Factor Analysis of Bond Risk Premia
by Sydney C. Ludvigson & Serena Ng

Boosting diffusion indices
by Jushan Bai & Serena Ng

Panel cointegration with global stochastic trends
by Bai, Jushan & Kao, Chihwa & Ng, Serena

Intergenerational Linkages in Consumption Behavior
by Andreas Waldkirch & Serena Ng & Donald Cox

Macro Factors in Bond Risk Premia
by Sydney C. Ludvigson & Serena Ng

Editors' Report 2008
by Ng, Serena & Lewbel, Arthur

Selecting Instrumental Variables in a Data Rich Environment
by Ng Serena & Bai Jushan

Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers
by Ng Serena & Shum Matt

Dynamic hierarchical factor models
by Emanuel Moench & Serena Ng & Simon M. Potter

Estimation of DSGE models when the data are persistent
by Gorodnichenko, Yuriy & Ng, Serena

INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
by Bai, Jushan & Ng, Serena

PANEL UNIT ROOT TESTS WITH CROSSSECTION DEPENDENCE: A FURTHER INVESTIGATION
by Bai, Jushan & Ng, Serena

Estimators for Persistent and Possibly NonStationary Data with Classical Properties
by Yuriy Gorodnichenko & Anna Mikusheva & Serena Ng

PPP May not Hold Afterall: A Further Investigation
by Serena Ng & Pierre Perron

A hierarchical factor analysis of U.S. housing market dynamics
by Emanuel Moench & Serena Ng

PPP May not Hold Afterall: A Further Investigation
by Serena Ng & Pierre Perron

Extremum Estimation when the Predictors are Estimated from Large Panels
by Jushan Bai & Serena Ng

Editorsâ€™ Report 2009
by Lewbel, Arthur & Ng, Serena & Hirano, Keisuke & Wright, Jonathan

Dynamic Identification of Dynamic Stochastic General Equilibrium Models
by Ivana Komunjer & Serena Ng

ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
by Gorodnichenko, Yuriy & Mikusheva, Anna & Ng, Serena

Commodity Prices, Convenience Yields, and Inflation
by Nikolay Gospodinov & Serena Ng

Principal components estimation and identification of static factors
by Bai, Jushan & Ng, Serena

Measuring Uncertainty
by Kyle Jurado & Sydney C. Ludvigson & Serena Ng

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
by Serena Ng & Jonathan H. Wright

Minimum distance estimation of possibly noninvertible moving average models
by Nikolay Gospodinov & Serena Ng

Large Dimensional Factor Analysis
by Bai, Jushan & Ng, Serena

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
by Serena Ng & Jonathan H. Wright

Viewpoint: Boosting Recessions
by Serena Ng

MEASUREMENT ERRORS IN DYNAMIC MODELS
by Komunjer, Ivana & Ng, Serena

Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown
by Lin ChangChing & Ng Serena

Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators
by Michaelides, Alexander & Ng, Serena

Dynamic Hierarchical Factor Model
by Emanuel Moench & Serena Ng & Simon Potter

Minimum Distance Estimation of Dynamic Models with ErrorsInVariables
by Nikolay Gospodinov & Ivana Komunjer & Serena Ng

Measuring Uncertainty
by Kyle Jurado & Sydney C. Ludvigson & Serena Ng

FREDMD: A Monthly Database for Macroeconomic Research
by Michael W. McCracken & Serena Ng

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
by Sydney C. Ludvigson & Sai Ma & Serena Ng

Shock Restricted Structural VectorAutoregressions
by Sydney C. Ludvigson & Sai Ma & Serena Ng

Constructing Common Factors from Continuous and Categorical Data
by Serena Ng

A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
by Ng, Serena & Gonzalo, Jesús

Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
by Nikolay Gospodinov & Serena Ng

Variable Selection in Predictive Regressions
by Ng, Serena
edited by

A hierarchical factor analysis of U.S. housing market dynamics
by Emanuel Moench & Serena Ng

Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
by Pierre Perron & Serena Ng

Level and Volatility Factors in Macroeconomic Data
by Yuriy Gorodnichenko & Serena Ng

Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data
by Serena Ng

Principal Components and Regularized Estimation of Factor Models
by Jushan Bai & Serena Ng

The ABC of Simulation Estimation with Auxiliary Statistics
by JeanJacques Forneron & Serena Ng

Level and volatility factors in macroeconomic data
by Gorodnichenko, Yuriy & Ng, Serena

Simulated minimum distance estimation of dynamic models with errorsinvariables
by Gospodinov, Nikolay & Komunjer, Ivana & Ng, Serena

A LikelihoodFree Reverse Sampler of the Posterior Distribution
by JeanJacques Forneron & Serena Ng
edited by

FREDMD: A Monthly Database for Macroeconomic Research
by Michael W. McCracken & Serena Ng

THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
by Serena Ng & Pierre Perron

The ABC of simulation estimation with auxiliary statistics
by Forneron, JeanJacques & Ng, Serena

A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
by Rishab Guha & Serena Ng
edited by

A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
by Rishab Guha & Serena Ng

An Econometric Perspective on Algorithmic Subsampling
by Sokbae Lee & Serena Ng

Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data
by Jushan Bai & Serena Ng

Latent Dirichlet Analysis of Categorical Survey Responses
by Evan Munro & Serena Ng

Rank regularized estimation of approximate factor models
by Bai, Jushan & Ng, Serena

Boosting High Dimensional Predictive Regressions with Time Varying Parameters
by Kashif Yousuf & Serena Ng

FREDQD: A Quarterly Database for Macroeconomic Research
by Michael McCracken & Serena Ng

Viewpoint: Boosting Recessions
by Serena Ng

FREDQD: A Quarterly Database for Macroeconomic Research
by Michael W. McCracken & Serena Ng

COVID19 and The Macroeconomic Effects of Costly Disasters
by Sydney C. Ludvigson & Sai Ma & Serena Ng

Latent Dirichlet Analysis of Categorical Survey Expectations
by Evan M. Munro & Serena Ng

Inference by Stochastic Optimization: A FreeLunch Bootstrap
by JeanJacques Forneron & Serena Ng

Simpler Proofs for Approximate Factor Models of Large Dimensions
by Jushan Bai & Serena Ng

Sketching for TwoStage Least Squares Estimation
by Sokbae Lee & Serena Ng

Estimation and Inference by Stochastic Optimization: Three Examples
by JeanJacques Forneron & Serena Ng

FactorBased Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
by Ercument Cahan & Jushan Bai & Serena Ng

COVID19 and Estimation of Macroeconomic Factors
by Serena Ng

FREDQD: A Quarterly Database for Macroeconomic Research
by Michael W. McCracken & Serena Ng