13 citations · 33 across the 12 of their papers we have counts for
18 papers
Cross-Section Estimation of Long-Run Relations Using Time-Compressed Data
Serena Ng, Nikolay Gospodinov
Many empirical investigations of long-run relations are based on cross-section regressions in averaged or long differenced data that effectively have the time dimension of a $T\tim…
Constructing High Frequency Economic Indicators by Imputation
Serena Ng, Susannah Scanlan
Monthly and weekly economic indicators are often taken to be the largest common factor estimated from high and low frequency data, either separately or jointly. To incorporate mixe…
Approximate Factor Models with Weaker Loadings
Jushan Bai, Serena Ng
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assumi…
Time Series Estimation of the Dynamic Effects of Disaster-Type Shock
Richard Davis, Serena Ng
This paper provides three results for SVARs under the assumption that the primitive shocks are mutually independent. First, a framework is proposed to accommodate a disaster-type v…
Factor-Based Imputation of Missing Values and Covariances in Panel Data of Large Dimensions
Ercument Cahan, Jushan Bai, Serena Ng
Economists are blessed with a wealth of data for analysis, but more often than not, values in some entries of the data matrix are missing. Various methods have been proposed to han…
Modeling Macroeconomic Variations After COVID-19
Serena Ng
The coronavirus is a global event of historical proportions and just a few months changed the time series properties of the data in ways that make many pre-covid forecasting models…