Serena Ng : Citation Profile

Are you Serena Ng?

Columbia University

38

H index

60

i10 index

10670

Citations

RESEARCH PRODUCTION:

76

Articles

107

Papers

3

Chapters

RESEARCH ACTIVITY:

   30 years (1991 - 2021). See details.
   Cites by year: 355
   Journals where Serena Ng has often published
   Relations with other researchers
   Recent citing documents: 1092.    Total self citations: 50 (0.47 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/png6
   Updated: 2021-09-18    RAS profile: 2021-07-28    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Bai, Jushan (5)

McCracken, Michael (4)

Lee, Sokbae (Simon) (4)

Gorodnichenko, Yuriy (2)

Ma, Sai (2)

Ludvigson, Sydney (2)

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 (249)

Marcellino, Massimiliano (155)

Shahbaz, Muhammad (111)

Forni, Mario (105)

Hallin, Marc (91)

Lippi, Marco (90)

Westerlund, Joakim (89)

Asongu, Simplice (89)

Rodríguez Caballero, Carlos (87)

Barigozzi, Matteo (82)

Eickmeier, Sandra (80)

Cites to:

Bai, Jushan (70)

Watson, Mark (67)

Stock, James (53)

Reichlin, Lucrezia (47)

Forni, Mario (42)

Lippi, Marco (39)

Perron, Pierre (39)

Phillips, Peter (32)

Hallin, Marc (32)

Pesaran, M (27)

Diebold, Francis (22)

Main data

Where Serena Ng has published?

Journals with more than one article published# docs
Journal of Econometrics13
Journal of Business & Economic Statistics8
Econometrica5
Econometric Theory5
The Review of Economics and Statistics5
Journal of Applied Econometrics3
Journal of Monetary Economics2
Econometric Reviews2
Econometrics Journal2
AEA Papers and Proceedings2
Journal of Business & Economic Statistics2
Journal of Economic Dynamics and Control2
Annals of Economics and Finance2

Working Papers Series with more than one paper published# docs
Boston College Working Papers in Economics / Boston College Department of Economics18
Papers / arXiv.org13
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics4
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta2
Econometrics / University Library of Munich, Germany2
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Serena Ng (2021 and 2020)

YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

Full description at Econpapers || Download paper

2020Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03.

Full description at Econpapers || Download paper

2020Tree-based Synthetic Control Methods: Consequences of moving the US Embassy. (2020). Muhlbach, Nicolaj N. In: CREATES Research Papers. RePEc:aah:create:2020-04.

Full description at Econpapers || Download paper

2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

Full description at Econpapers || Download paper

2020Air pollution and mobility in the Mexico City Metropolitan Area, what drives the COVID-19 death toll?. (2020). Vera-Valdes, Eduardo J ; Rodriguez-Caballero, Carlos Vladimir. In: CREATES Research Papers. RePEc:aah:create:2020-15.

Full description at Econpapers || Download paper

2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

Full description at Econpapers || Download paper

2021Expecting the unexpected: economic growth under stress. (2021). Ortega, Esther Ruiz ; Rodriguez-Caballero, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: CREATES Research Papers. RePEc:aah:create:2021-06.

Full description at Econpapers || Download paper

2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

Full description at Econpapers || Download paper

2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

Full description at Econpapers || Download paper

2020Governance and the Capital Flight Trap in Africa. (2020). Asongu, Simplice ; Nnanna, Joseph. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/024.

Full description at Econpapers || Download paper

2020Forecasting Financial Vulnerability in the US: A Factor Model Approach. (2020). Shi, Wen ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2020-04.

Full description at Econpapers || Download paper

2020Governance and the Capital Flight Trap in Africa. (2020). Asongu, Simplice ; Nnanna, Joseph. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/024.

Full description at Econpapers || Download paper

2020Land certification, rental market participation, and income dynamics in rural China. (2020). Du, Xiaodong ; Xu, Licheng. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304247.

Full description at Econpapers || Download paper

2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

Full description at Econpapers || Download paper

2020Does the Yield Curve Signal Recessions? New Evidence from an International Panel Data Analysis. (2020). Hasse, Jean-Baptiste ; Lajaunie, Quentin. In: AMSE Working Papers. RePEc:aim:wpaimx:2013.

Full description at Econpapers || Download paper

2020Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020007.

Full description at Econpapers || Download paper

2021Response surfaces for DF-GLS p-values. (2021). Cottrell, Allin. In: gretl working papers. RePEc:anc:wgretl:8.

Full description at Econpapers || Download paper

2020“Measuring and assessing economic uncertainty”. (2020). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:202003.

Full description at Econpapers || Download paper

2021“Employment uncertainty a year after the irruption of the covid-19 pandemic”. (2021). Sorić, Petar ; Claveria, Oscar ; Soric, Petar. In: AQR Working Papers. RePEc:aqr:wpaper:202104.

Full description at Econpapers || Download paper

2021“Detecting multiple level shifts in bounded time series”. (2021). Carrion-i-Silvestre, Josep ; Gadea, Maria Dolores. In: AQR Working Papers. RePEc:aqr:wpaper:202106.

Full description at Econpapers || Download paper

2020Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1708.02786.

Full description at Econpapers || Download paper

2020Ill-posed Estimation in High-Dimensional Models with Instrumental Variables. (2018). Simoni, Anna ; Mammen, Enno ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1806.00666.

Full description at Econpapers || Download paper

2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

Full description at Econpapers || Download paper

2020Limit Theorems for Factor Models. (2018). Anatolyev, Stanislav ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:1807.06338.

Full description at Econpapers || Download paper

2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

Full description at Econpapers || Download paper

2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

Full description at Econpapers || Download paper

2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

Full description at Econpapers || Download paper

2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

Full description at Econpapers || Download paper

2020Forecasting the US GDP Components in the short run. (2019). Celov, Dmitrij ; Jokubaitis, Saulius. In: Papers. RePEc:arx:papers:1906.07992.

Full description at Econpapers || Download paper

2021Detecting Identification Failure in Moment Condition Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1907.13093.

Full description at Econpapers || Download paper

2020Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve. (2019). Reuvers, Hanno ; Lin, Yicong. In: Papers. RePEc:arx:papers:1908.02552.

Full description at Econpapers || Download paper

2021Shrinkage Estimation of Network Spillovers with Factor Structured Errors. (2019). Martellosio, Federico ; Higgins, Ayden. In: Papers. RePEc:arx:papers:1909.02823.

Full description at Econpapers || Download paper

2021Subspace Clustering for Panel Data with Interactive Effects. (2019). Tony, Hon Keung ; Qu, Hao ; Gao, Wei ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:1909.09928.

Full description at Econpapers || Download paper

2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

Full description at Econpapers || Download paper

2020Quasi 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.

Full description at Econpapers || Download paper

2020Identifiability of Structural Singular Vector Autoregressive Models. (2019). Braumann, Alexander ; Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04096.

Full description at Econpapers || Download paper

2020Large Dimensional Latent Factor Modeling with Missing Observations and Applications to Causal Inference. (2019). Pelger, Markus ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1910.08273.

Full description at Econpapers || Download paper

2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

Full description at Econpapers || Download paper

2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

Full description at Econpapers || Download paper

2020Optimal Experimental Design for Staggered Rollouts. (2019). Imbens, Guido ; Bayati, Mohsen ; Athey, Susan ; Xiong, Ruoxuan. In: Papers. RePEc:arx:papers:1911.03764.

Full description at Econpapers || Download paper

2020Regularized Estimation of High-dimensional Factor-Augmented Autoregressive (FAVAR) Models. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04146.

Full description at Econpapers || Download paper

2020Blocked Clusterwise Regression. (2020). Cytrynbaum, Max. In: Papers. RePEc:arx:papers:2001.11130.

Full description at Econpapers || Download paper

2020Profit-oriented sales forecasting: a comparison of forecasting techniques from a business perspective. (2020). Lemahieu, Wilfried ; Baesens, Bart ; van den Bossche, Filip ; van Calster, Tine. In: Papers. RePEc:arx:papers:2002.00949.

Full description at Econpapers || Download paper

2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

Full description at Econpapers || Download paper

2020Equal 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.

Full description at Econpapers || Download paper

2020The effects of targeting predictors in a random forest regression model. (2020). Christensen, Bent Jesper ; Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Norgaard ; Borup, Daniel. In: Papers. RePEc:arx:papers:2004.01411.

Full description at Econpapers || Download paper

2020The Interaction Between Credit Constraints and Uncertainty Shocks. (2020). Kohn, Robert ; Gunawan, David ; Chatterjee, Pratiti . In: Papers. RePEc:arx:papers:2004.14719.

Full description at Econpapers || Download paper

2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

Full description at Econpapers || Download paper

2020Modeling High-Dimensional Unit-Root Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2005.03496.

Full description at Econpapers || Download paper

2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

Full description at Econpapers || Download paper

2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

Full description at Econpapers || Download paper

2020Measuring Macroeconomic Uncertainty: A Cross-Country Analysis. (2020). Sarferaz, Samad ; Dibiasi, Andreas. In: Papers. RePEc:arx:papers:2006.09007.

Full description at Econpapers || Download paper

2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

Full description at Econpapers || Download paper

2021Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183.

Full description at Econpapers || Download paper

2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

Full description at Econpapers || Download paper

2021When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. (2020). Ferrara, Laurent ; Simoni, Anna. In: Papers. RePEc:arx:papers:2007.00273.

Full description at Econpapers || Download paper

2020Forecasting with Bayesian Grouped Random Effects in Panel Data. (2020). Zhang, Boyuan. In: Papers. RePEc:arx:papers:2007.02435.

Full description at Econpapers || Download paper

2020Variable Selection in Macroeconomic Forecasting with Many Predictors. (2020). Yu, Cindy ; Zhu, Zhengyuan ; Wang, Zhenzhong. In: Papers. RePEc:arx:papers:2007.10160.

Full description at Econpapers || Download paper

2020The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838.

Full description at Econpapers || Download paper

2021The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

Full description at Econpapers || Download paper

2020Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747.

Full description at Econpapers || Download paper

2021Testing Semi-Strong Form Efficiency of the Prewar Japanese Stock Market. (2020). Noda, Akihiko ; Hirayama, Kenichi. In: Papers. RePEc:arx:papers:2008.00860.

Full description at Econpapers || Download paper

2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

Full description at Econpapers || Download paper

2021To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

Full description at Econpapers || Download paper

2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

Full description at Econpapers || Download paper

2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

Full description at Econpapers || Download paper

2020Bear Markets and Recessions versus Bull Markets and Expansions. (2020). Hatemi-J, Abdulnasser. In: Papers. RePEc:arx:papers:2009.01343.

Full description at Econpapers || Download paper

2021COVID-19: Tail Risk and Predictive Regressions. (2020). Skrobotov, Anton ; Semenov, Alexander ; Ibragimov, Rustam ; Distaso, Walter. In: Papers. RePEc:arx:papers:2009.02486.

Full description at Econpapers || Download paper

2021Dimension Reduction for High Dimensional Vector Autoregressive Models. (2020). Hecq, Alain ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2009.03361.

Full description at Econpapers || Download paper

2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

Full description at Econpapers || Download paper

2020Regularized Solutions to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2009.05875.

Full description at Econpapers || Download paper

2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data. (2020). , Weinan ; Huang, Guanhua ; Pang, Yue ; Yang, Yucheng. In: Papers. RePEc:arx:papers:2010.05172.

Full description at Econpapers || Download paper

2020Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach. (2020). Phella, Anthoulla. In: Papers. RePEc:arx:papers:2010.12263.

Full description at Econpapers || Download paper

2021Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

Full description at Econpapers || Download paper

2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

Full description at Econpapers || Download paper

2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

Full description at Econpapers || Download paper

2021Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction. (2020). Masini, Ricardo P ; Fan, Jianqing ; Medeiros, Marcelo C. In: Papers. RePEc:arx:papers:2011.03996.

Full description at Econpapers || Download paper

2021Mostly Harmless Machine Learning: Learning Optimal Instruments in Linear IV Models. (2020). Chen, Daniel L ; Lewis, Greg. In: Papers. RePEc:arx:papers:2011.06158.

Full description at Econpapers || Download paper

2020A Two-Way Transformed Factor Model for Matrix-Variate Time Series. (2020). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2011.09029.

Full description at Econpapers || Download paper

2020Business and consumer uncertainty in the face of the pandemic: A sector analysis in European countries. (2020). Claveria, Oscar. In: Papers. RePEc:arx:papers:2012.02091.

Full description at Econpapers || Download paper

2021Quantum Technology for Economists. (2021). Hull, Isaiah ; Sattath, OR ; Wendin, Goran ; Diamanti, Eleni. In: Papers. RePEc:arx:papers:2012.04473.

Full description at Econpapers || Download paper

2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

Full description at Econpapers || Download paper

2021A nowcasting approach to generate timely estimates of Mexican economic activity: An application to the period of COVID-19. (2021). Corona, Francisco ; Gonz, Graciela ; L'Opez, Jes'Us. In: Papers. RePEc:arx:papers:2101.10383.

Full description at Econpapers || Download paper

2021Uncertainty spill-overs: when policy and financial realms overlap. (2021). Dragomirescu-Gaina, Catalin ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2102.06404.

Full description at Econpapers || Download paper

2021Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

Full description at Econpapers || Download paper

2021Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

Full description at Econpapers || Download paper

2021Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2021). Han, XU ; Bai, Jushan ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:2102.12666.

Full description at Econpapers || Download paper

2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

Full description at Econpapers || Download paper

2021On the Subbagging Estimation for Massive Data. (2021). Wang, Hansheng ; Liang, Xuan ; Zou, Tao. In: Papers. RePEc:arx:papers:2103.00631.

Full description at Econpapers || Download paper

2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

Full description at Econpapers || Download paper

2021Standing on the Shoulders of Machine Learning: Can We Improve Hypothesis Testing?. (2021). Cornwall, Gary ; Sauley, Beau ; Chen, Jeff . In: Papers. RePEc:arx:papers:2103.01368.

Full description at Econpapers || Download paper

2021Theory 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.

Full description at Econpapers || Download paper

2021Slow-Growing Trees. (2021). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01926.

Full description at Econpapers || Download paper

2021Theory 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.

Full description at Econpapers || Download paper

2021Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data. (2021). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2103.14626.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021On the joint volatility dynamics in dairy markets. (2021). Rezitis, Anthony ; Kastner, Gregor. In: Papers. RePEc:arx:papers:2104.12707.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

Full description at Econpapers || Download paper

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]		article659
2013Measuring Uncertainty.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 659		paper
2021COVID-19 and the Costs of Deadly Disasters In: AEA Papers and Proceedings.
[Full Text][Citation analysis]		article0
2021Estimation and Inference by Stochastic Optimization: Three Examples In: AEA Papers and Proceedings.
[Full Text][Citation analysis]		article0
2021Estimation and Inference by Stochastic Optimization: Three Examples.(2021) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling In: Journal of Economic Literature.
[Full Text][Citation analysis]		article127
2013Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		paper
2020An Econometric Perspective on Algorithmic Subsampling In: Annual Review of Economics.
[Full Text][Citation analysis]		article1
2020An Econometric Perspective on Algorithmic Subsampling.(2020) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2020An econometric perspective on algorithmic subsampling.(2020) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2017The ABC of Simulation Estimation with Auxiliary Statistics In: Papers.
[Full Text][Citation analysis]		paper3
2018The ABC of simulation estimation with auxiliary statistics.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2017Principal Components and Regularized Estimation of Factor Models In: Papers.
[Full Text][Citation analysis]		paper11
2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters In: Papers.
[Full Text][Citation analysis]		paper2
2021Boosting high dimensional predictive regressions with time varying parameters.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2020Latent Dirichlet Analysis of Categorical Survey Responses In: Papers.
[Full Text][Citation analysis]		paper1
2021Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data In: Papers.
[Full Text][Citation analysis]		paper5
2020Inference by Stochastic Optimization: A Free-Lunch Bootstrap In: Papers.
[Full Text][Citation analysis]		paper0
2020Sketching for Two-Stage Least Squares Estimation In: Papers.
[Full Text][Citation analysis]		paper1
2020Simpler Proofs for Approximate Factor Models of Large Dimensions In: Papers.
[Full Text][Citation analysis]		paper1
2021Modeling Macroeconomic Variations After COVID-19 In: Papers.
[Full Text][Citation analysis]		paper0
2021Modeling Macroeconomic Variations after Covid-19.(2021) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions In: Papers.
[Full Text][Citation analysis]		paper0
2021Time Series Estimation of the Dynamic Effects of Disaster-Type Shock In: Papers.
[Full Text][Citation analysis]		paper0
2005Tests for Skewness, Kurtosis, and Normality for Time Series Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article126
2001Tests for Skewness, Kurtosis, and Normality for Time Series Data.(2001) In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 126		paper
2006Testing Cross-Section Correlation in Panel Data Using Spacings In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article61
2007Editors Report 2006 In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article2
2007Determining the Number of Primitive Shocks in Factor Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article314
2008A Simple Test for Nonstationarity in Mixed Panels In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article31
2008Editors Report 2007 In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article3
2009Editors Report 2008 In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2010Editors’ Report 2009 In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0
1996THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
1995The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
1995The Exact Error in Estimating the Special Density at the Origin..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 5		paper
2005A Note on the Selection of Time Series Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article39
2001A Note on the Selection of Time Series Models.(2001) In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
1997Accounting for Trends in the Almost Ideal Demand System In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper2
2000Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper1989
2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power.(2001) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 1989		article
1998Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper36
1999Testing for ARCH in the presence of a possibly misspecified conditional mean.(1999) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		article
1997Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper68
2000Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68		article
2000Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators.(2000) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 68		paper
1997Explaining the Persistence of Commodity Prices In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper27
2000Explaining the Persistence of Commodity Prices.(2000) In: Computational Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
1997Explaining the Persistence of Commodity Prices.(1997) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
1997Parametric and non-parametric approaches to price and tax reform In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper2
1996Parametric and Nonparametric Approaches to Price and Tax Reform..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1996Parametric and Nonparametric Approaches to Price and Tax Reform..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
1996Parametric and Non-Parametric Approaches to Price and Tax Reform.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1997Analysis of Vector Autoregressions in the Presence of Shifts in Mean In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper16
2002ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN.(2002) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
1997How Important are Intergenerational Transfers of Time? A Macroeconomic Analysis In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper9
2000How Important Are Intergenerational Transfers of Time? a Macroeconomic Analysis..(2000) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2000How Important Are Intergenerational Transfers of Time? A Macroeconomic Analysis..(2000) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 9		paper
1998A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper16
1997A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure.(1997) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		paper
1998A Semiparametric Factor Model Of Interest Rates And Tests Of The Affine Term Structure.(1998) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
1998A Test for Conditional Symmetry in Time Series Models In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper2
2000Determining the Number of Factors in Approximate Factor Models In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper1909
2002Determining the Number of Factors in Approximate Factor Models.(2002) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 1909		article
2000Determining the Number of Factors in Approximate Factor Models.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1909		paper
2002Demand Systems With Nonstationary Prices In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper30
2005Demand Systems with Nonstationary Prices.(2005) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
1999Forecasting Dynamic Time Series in the Presence of Deterministic Components In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2000Intergenerational Linkages in Consumption Behavior In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper39
2000Intergenerational Linkages in Consumption Behavior.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2004Intergenerational Linkages in Consumption Behavior.(2004) In: Journal of Human Resources.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		article
2001A New Look at Panel Testing of Stationarity and the PPP Hypothesis In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper7
2001A New Look at Panel Testing of Stationarity and the PPP Hypothesis.(2001) In: Economics Working Paper Archive.
[Citation analysis]
This paper has another version. Agregated cites: 7		paper
2001A PANIC Attack on Unit Roots and Cointegration In: Boston College Working Papers in Economics.
[Full Text][Citation analysis]		paper804
2004A PANIC Attack on Unit Roots and Cointegration.(2004) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 804		article
2001A Panic Attack on Unit Roots and Cointegration.(2001) In: Economics Working Paper Archive.
[Citation analysis]
This paper has another version. Agregated cites: 804		paper
2007Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers In: The B.E. Journal of Economic Analysis & Policy.
[Full Text][Citation analysis]		article1
2012Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown In: Journal of Econometric Methods.
[Full Text][Citation analysis]		article38
2009Selecting Instrumental Variables in a Data Rich Environment In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article17
1996The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information. In: Carleton Economic Papers.
[Citation analysis]		paper15
1995The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
1995The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 15		paper
1996The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information..(1996) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper64
1997Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1997) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 64		article
1995Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		paper
1995Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 64		paper
1996A Semi-Parametric Factor Model for Interest Rates In: CIRANO Working Papers.
[Full Text][Citation analysis]		paper1
1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
1996A Semi-Parametric Factor Model for Interest Rates..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2014Viewpoint: Boosting Recessions In: Canadian Journal of Economics.
[Full Text][Citation analysis]		article27
2014Viewpoint: Boosting Recessions.(2014) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
1996A systematic framework for analyzing the dynamic effects of permanent and transitory shocks In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper127
2001A systematic framework for analyzing the dynamic effects of permanent and transitory shocks.(2001) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		article
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 127		paper
1996A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 127		paper
2002PPP May not Hold Afterall: A Further Investigation In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article18
2002PPP May not Hold Afterall: A Further Investigation.(2002) In: CEMA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
2001PPP May not Hold After all: A Further Investigation.(2001) In: Economics Working Paper Archive.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
2008Extremum Estimation when the Predictors are Estimated from Large Panels In: Annals of Economics and Finance.
[Full Text][Citation analysis]		article20
1998AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS In: Econometric Theory.
[Full Text][Citation analysis]		article33
1996An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33		paper
1996An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 33		paper
2010PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION In: Econometric Theory.
[Full Text][Citation analysis]		article59
2010INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT In: Econometric Theory.
[Full Text][Citation analysis]		article73
2012ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES In: Econometric Theory.
[Full Text][Citation analysis]		article3
2011Estimators for Persistent and Possibly Non-Stationary Data with Classical Properties.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2014MEASUREMENT ERRORS IN DYNAMIC MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article7
2000Forecasting Autoregressive Time Series in the Presence of Deterministic Components In: Working Papers.
[Full Text][Citation analysis]		paper4
2002Forecasting autoregressive time series in the presence of deterministic components.(2002) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2006Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions In: Econometrica.
[Full Text][Citation analysis]		article298
2011Dynamic Identification of Dynamic Stochastic General Equilibrium Models In: Econometrica.
[Full Text][Citation analysis]		article77
2011A hierarchical factor analysis of U.S. housing market dynamics In: Econometrics Journal.
[Full Text][Citation analysis]		article40
2011A hierarchical factor analysis of U.S. housing market dynamics.(2011) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40		article
1996Looking for evidence of speculative stockholding in commodity markets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article18
1995Looking for Evidence of Speculative Stockholding in Commodity Markets..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18		paper
1995Looking for Evidence of Speculative Stockholding in Commodity Markets..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 18		paper
2013Variable Selection in Predictive Regressions In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter9
1995Testing for unit roots in flow data sampled at different frequencies In: Economics Letters.
[Full Text][Citation analysis]		article14
2001A consistent test for conditional symmetry in time series models In: Journal of Econometrics.
[Full Text][Citation analysis]		article54
2006Evaluating latent and observed factors in macroeconomics and finance In: Journal of Econometrics.
[Full Text][Citation analysis]		article100
2004Evaluating Latent and Observed Factors in Macroeconomics and Financ.(2004) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 100		paper
2006Are more data always better for factor analysis? In: Journal of Econometrics.
[Full Text][Citation analysis]		article547
2003Are More Data Always Better for Factor Analysis?.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 547		paper
2008Forecasting economic time series using targeted predictors In: Journal of Econometrics.
[Full Text][Citation analysis]		article277
2009Panel cointegration with global stochastic trends In: Journal of Econometrics.
[Full Text][Citation analysis]		article153
2007Panel Cointegration with Global Stochastic Trends.(2007) In: Center for Policy Research Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 153		paper
2013Principal components estimation and identification of static factors In: Journal of Econometrics.
[Full Text][Citation analysis]		article101
2017Simulated minimum distance estimation of dynamic models with errors-in-variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2019Rank regularized estimation of approximate factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
1997Estimation and inference in nearly unbalanced nearly cointegrated systems In: Journal of Econometrics.
[Full Text][Citation analysis]		article36
1995Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36		paper
1995Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 36		paper
2007The empirical risk-return relation: A factor analysis approach In: Journal of Financial Economics.
[Full Text][Citation analysis]		article227
2005The Empirical Risk-Return Relation: A Factor Analysis Approach.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 227		paper
2006The Empirical Risk-Return Relation: a factor analysis approach.(2006) In: 2006 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 227		paper
2003Can sticky prices account for the variations and persistence in real exchange rates? In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article10
2001Can Sticky Prices Account for the Variations and Persistence in Real Exchange Rates?.(2001) In: Economics Working Paper Archive.
[Citation analysis]
This paper has another version. Agregated cites: 10		paper
2010Estimation of DSGE models when the data are persistent In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article64
2009Estimation of DSGE Models When the Data are Persistent.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64		paper
2017Level and volatility factors in macroeconomic data In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article14
2017Level and Volatility Factors in Macroeconomic Data.(2017) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2016A Likelihood-Free Reverse Sampler of the Posterior Distribution In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2013Minimum distance estimation of possibly non-invertible moving average models In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper4
2015Minimum Distance Estimation of Possibly Noninvertible Moving Average Models.(2015) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2014Minimum Distance Estimation of Dynamic Models with Errors-In-Variables In: FRB Atlanta Working Paper.
[Full Text][Citation analysis]		paper2
2021FRED-QD: A Quarterly Database for Macroeconomic Research In: Review.
[Full Text][Citation analysis]		article14
2020FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2020FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
[Full Text][Citation analysis]		paper207
2016FRED-MD: A Monthly Database for Macroeconomic Research.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 207		article
2009Dynamic hierarchical factor models In: Staff Reports.
[Full Text][Citation analysis]		paper25
2013Dynamic Hierarchical Factor Model.(2013) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
1991Adjustment Costs and Factor Demands in Canadian Manufacturing Industries. In: Laval - Recherche en Energie.
[Citation analysis]		paper0
1991Adjustment Costs and Factor Demands in Canadian Manufacturing Industries..(1991) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2005Understanding and Comparing Factor-Based Forecasts In: International Journal of Central Banking.
[Full Text][Citation analysis]		article190
2005Understanding and Comparing Factor-Based Forecasts.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 190		paper
2005Understanding and Comparing Factor-Based Forecasts.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 190		paper
1995Testing for Homogeneity in Demand Systems When the Regressors Are Nonstationary. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article44
1995Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44		paper
1995Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 44		paper
1995Review of Coint 2.0. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article0
2009Boosting diffusion indices In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article61
1994Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag. In: Cahiers de recherche.
[Full Text][Citation analysis]		paper114
1994Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 114		paper
1994Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties. In: Cahiers de recherche.
[Full Text][Citation analysis]		paper313
1994Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties..(1994) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 313		paper
1996Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties.(1996) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 313		article
1995Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent. In: Cahiers de recherche.
[Full Text][Citation analysis]		paper1
1995Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
2019A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data.(2019) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2005Macro Factors in Bond Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper377
2009Macro Factors in Bond Risk Premia.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 377		article
2009A Factor Analysis of Bond Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2015Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? In: NBER Working Papers.
[Full Text][Citation analysis]		paper89
2017Shock Restricted Structural Vector-Autoregressions In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2017Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2020COVID-19 and The Macroeconomic Effects of Costly Disasters In: NBER Working Papers.
[Full Text][Citation analysis]		paper22
2020Latent Dirichlet Analysis of Categorical Survey Expectations In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2008Large Dimensional Factor Analysis In: Foundations and Trends(R) in Econometrics.
[Full Text][Citation analysis]		article136
2003Intergenerational Time Transfers and Childcare In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article55
2003Assessing Three Estimators of Latent Factors with Calibrated Macroeconomic Data In: Computing in Economics and Finance 2003.
[Citation analysis]		paper0
2015Constructing Common Factors from Continuous and Categorical Data In: Econometric Reviews.
[Full Text][Citation analysis]		article2
2013Commodity Prices, Convenience Yields, and Inflation In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article78
2004Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor In: Econometrics.
[Full Text][Citation analysis]		paper5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team