← All authors Serena Ng Columbia University (from arXiv:2601.07059, 2026) · ORCID · OpenAlex
92 papers in scope · 85 published · 12 on the econ.EM arXiv · 22,180 citations · h-index 44 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Ziyu Jiang Matteo Barigozzi Jungjun Choi Jushan Bai Yuan Liao Markus Pelger Richard A. Davis Ming Yuan Yuling Yan Philipp Gersing Junting Duan Sangmyung Ha Andrew Chia Hansheng Wang Xian Li Anish Agarwal Szymon Sacher Laura Battaglia Stephen Hansen Ruoxuan Xiong Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (17 of 92)
The economic impact of low-and high-frequency temperature changes
published 2026 · European Economic Review · 5 citations · first circulated 2025
with Nikolay Gospodinov, Ignacio Lopez Gaffney
working paper 2026 · arXiv
published 2024 · Journal of Business and Economic Statistics · 4 citations
published 2023 · Econometrics Journal · 6 citations
published 2023 · Journal of Econometrics · 84 citations · first circulated 2021
Five decades of the Journal of Econometrics: An activity report
published 2023 · Journal of Econometrics · 8 citations
published 2022 · Journal of Econometrics · 25 citations · first circulated 2021
published 2022 · Journal of Econometrics · 8 citations · first circulated 2021
Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
published 2021 · American Economic Journal Macroeconomics · 529 citations · first circulated 2015
with Sydney C. Ludvigson, Sai Ma
published 2021 · Journal of the American Statistical Association · 49 citations
working paper 2021 · arXiv · 23 citations
Annals Issue: PI-Day Honoring Pierre Perron
published 2021 · Journal of Econometrics · 1 citations
141 Patient flow through a specialist heart failure clinic: a time and motion study
published 2021 · Heart failure · 1 citations
with Arvind Singhal, Martín Cowie
published 2021 · AEA Papers and Proceedings
published 2020 · Journal of Econometrics · 6 citations · first circulated 2019
working paper 2020 · arXiv · 3 citations
working paper 2020 · arXiv
published 2020 · Annual Review of Economics · 2 citations
working paper 2020 · arXiv · 3 citations
working paper 2019 · arXiv
Rank regularized estimation of approximate factor models
published 2019 · Journal of Econometrics · 76 citations
published 2018 · Journal of Econometrics · 8 citations
Comments and Discussion
published 2018 · Brookings Papers on Economic Activity · 2 citations
with Valerie Ramey
Level and volatility factors in macroeconomic data
published 2017 · Journal of Monetary Economics · 25 citations
with Yuriy Gorodnichenko
working paper 2017 · arXiv · 13 citations
Simulated minimum distance estimation of dynamic models with errors-in-variables
published 2017 · Journal of Econometrics · 19 citations · first circulated 2014
with Nikolay Gospodinov, Ivana Komunjer
FRED-MD: A Monthly Database for Macroeconomic Research
published 2015 · Journal of Business and Economic Statistics · 910 citations
with Michael W. McCracken
Measuring Uncertainty
published 2015 · American Economic Review · 2944 citations · first circulated 2013
with Kyle Jurado, Sydney C. Ludvigson
Constructing Common Factors from Continuous and Categorical Data
published 2014 · Econometric Reviews · 12 citations
Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
published 2014 · Journal of Business and Economic Statistics · 29 citations · first circulated 2013
with Nikolay Gospodinov
Viewpoint: Boosting Recessions
published 2014 · Canadian Journal of Economics/Revue canadienne d économique · 70 citations
Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling
published 2013 · Journal of Economic Literature · 214 citations
with Jonathan H. Wright, Jonathan Wright
MEASUREMENT ERRORS IN DYNAMIC MODELS
published 2013 · Econometric Theory · 20 citations
with Ivana Komunjer
Dynamic Hierarchical Factor Models
published 2013 · The Review of Economics and Statistics · 142 citations · first circulated 2009
with Emanuel Moench, Simon Potter
Principal components estimation and identification of static factors
published 2013 · Journal of Econometrics · 306 citations
Estimation of Panel Data Models with Parameter Heterogeneity when Group Membership is Unknown
published 2012 · Journal of Econometric Methods · 128 citations · first circulated 2007
with Chang-Ching Lin, Chang-ching Lin
Commodity Prices, Convenience Yields, and Inflation
published 2011 · The Review of Economics and Statistics · 159 citations
with Nikolay Gospodinov
ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES
published 2011 · Econometric Theory · 2 citations
A hierarchical factor analysis of U.S. housing market dynamics
published 2011 · Econometrics Journal · 90 citations
with Emanuel Moench
Dynamic Identification of Dynamic Stochastic General Equilibrium Models
published 2011 · Econometrica · 187 citations
with Ivana Komunjer
Editors’ Report 2009
published 2010 · Journal of Business and Economic Statistics
INSTRUMENTAL VARIABLE ESTIMATION IN A DATA RICH ENVIRONMENT
published 2010 · Econometric Theory · 173 citations
Estimation of DSGE models when the data are persistent
published 2010 · Journal of Monetary Economics · 67 citations · first circulated 2009
with Yuriy Gorodnichenko
PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
published 2009 · Econometric Theory · 236 citations
Macro Factors in Bond Risk Premia
published 2009 · Review of Financial Studies · 1113 citations · first circulated 2005
with Sydney C. Ludvigson, Sydeny C. Ludvigson
Editors’ Report 2008
published 2009 · Journal of Business and Economic Statistics
Selecting Instrumental Variables in a Data Rich Environment
published 2009 · Journal of Time Series Econometrics · 71 citations
Boosting diffusion indices
published 2009 · Journal of Applied Econometrics · 153 citations
Panel cointegration with global stochastic trends
published 2008 · Journal of Econometrics · 397 citations
Editors' Report 2007
published 2008 · Journal of Business and Economic Statistics · 1 citations
Forecasting economic time series using targeted predictors
published 2008 · Journal of Econometrics · 726 citations
Large Dimensional Factor Analysis
published 2008 · Foundations and Trends® in Econometrics · 217 citations
Extremum Estimation when the Predictors are Estimated from Large Panels
published 2008 · Annals of economics and finance · 31 citations
no link
A Simple Test for Nonstationarity in Mixed Panels
published 2007 · Journal of Business and Economic Statistics · 37 citations
Detecting Information Pooling: Evidence from Earnings Forecasts after Brokerage Mergers
published 2007 · The B E Journal of Economic Analysis & Policy · 3 citations
Editors' Report 2006
published 2007 · Journal of Business and Economic Statistics
Determining the Number of Primitive Shocks in Factor Models
published 2006 · Journal of Business and Economic Statistics · 553 citations
The empirical risk–return relation: A factor analysis approach☆
published 2006 · Journal of Financial Economics · 709 citations · first circulated 2005
with Sydney C. Ludvigson
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
published 2006 · Econometrica · 656 citations
Testing Cross-Section Correlation in Panel Data Using Spacings
published 2005 · Journal of Business and Economic Statistics · 100 citations
Demand Systems with Nonstationary Prices
published 2005 · The Review of Economics and Statistics · 50 citations · first circulated 2002
Are more data always better for factor analysis?
published 2005 · Journal of Econometrics · 110 citations · first circulated 2003
with Jean Boivin
Evaluating latent and observed factors in macroeconomics and finance
published 2005 · Journal of Econometrics · 229 citations · first circulated 2004
A Note on the Selection of Time Series Models
published 2005 · Oxford Bulletin of Economics and Statistics · 118 citations · first circulated 2001
Tests for Skewness, Kurtosis, and Normality for Time Series Data
published 2004 · Journal of Business and Economic Statistics · 500 citations · first circulated 2001
A PANIC Attack on Unit Roots and Cointegration
published 2004 · Econometrica · 1876 citations · first circulated 2001
Intergenerational time transfers and childcare
published 2003 · Review of Economic Dynamics · 94 citations
with Emanuela Cardia
Can sticky prices account for the variations and persistence in real exchange rates?
published 2003 · Journal of International Money and Finance · 1 citations · first circulated 2002
Forecasting autoregressive time series in the presence of deterministic components
published 2002 · Econometrics Journal · 14 citations · first circulated 1999
ANALYSIS OF VECTOR AUTOREGRESSIONS IN THE PRESENCE OF SHIFTS IN MEAN
published 2002 · Econometric Reviews · 31 citations · first circulated 1997
Determining the Number of Factors in Approximate Factor Models
published 2002 · Econometrica · 765 citations
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
published 2001 · Econometrica · 3978 citations
A systematic framework for analyzing the dynamic effects of permanent and transitory shocks
published 2001 · Journal of Economic Dynamics and Control · 222 citations · first circulated 1996
A consistent test for conditional symmetry in time series models
published 2001 · Journal of Econometrics · 111 citations · first circulated 1998
Explaining the Persistence of Commodity Prices
published 2000 · Computational Economics · 44 citations · first circulated 1997
with Francisco J. Ruge-Murcia
Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators
published 2000 · Journal of Econometrics · 172 citations · first circulated 1997
with Alexander Michaelides
Testing for ARCH in the presence of a possibly misspecified conditional mean
published 1999 · Journal of Econometrics · 81 citations · first circulated 1998
with Robin L. Lumsdaine
A Semiparametric Factor Model of Interest Rates and Tests of the Affine Term Structure
published 1998 · The Review of Economics and Statistics · 32 citations · first circulated 1997
AN AUTOREGRESSIVE SPECTRAL DENSITY ESTIMATOR AT FREQUENCY ZERO FOR NONSTATIONARITY TESTS
published 1998 · Econometric Theory · 10 citations
Parametric and Nonparametric Approaches to Price and Tax Reform
published 1998 · Journal of the American Statistical Association · 10 citations
with Angus Deaton
Estimation and inference in nearly unbalanced nearly cointegrated systems
published 1997 · Journal of Econometrics · 71 citations · first circulated 1995
Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation
published 1997 · Journal of money credit and banking · 23 citations
with René García, Annamaria Lusardi
The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
published 1996 · The Review of Economics and Statistics · 23 citations · first circulated 1995
with Huntley Schaller
Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
published 1996 · The Review of Economic Studies · 594 citations · first circulated 1994
THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
published 1996 · Journal of Time Series Analysis · 30 citations
Parametric and Non-Parametric Approaches to Price and Tax Reform
published 1996 · Journal of the American Statistical Association · 2 citations
with Angus Deaton
Looking for evidence of speculative stockholding in commodity markets
published 1996 · Journal of Economic Dynamics and Control · 31 citations · first circulated 1995
Testing for homogeneity in demand systems when the regressors are nonstationary
published 1995 · Journal of Applied Econometrics · 97 citations
Review of coint 2.0
published 1995 · Journal of Applied Econometrics
Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
published 1995 · Journal of the American Statistical Association · 1481 citations · first circulated 1994
Testing for unit roots in flow data sampled at different frequencies
published 1995 · Economics Letters · 22 citations
Adjustment costs and factor demands in Canadian manufacturing industries
published 1992 · Applied Economics · 2 citations
with Benoît Carmichael
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