Serena Ng

Columbia Business School - Economics Department

420 West 118th Street

New York, NY 10027

United States

SCHOLARLY PAPERS

35

DOWNLOADS
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SSRN RANKINGS

Top 25,313

in Total Papers Downloads

2,407

SSRN CITATIONS
Rank 632

SSRN RANKINGS

Top 632

in Total Papers Citations

661

CROSSREF CITATIONS

1,005

Scholarly Papers (35)

The Empirical Risk-Return Relation: A Factor Analysis Approach

Number of pages: 58 Posted: 14 Jul 2005
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 553 (60,813)

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Risk-premia, excess returns, stock market volatility

The Empirical Risk-Return Relation: A Factor Analysis Approach

NBER Working Paper No. w11477
Number of pages: 58 Posted: 09 Aug 2005 Last Revised: 13 May 2021
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 75 (388,195)
Citation 30

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Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

Number of pages: 35 Posted: 04 Nov 2016 Last Revised: 21 Feb 2017
Serena Ng
Columbia Business School - Economics Department
Downloads 262 (143,528)

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Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data

NBER Working Paper No. w23673
Number of pages: 36 Posted: 17 Aug 2017 Last Revised: 08 Mar 2021
Serena Ng
Columbia Business School - Economics Department
Downloads 21 (641,760)
Citation 2

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3.

A Panic Attack on Unit Roots and Cointegration

Boston College Working Paper No. 519
Number of pages: 40 Posted: 23 Dec 2001
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia Business School - Economics Department
Downloads 218 (172,269)
Citation 66

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Panel data, common factors, common trends, principal components

4.

Dynamic Hierarchical Factor Models

FRB of New York Staff Report No. 412
Number of pages: 17 Posted: 15 Dec 2009 Last Revised: 31 Jul 2011
Emanuel Moench, Serena Ng and Simon Potter
Deutsche Bundesbank, Columbia Business School - Economics Department and Peter G. Peterson Institute for International Economics
Downloads 167 (218,685)
Citation 27

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

5.

Measuring Uncertainty

NBER Working Paper No. w19456
Number of pages: 49 Posted: 20 Sep 2013
Duke University - Department of Economics, New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 136 (258,887)
Citation 201

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6.

Fred-Md: A Monthly Database for Macroeconomic Research

FRB St. Louis Working Paper No. 2015-12
Number of pages: 31 Posted: 19 Aug 2015 Last Revised: 06 Mar 2019
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 120 (284,292)
Citation 91

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diffusion index, forecasting, big data, factors.

7.
Downloads 116 (291,151)

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703
Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Jun 2010
Serena Ng and Sydney C. Ludvigson
Columbia Business School - Economics Department and New York University - Department of Economics
Downloads 116 (292,585)
Citation 58

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Macro Factors in Bond Risk Premia

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5027-5067, 2009
Posted: 24 Nov 2009
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia Business School - Economics Department

Abstract:

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E0, E4, G10, G12

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

Number of pages: 28 Posted: 09 Mar 2002
Serena Ng
Columbia Business School - Economics Department
Downloads 82 (368,268)

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persistence, half-lives, rigidities, real exchange rates

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

Posted: 24 Jun 2002
Serena Ng
Columbia Business School - Economics Department

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persistence, half-lives, rigidities, real exchange rates

9.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188
Number of pages: 60 Posted: 28 Jul 2009 Last Revised: 04 Jul 2010
Sydney C. Ludvigson and Serena Ng
New York University - Department of Economics and Columbia Business School - Economics Department
Downloads 66 (411,529)
Citation 2

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10.

Are More Data Always Better for Factor Analysis?

NBER Working Paper No. w9829
Number of pages: 27 Posted: 14 Jul 2003 Last Revised: 12 May 2021
Jean Boivin and Serena Ng
HEC Montreal and Columbia Business School - Economics Department
Downloads 59 (435,375)
Citation 34

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11.

A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data

Number of pages: 37 Posted: 24 Mar 2019
Rishab Guha and Serena Ng
Harvard University and Columbia Business School - Economics Department
Downloads 58 (438,902)

Abstract:

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Seasonal Adjustment, Random Forest, Demand System

Estimation of DSGE Models When the Data are Persistent

Number of pages: 35 Posted: 25 Jul 2009
Serena Ng and Yuriy Gorodnichenko
Columbia Business School - Economics Department and University of California, Berkeley - Department of Economics
Downloads 43 (508,729)
Citation 4

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DSGE, estimation, persistence

Estimation of DSGE Models When the Data are Persistent

NBER Working Paper No. w15187
Number of pages: 36 Posted: 28 Jul 2009 Last Revised: 02 Jul 2021
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia Business School - Economics Department
Downloads 12 (713,340)

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13.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803
Number of pages: 52 Posted: 14 Dec 2015 Last Revised: 30 Jul 2021
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department
Downloads 54 (453,564)
Citation 60

Abstract:

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14.

Understanding and Comparing Factor-Based Forecasts

NBER Working Paper No. w11285
Number of pages: 29 Posted: 02 Jun 2005 Last Revised: 03 May 2021
Jean Boivin and Serena Ng
HEC Montreal and Columbia Business School - Economics Department
Downloads 51 (465,128)
Citation 8

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15.

Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling

NBER Working Paper No. w19469
Number of pages: 45 Posted: 02 Oct 2013 Last Revised: 14 Mar 2021
Serena Ng and Jonathan H. Wright
Columbia Business School - Economics Department and Johns Hopkins University - Department of Economics
Downloads 50 (469,116)
Citation 5

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16.

Covid-19 and the Macroeconomic Effects of Costly Disasters

NBER Working Paper No. w26987
Number of pages: 24 Posted: 13 Apr 2020 Last Revised: 27 Jun 2021
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department
Downloads 42 (503,221)
Citation 11

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17.

Minimum Distance Estimation of Dynamic Models with Errors-in-Variables

FRB Atlanta Working Paper No. 2014-11
Number of pages: 37 Posted: 04 Apr 2015 Last Revised: 25 Aug 2015
Federal Reserve Bank of Atlanta, University of California, San Diego (UCSD) - Department of Economics and Columbia Business School - Economics Department
Downloads 37 (526,838)
Citation 4

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measurement error, minimum distance, simulation estimation, dynamic panel

18.

Parametric and Non-Parametric Approaches to Price and Tax Reform

NBER Working Paper No. w5564
Number of pages: 27 Posted: 24 Sep 1996 Last Revised: 17 Mar 2021
Angus Deaton and Serena Ng
Princeton University and Columbia Business School - Economics Department
Downloads 36 (531,868)

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19.

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models

FRB Atlanta Working Paper No. 2013-11
Number of pages: 32 Posted: 22 Mar 2015
Nikolay Gospodinov and Serena Ng
Federal Reserve Bank of Atlanta and Columbia Business School - Economics Department
Downloads 23 (607,840)
Citation 4

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

20.

Level and Volatility Factors in Macroeconomic Data

NBER Working Paper No. w23672
Number of pages: 31 Posted: 17 Aug 2017
Yuriy Gorodnichenko and Serena Ng
University of California, Berkeley - Department of Economics and Columbia Business School - Economics Department
Downloads 21 (621,404)
Citation 7

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FRED-QD: A Quarterly Database for Macroeconomic Research

FRB of St. Louis Working Paper No. Forthcoming
Number of pages: 129 Posted: 14 May 2021
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 10 (730,087)

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22.

Detecting Information Pooling: Analysts' Forecasts after Brokerage Firm Mergers

The B.E. Journal of Economic Analysis & Policy, 2007
Number of pages: 38 Posted: 20 Mar 2016 Last Revised: 26 Apr 2016
Serena Ng and Matthew Shum
Columbia Business School - Economics Department and California Institute of Technology
Downloads 19 (635,414)

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information pooling, earnings forecasts, brokerage mergers

23.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225
Number of pages: 49 Posted: 19 Mar 2017 Last Revised: 18 Jun 2021
Sydney C. Ludvigson, Sai Ma and Serena Ng
New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department
Downloads 18 (642,498)
Citation 5

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24.

A Note on the Selection of Time Series Models

Number of pages: 20 Posted: 11 Jan 2005
Serena Ng and Pierre Perron
Columbia Business School - Economics Department and Boston University - Department of Economics
Downloads 16 (656,697)
Citation 2
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25.

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

NBER Working Paper No. w17424
Number of pages: 43 Posted: 21 Sep 2011 Last Revised: 10 Feb 2021
University of California, Berkeley - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics and Columbia Business School - Economics Department
Downloads 15 (663,987)

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26.

Modeling Macroeconomic Variations after Covid-19

NBER Working Paper No. w29060
Number of pages: 21 Posted: 26 Jul 2021 Last Revised: 31 Jul 2021
Serena Ng
Columbia Business School - Economics Department
Downloads 13 (678,991)

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27.

Fred-Qd: A Quarterly Database for Macroeconomic Research

NBER Working Paper No. w26872
Number of pages: 52 Posted: 23 Mar 2020 Last Revised: 05 Jun 2021
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 7 (725,427)
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28.

A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data

NBER Working Paper No. w25899
Number of pages: 40 Posted: 07 Jun 2019
Rishab Guha and Serena Ng
Harvard University and Columbia Business School - Economics Department
Downloads 4 (748,762)
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29.

Latent Dirichlet Analysis of Categorical Survey Expectations

NBER Working Paper No. w27182
Number of pages: 33 Posted: 18 May 2020 Last Revised: 10 Apr 2021
Evan Munro and Serena Ng
Stanford University and Columbia Business School - Economics Department
Downloads 3 (756,868)
Citation 1
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30.

An Econometric Perspective on Algorithmic Subsampling

Annual Review of Economics, Vol. 12, pp. 45-80, 2020
Posted: 14 Aug 2020
Sokbae Lee and Serena Ng
Columbia University and Columbia Business School - Economics Department

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31.

Viewpoint: Boosting Recessions (Prévoir les Recessions)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 47, Issue 1, pp. 1-34, 2014
Number of pages: 34 Posted: 28 Jan 2014
Serena Ng
Columbia Business School - Economics Department
Downloads 0 (794,867)
Citation 9
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32.

Panel Cointegration with Global Stochastic Trends

Journal of Econometrics, Vol. 149, No. 1, 2009
Posted: 21 Apr 2011
Jushan Bai, Chihwa Kao and Serena Ng
New York University (NYU) - Department of Economics, Syracuse University and Columbia Business School - Economics Department

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33.

Intergenerational Linkages in Consumption Behavior

Posted: 19 Nov 2003
Andreas Waldkirch, Serena Ng and Donald Cox
Colby College - Department of Economics, Columbia Business School - Economics Department and Boston College - Department of Economics

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family, income, tastes, habits, learning

34.

Determining the Number of Factors in Approximate Factor Models

Posted: 15 May 2002
Jushan Bai and Serena Ng
New York University (NYU) - Department of Economics and Columbia Business School - Economics Department

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35.

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation

JOURNAL OF MONEY, CREDIT, AND BANKING, Vol. 29, No. 2, May 1997
Posted: 05 Feb 1997
Université de Montréal - CIREQ - Département de sciences économiques, George Washington University - Department of Accountancy and Columbia Business School - Economics Department

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