Serena Ng : Citation Profile

Are you Serena Ng?

Columbia University

43

H index

72

i10 index

15132

Citations

RESEARCH PRODUCTION:

79

Articles

108

Papers

3

Chapters

RESEARCH ACTIVITY:

   32 years (1991 - 2023). See details.
   Cites by year: 472
   Journals where Serena Ng has often published
   Relations with other researchers
   Recent citing documents: 1233.    Total self citations: 58 (0.38 %)

MORE DETAILS IN:
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   Updated: 2024-11-08    RAS profile: 2023-01-31    
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Relations with other researchers

Works with:

Bai, Jushan (6)

Lee, Sokbae (Simon) (4)

McCracken, Michael (3)

Ma, Sai (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Serena Ng.

Is cited by:

GUPTA, RANGAN (324)

Marcellino, Massimiliano (193)

Shahbaz, Muhammad (131)

Stevanovic, Dalibor (130)

Barigozzi, Matteo (120)

Hallin, Marc (120)

Forni, Mario (113)

Asongu, Simplice (108)

Westerlund, Joakim (104)

Lippi, Marco (103)

Pesaran, Mohammad (99)

Cites to:

Bai, Jushan (82)

Watson, Mark (74)

Reichlin, Lucrezia (57)

Stock, James (56)

Forni, Mario (47)

Lippi, Marco (45)

Perron, Pierre (41)

Hallin, Marc (36)

Pesaran, Mohammad (36)

Phillips, Peter (34)

Diebold, Francis (25)

Main data

Where Serena Ng has published?

Journals with more than one article published# docs
Journal of Econometrics13
Journal of Business & Economic Statistics8
Econometric Theory5
The Review of Economics and Statistics5
Econometrica5
Journal of Applied Econometrics3
Journal of Business & Economic Statistics3
Journal of Monetary Economics2
AEA Papers and Proceedings2
Annals of Economics and Finance2
Econometrics Journal2
Journal of Economic Dynamics and Control2
Econometric Reviews2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc19
Boston College Working Papers in Economics / Boston College Department of Economics18
Papers / arXiv.org14
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics4
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2
Working Papers / Federal Reserve Bank of St. Louis2
Econometrics / University Library of Munich, Germany2

Recent works citing Serena Ng (2024 and 2023)

YearTitle of citing document
2023Forecasting Net Charge-Off Rates of Large U.S. Bank Holding Companies using Macroeconomic Latent Factors. (2023). Son, Jisoo ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2023-02.

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2023Measuring stock market uncertainty. (2023). Dakey, Prasad Teja. In: Theoretical and Applied Economics. RePEc:agr:journl:v:2(635):y:2023:i:2(635):p:149-162.

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2023.

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2023Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries. (2023). Nersisyan, Liana ; Lyrio, Marco ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023002.

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2024The role of CDS spreads in explaining bond recovery rates. (2024). Vrins, Frederic ; Gauthier, Genevieve ; Franois, Pascal ; Barbagli, Matteo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024002.

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2023German Real Estate Index (GREIX). (2023). Zdrzalek, Jonas ; Schularick, Moritz ; Dohmen, Martin ; Amaral, Francisco. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:231.

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2024Time-varying parameters error correction model for real ruble exchange rate and oil prices: What has changed due to capital control and sanctions?. (2024). Fokin, Nikita ; Polbin, Andrey V ; Malikova, Ekaterina V. In: Russian Journal of Economics. RePEc:arh:jrujec:v:10:y:2024:i:1:p:20-33.

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2024Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?. (2017). Kastner, Gregor ; Huber, Florian ; Feldkircher, Martin. In: Papers. RePEc:arx:papers:1711.00564.

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2023Confidence set for group membership. (2018). Okui, Ryo ; Dzemski, Andreas. In: Papers. RePEc:arx:papers:1801.00332.

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2023Nuclear Norm Regularized Estimation of Panel Regression Models. (2019). Weidner, Martin ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:1810.10987.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

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2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

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2023Optimal Experimental Design for Staggered Rollouts. (2019). Imbens, Guido ; Bayati, Mohsen ; Athey, Susan ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1911.03764.

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2024Measuring the Time-Varying Market Efficiency in the Prewar Japanese Stock Market. (2019). Noda, Akihiko. In: Papers. RePEc:arx:papers:1911.04059.

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2023Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803.

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2024Tensor Factor Model Estimation by Iterative Projection. (2022). Zhang, Cun-Hui ; Yang, Dan ; Chen, Rong. In: Papers. RePEc:arx:papers:2006.02611.

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2023Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887.

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2024The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

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2024To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2024Consistent Specification Test of the Quantile Autoregression. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.03898.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2023Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2023Learning Financial Network with Focally Sparse Structure. (2021). Chernozhukov, Victor ; Wang, Weining ; Huang, Chen. In: Papers. RePEc:arx:papers:2105.07424.

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2024Hamiltonian Monte Carlo for Regression with High-Dimensional Categorical Data. (2021). Hansen, Stephen ; Battaglia, Laura ; Sacher, Szymon. In: Papers. RePEc:arx:papers:2107.08112.

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2024CP Factor Model for Dynamic Tensors. (2021). Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

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2023Semiparametric Conditional Factor Models: Estimation and Inference. (2021). Wang, Xiaoliang ; Roussanov, Nikolai ; Chen, Qihui. In: Papers. RePEc:arx:papers:2112.07121.

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2024Dynamic Factor Model for Functional Time Series: Identification, Estimation, and Prediction. (2022). Salish, Nazarii ; Otto, Sven. In: Papers. RePEc:arx:papers:2201.02532.

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2023Inferential Theory for Granular Instrumental Variables in High Dimensions. (2022). Lee, Tae Hwy ; Banafti, Saman. In: Papers. RePEc:arx:papers:2201.06605.

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2023A projection based approach for interactive fixed effects panel data models. (2022). Soberon, Alexandra ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Wang, Weining. In: Papers. RePEc:arx:papers:2201.11482.

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2023Asymptotics of Cointegration Tests for High-Dimensional VAR($k$). (2022). Bykhovskaya, Anna ; Gorin, Vadim. In: Papers. RePEc:arx:papers:2202.07150.

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2024Testing Overidentifying Restrictions with High-Dimensional Data and Heteroskedasticity. (2022). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2205.00171.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2023Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902.

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2023Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2024Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2023Estimation of Heterogeneous Treatment Effects Using Quantile Regression with Interactive Fixed Effects. (2022). GAO, Jiti ; Whang, Yoon-Jae ; Oka, Tatsushi ; Xu, Ruofan. In: Papers. RePEc:arx:papers:2208.03632.

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2024Matrix Quantile Factor Model. (2022). Zhao, Peng ; Yu, Long ; Liu, Yong-Xin ; Kong, Xin-Bing. In: Papers. RePEc:arx:papers:2208.08693.

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2023Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Combining Forecasts under Structural Breaks Using Graphical LASSO. (2022). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2209.01697.

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2024Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218.

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2024The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810.

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2024Multidimensional Interactive Fixed-Effects. (2022). Freeman, Hugo. In: Papers. RePEc:arx:papers:2209.11691.

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2023Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970.

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2023Fast Inference for Quantile Regression with Tens of Millions of Observations. (2022). Shin, Youngki ; Seo, Myung Hwan ; Liao, Yuan ; Lee, Sokbae. In: Papers. RePEc:arx:papers:2209.14502.

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2023Testing the Number of Components in Finite Mixture Normal Regression Model with Panel Data. (2022). Kasahara, Hiroyuki ; Hao, YU. In: Papers. RePEc:arx:papers:2210.02824.

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2024Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2024Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363.

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2023On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2022). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

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2023Boosted p-Values for High-Dimensional Vector Autoregression. (2022). Huang, Xiao. In: Papers. RePEc:arx:papers:2211.02215.

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2024Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752.

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2024Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2024On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052.

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2024Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301.

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2023When it counts -- Econometric identification of the basic factor model based on GLT structures. (2023). Lopes, Hedibert Freitas ; Hosszejni, Darjus ; Fruhwirth-Schnatter, Sylvia. In: Papers. RePEc:arx:papers:2301.06354.

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2023Multidimensional dynamic factor models. (2023). Pellegrino, Filippo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2301.12499.

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2023Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604.

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2023On Using The Two-Way Cluster-Robust Standard Errors. (2023). Sasaki, Yuya ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2301.13775.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023Agreed and Disagreed Uncertainty. (2023). Zanetti, Francesco ; Tsoukalas, John ; Gambetti, Luca. In: Papers. RePEc:arx:papers:2302.01621.

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2023Estimating Time-Varying Networks for High-Dimensional Time Series. (2023). Linton, Oliver ; Chen, Jia. In: Papers. RePEc:arx:papers:2302.02476.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866.

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2023High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172.

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2023Clustered Covariate Regression. (2023). Tsyawo, Emmanuel ; Soale, Abdul-Nasah. In: Papers. RePEc:arx:papers:2302.09255.

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2023Combining search strategies to improve performance in the calibration of economic ABMs. (2023). Delli Gatti, Domenico ; Chanda, Debmallya ; Favorito, Marco ; Glielmo, Aldo. In: Papers. RePEc:arx:papers:2302.11835.

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2023A Comparative Analysis of Forecasting Models Using Moroccan Economic Data: The Factor-Augmented Error Correction Model in Perspective. (2023). Marouane, Daoui. In: Papers. RePEc:arx:papers:2302.14180.

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2023Constructing High Frequency Economic Indicators by Imputation. (2023). Scanlan, Susannah ; Ng, Serena. In: Papers. RePEc:arx:papers:2303.01863.

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2023Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994.

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2023The Effects of the Pandemic on Market Power and Profitability. (2023). Ramirez-Cuellar, Jaime ; Espinosa-Torres, Juan Andres. In: Papers. RePEc:arx:papers:2303.08765.

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2024Inference of Grouped Time-Varying Network Vector Autoregression Models. (2023). Wu, Wei Biao ; Tang, Songqiao ; Peng, Bin ; Li, Degui. In: Papers. RePEc:arx:papers:2303.10117.

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2023Financial Structure, Firm Size and Financial Growth of Non-Financial Firms Listed at the Nairobi Securities Exchange. (2023). Wepukhulu, Joshua Matanda ; Oluoch, Oluoch ; Shikumo, David Haritone. In: Papers. RePEc:arx:papers:2303.10910.

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2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings. (2023). Gibberd, Alex ; Chan, Tak-Shing ; Mosley, Luke. In: Papers. RePEc:arx:papers:2303.14125.

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2024GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805.

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2023Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856.

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2023Estimation of Characteristics-based Quantile Factor Models. (2023). Gonzalo, Jesus ; Pan, Haozi ; Dolado, Juan Jose ; Chen, Liang. In: Papers. RePEc:arx:papers:2304.13206.

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2024Large Global Volatility Matrix Analysis Based on Structural Information. (2023). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

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2023Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

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2023Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618.

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2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

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2023Nowcasting with signature methods. (2023). Mantoan, Giulia ; Malpass, Will ; Lui, Silvia ; Cohen, Samuel N ; Yang, Lingyi ; Small, Emma ; Scott, Craig ; Reeves, Andrew ; Nesheim, Lars. In: Papers. RePEc:arx:papers:2305.10256.

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2023Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827.

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2023A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484.

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2023Individual Causal Inference Using Panel Data With Multiple Outcomes. (2023). Tian, Wei. In: Papers. RePEc:arx:papers:2306.01969.

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2024Latent Factor Analysis in Short Panels. (2023). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2306.14004.

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2023High-Dimensional Canonical Correlation Analysis. (2023). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393.

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2024Adaptive Principal Component Regression with Applications to Panel Data. (2023). Wu, Zhiwei Steven ; Whitehouse, Justin ; Harris, Keegan ; Agarwal, Anish. In: Papers. RePEc:arx:papers:2307.01357.

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2023Noise reduction for functional time series. (2023). Wouters, Bram ; Diks, Cees. In: Papers. RePEc:arx:papers:2307.02154.

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2023Robust Impulse Responses using External Instruments: the Role of Information. (2023). Mazzali, Marco ; Franconi, Alessandro ; Brignone, Davide. In: Papers. RePEc:arx:papers:2307.06145.

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2023Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689.

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More than 100 citations found, this list is not complete...

Works by Serena Ng:

YearTitleTypeCited
2015Measuring Uncertainty In: American Economic Review.
[Full Text][Citation analysis]		article1331
2013Measuring Uncertainty.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 1331		paper
2021Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article373
2015Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?.(2015) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 373		paper
2021COVID-19 and the Costs of Deadly Disasters In: AEA Papers and Proceedings.
[Full Text][Citation analysis]		article7
2021Estimation and Inference by Stochastic Optimization: Three Examples In: AEA Papers and Proceedings.
[Full Text][Citation analysis]		article2
2021Estimation and Inference by Stochastic Optimization: Three Examples.(2021) In: Papers.
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This paper has nother version. Agregated cites: 2		paper
2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling In: Journal of Economic Literature.
[Full Text][Citation analysis]		article202
2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 202		paper
2020An Econometric Perspective on Algorithmic Subsampling In: Annual Review of Economics.
[Full Text][Citation analysis]		article6
2020An Econometric Perspective on Algorithmic Subsampling.(2020) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2020An econometric perspective on algorithmic subsampling.(2020) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 6		paper
2017The ABC of Simulation Estimation with Auxiliary Statistics In: Papers.
[Full Text][Citation analysis]		paper18
2018The ABC of simulation estimation with auxiliary statistics.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2017Principal Components and Regularized Estimation of Factor Models In: Papers.
[Full Text][Citation analysis]		paper14
2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters In: Papers.
[Full Text][Citation analysis]		paper14
2021Boosting high dimensional predictive regressions with time varying parameters.(2021) In: Journal of Econometrics.
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2001A Note on the Selection of Time Series Models.(2001) In: Boston College Working Papers in Economics.
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1998Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean In: Boston College Working Papers in Economics.
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1999Testing for ARCH in the presence of a possibly misspecified conditional mean.(1999) In: Journal of Econometrics.
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1997Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators In: Boston College Working Papers in Economics.
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2000Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators.(2000) In: Journal of Econometrics.
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1997Parametric and non-parametric approaches to price and tax reform In: Boston College Working Papers in Economics.
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1996Parametric and Non-Parametric Approaches to Price and Tax Reform.(1996) In: NBER Working Papers.
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1997Analysis of Vector Autoregressions in the Presence of Shifts in Mean In: Boston College Working Papers in Economics.
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1997How Important are Intergenerational Transfers of Time? A Macroeconomic Analysis In: Boston College Working Papers in Economics.
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2000Determining the Number of Factors in Approximate Factor Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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1999Forecasting Dynamic Time Series in the Presence of Deterministic Components In: Boston College Working Papers in Economics.
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2000Intergenerational Linkages in Consumption Behavior.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004Intergenerational Linkages in Consumption Behavior.(2004) In: Journal of Human Resources.
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2001A New Look at Panel Testing of Stationarity and the PPP Hypothesis In: Boston College Working Papers in Economics.
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2001A PANIC Attack on Unit Roots and Cointegration In: Boston College Working Papers in Economics.
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2007Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers In: The B.E. Journal of Economic Analysis & Policy.
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2012Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown In: Journal of Econometric Methods.
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1996The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information. In: Carleton Economic Papers.
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1995The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1995) In: Cahiers de recherche.
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1996The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1996) In: The Review of Economics and Statistics.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
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1997Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1997) In: Journal of Money, Credit and Banking.
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1995Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation..(1995) In: Cahiers de recherche.
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1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1995) In: Cahiers de recherche.
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1996A Semi-Parametric Factor Model for Interest Rates In: CIRANO Working Papers.
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2014Viewpoint: Boosting Recessions In: Canadian Journal of Economics.
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1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
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2002PPP May not Hold Afterall: A Further Investigation In: Annals of Economics and Finance.
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2002PPP May not Hold Afterall: A Further Investigation.(2002) In: CEMA Working Papers.
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2008Extremum Estimation when the Predictors are Estimated from Large Panels In: Annals of Economics and Finance.
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1998AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS In: Econometric Theory.
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1996An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche.
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1996An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche.
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2010PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION In: Econometric Theory.
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2010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT In: Econometric Theory.
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2012ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES In: Econometric Theory.
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2011Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties.(2011) In: NBER Working Papers.
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2000Forecasting Autoregressive Time Series in the Presence of Deterministic Components In: Working Papers.
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2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions In: Econometrica.
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2011A hierarchical factor analysis of U.S. housing market dynamics In: Econometrics Journal.
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2011A hierarchical factor analysis of U.S. housing market dynamics.(2011) In: Econometrics Journal.
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1996Looking for evidence of speculative stockholding in commodity markets In: Journal of Economic Dynamics and Control.
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1995Looking for Evidence of Speculative Stockholding in Commodity Markets..(1995) In: Cahiers de recherche.
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1995Looking for Evidence of Speculative Stockholding in Commodity Markets..(1995) In: Cahiers de recherche.
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2013Variable Selection in Predictive Regressions In: Handbook of Economic Forecasting.
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2006Evaluating latent and observed factors in macroeconomics and finance In: Journal of Econometrics.
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2004Evaluating Latent and Observed Factors in Macroeconomics and Financ.(2004) In: Econometrics.
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2006Are more data always better for factor analysis? In: Journal of Econometrics.
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2003Are More Data Always Better for Factor Analysis?.(2003) In: NBER Working Papers.
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2008Forecasting economic time series using targeted predictors In: Journal of Econometrics.
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2009Panel cointegration with global stochastic trends In: Journal of Econometrics.
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2007Panel Cointegration with Global Stochastic Trends.(2007) In: Center for Policy Research Working Papers.
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2013Principal components estimation and identification of static factors In: Journal of Econometrics.
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2017Simulated minimum distance estimation of dynamic models with errors-in-variables In: Journal of Econometrics.
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2019Rank regularized estimation of approximate factor models In: Journal of Econometrics.
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1997Estimation and inference in nearly unbalanced nearly cointegrated systems In: Journal of Econometrics.
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1995Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche.
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1995Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche.
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2007The empirical risk-return relation: A factor analysis approach In: Journal of Financial Economics.
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2005The Empirical Risk-Return Relation: A Factor Analysis Approach.(2005) In: NBER Working Papers.
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2006The Empirical Risk-Return Relation: a factor analysis approach.(2006) In: 2006 Meeting Papers.
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2003Can sticky prices account for the variations and persistence in real exchange rates? In: Journal of International Money and Finance.
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2001Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?.(2001) In: Economics Working Paper Archive.
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2010Estimation of DSGE models when the data are persistent In: Journal of Monetary Economics.
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2009Estimation of DSGE Models When the Data are Persistent.(2009) In: NBER Working Papers.
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2017Level and volatility factors in macroeconomic data In: Journal of Monetary Economics.
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2017Level and Volatility Factors in Macroeconomic Data.(2017) In: NBER Working Papers.
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2016A Likelihood-Free Reverse Sampler of the Posterior Distribution In: Advances in Econometrics.
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2013Minimum distance estimation of possibly non-invertible moving average models In: FRB Atlanta Working Paper.
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2015Minimum Distance Estimation of Possibly Noninvertible Moving Average Models.(2015) In: Journal of Business & Economic Statistics.
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2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper.
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2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
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1991Adjustment Costs and Factor Demands in Canadian Manufacturing Industries. In: Laval - Recherche en Energie.
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1991Adjustment Costs and Factor Demands in Canadian Manufacturing Industries..(1991) In: Cahiers de recherche.
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2005Understanding and Comparing Factor-Based Forecasts In: International Journal of Central Banking.
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2005Understanding and Comparing Factor-Based Forecasts.(2005) In: NBER Working Papers.
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2005Understanding and Comparing Factor-Based Forecasts.(2005) In: MPRA Paper.
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1995Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary. In: Journal of Applied Econometrics.
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1995Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary..(1995) In: Cahiers de recherche.
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1995Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary..(1995) In: Cahiers de recherche.
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1995Review of Coint 2.0. In: Journal of Applied Econometrics.
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2009Boosting diffusion indices In: Journal of Applied Econometrics.
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1994Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. In: Cahiers de recherche.
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1994Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag..(1994) In: Cahiers de recherche.
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1994Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties. In: Cahiers de recherche.
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1994Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties..(1994) In: Cahiers de recherche.
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1996Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties.(1996) In: The Review of Economic Studies.
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1995Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent. In: Cahiers de recherche.
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1995Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent..(1995) In: Cahiers de recherche.
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2019A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data In: NBER Chapters.
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2019A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data.(2019) In: NBER Working Papers.
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2005Macro Factors in Bond Risk Premia In: NBER Working Papers.
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2009Macro Factors in Bond Risk Premia.(2009) In: The Review of Financial Studies.
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2009A Factor Analysis of Bond Risk Premia In: NBER Working Papers.
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2017Shock Restricted Structural Vector-Autoregressions In: NBER Working Papers.
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2017Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data In: NBER Working Papers.
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2020COVID-19 and The Macroeconomic Effects of Costly Disasters In: NBER Working Papers.
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2020Latent Dirichlet Analysis of Categorical Survey Expectations In: NBER Working Papers.
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2008Large Dimensional Factor Analysis In: Foundations and Trends(R) in Econometrics.
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2003Intergenerational Time Transfers and Childcare In: Review of Economic Dynamics.
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2003Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data In: Computing in Economics and Finance 2003.
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2004Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor In: Econometrics.
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