S Ng… - Econometrica, 2001 - Wiley Online Library
2. Abstract It is widely known that when there are errors with a moving-average root close
to− 1, a high order augmented autoregression is necessary for unit root tests to have good
size, but that information criteria such as the AIC and the BIC tend to select a truncation ...
J Bai… - Econometrica, 2002 - Wiley Online Library
In this paper we develop some econometric theory for factor models of large dimensions.
The focus is the determination of the number of factors (r), which is an unresolved issue in
the rapidly growing literature on multifactor models. We first establish the convergence ...
S Ng… - Journal of the American Statistical Association, 1995 - JSTOR
We analyze the choice of the truncation lag in the context of the Said-Dickey test for the
presence of a unit root in a general autoregressive moving average model. It is shown that a
deterministic relationship between the truncation lag and the sample size is dominated by ...
J Bai… - Econometrica, 2004 - Wiley Online Library
This paper develops a new methodology that makes use of the factor structure of large
dimensional panels to understand the nature of nonstationarity in the data. We refer to it as
PANIC—Panel Analysis of Nonstationarity in Idiosyncratic and Common components. ...
P Perron… - The Review of Economic Studies, 1996 - restud.oxfordjournals.org
Abstract Many unit root tests have distorted sizes when the root of the error process is close
to the unit circle. This paper analyses the properties of the Phillips-Perron tests and some of
their variants in the problematic parameter space. We use local asymptotic analyses to ...
J Boivin… - Journal of Econometrics, 2006 - Elsevier
Factors estimated from large macroeconomic panels are being used in an increasing
number of applications. However, little is known about how the size and the composition of
the data affect the factor estimates. In this paper, we question whether it is possible to use ...
SC Ludvigson… - Review of Financial Studies, 2009 - Soc Financial Studies
Abstract Are there important cyclical fluctuations in bond market premiums and, if so, with
what macroeconomic aggregates do these premiums vary? We use the methodology of
dynamic factor analysis for large datasets to investigate possible empirical linkages ...
J Bai… - Journal of Business and Economic Statistics, 2007 - ASA
A widely held but untested assumption underlying macroeconomic analysis is that the
number of shocks driving economic fluctuations, q, is small. In this article we associate q with
the number of dynamic factors in a large panel of data. We propose a methodology to ...
J Boivin… - 2005 - nber.org
Forecasting usingdiffusion indices' has received a good deal of attention in recent years.
The idea is to use the common factors estimated from a large panel of data to help forecast
the series of interest. This paper assesses the extent to which the forecasts are influenced ...
SC Ludvigson… - Journal of Financial Economics, 2007 - Elsevier
Existing empirical literature on the risk–return relation uses relatively small amount of
conditioning information to model the conditional mean and conditional volatility of excess
stock market returns. We use dynamic factor analysis for large data sets, to summarize a ...
J Bai… - Econometrica, 2006 - Wiley Online Library
We consider the situation when there is a large number of series, N, each with T
observations, and each series has some predictive ability for some variable of interest. A
methodology of growing interest is first to estimate common factors from the panel of data ...
J Gonzalo… - Journal of Economic Dynamics and Control, 2001 - Elsevier
This paper proposes a systematic framework for analyzing the dynamic effects of permanent
and transitory shocks on a system of n economic variables. We consider a two-step
orthogonolization on the residuals of a VECM with r cointegrating vectors. The first step ...
J Bai… - Journal of Business and Economic Statistics, 2005 - ASA
We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint
test of normality for time series observations. We show that when the data are serially
correlated, consistent estimates of three-dimensional long-run covariance matrices are ...
The non-negativity constraint on inventories imposed on the rational expectations theory of
speculative storage implies that the conditional mean and variance of commodity prices are
non-linear in lagged prices and have a kink at a threshold point. In this paper, the ...
J Bai… - Journal of Econometrics, 2008 - Elsevier
This paper studies two refinements to the method of factor forecasting. First, we consider the
method of quadratic principal components that allows the link function between the
predictors and the factors to be non-linear. Second, the factors used in the forecasting ...
S Ng - Journal of Applied Econometrics, 1995 - Wiley Online Library
Abstract An implication of optimizing theory is that demand functions are homogeneous of
degree zero in prices and nominal income. Evidence based on estimations of demand
systems has repeatedly found this restriction to be rejected by the data. However, the ...
R Garcia, A Lusardi… - Journal of Money, Credit, and Banking, 1997 - JSTOR
Most empirical studies on liquidity constraints classify a consumer as being constrained on
the basis of a single indicator such as the asset-to-income ratio. In this analysis, we model
the probability that a consumer faces liquidity constraints as a function of multiple social ...
J Bai… - Journal of Econometrics, 2006 - Elsevier
Common factors play an important role in many disciplines of social science. In economics,
the factors are the common shocks that underlie the co-movements of the large number of
economic time series. The question of interest is whether some observable economic ...
S Ng… - Journal of Econometrics, 1997 - Elsevier
This paper considers the role of normalization in least-squares estimation of cointegrating
vectors. It is shown, using an empirical example and Monte-Carlo simulations of bivariate
models, that the least-squares estimates can have very poor finite sample properties when ...
J Bai… - Journal of Econometrics, 2001 - Elsevier
The assumption of conditional symmetry is often invoked to validate adaptive estimation and
consistent estimation of ARCH/GARCH models by quasi-maximum likelihood. Imposing
conditional symmetry can increase the efficiency of bootstraps if the symmetry assumption ...
RL Lumsdaine… - Journal of Econometrics, 1999 - Elsevier
Ever since the development of the Autoregressive Conditional Heteroskedasticity (ARCH)
model (Engle, 1982), testing for the presence of ARCH has become a routine diagnostic.
One popular method of testing for ARCH is T times the R2 from a regression of the ...
J Bai, C Kao… - Journal of Econometrics, 2009 - Elsevier
This paper studies estimation of panel cointegration models with cross-sectional
dependence generated by unobserved global stochastic trends. The standard least squares
estimator is, in general, inconsistent owing to the spuriousness induced by the ...
P Perron… - Econometric Theory, 1998 - Cambridge Univ Press
Many unit root and cointegration tests require an estimate of the spectral density function at
frequency zero of some process+ Commonly used are kernel estimators based on weighted
sums of autocovariances constructed using estimated residuals from an AR~ 1! ...
J Bai… - 2005 - books.google.com
ABSTRACT This paper uses a decomposition of the data into common and idiosyncratic
components to develop procedures that test if these components satisfy the null hypothesis
of stationarity. The decomposition also allows us to construct pooled tests that satisfy the ...
S Ng… - Oxford Bulletin of Economics and Statistics, 2005 - Wiley Online Library
We consider issues related to the order of an autoregression selected using information
criteria. We study the sensitivity of the estimated order to (i) whether the effective number of
observations is held fixed when estimating models of different order,(ii) whether the ...
S Ng - Journal of Business and Economic Statistics, 2006 - ASA
This article provides tools for characterizing the extent of cross-section correlation in panel
data when we do not know a priori how many and which series are correlated. Our tests are
based on the probability integral transformation of the ordered correlations. We first split ...
E Cardia… - Review of Economic Dynamics, 2003 - Elsevier
Although intergenerational transfers of time in the form of grandparenting are substantial,
little is known about their role and importance. In this paper, we calibrate an overlapping
generations model extended to allow for both time and monetary transfers to the US ...
S Ng… - The Review of Economics and Statistics, 1996 - JSTOR
Financing constraints can arise when there are important information asymmetries in
financial markets. Using Canadian panel data, we reject a symmetric information
specification of investment behaviour in favour of an agency cost specification in which the ...
J Bai… - Econometric Theory, 2010 - Cambridge Univ Press
We consider estimation of parameters in a regression model with endogenous regressors.
The endogenous regressors along with a large number of other endogenous variables are
driven by a small number of unobservable exogenous common factors. We show that the ...
A Waldkirch, S Ng… - Journal of Human Resources, 2004 - jhr.uwpress.org
Abstract We investigate familial relationships in consumption patterns using a sample of
parents and their children from the Panel Study of Income Dynamics. We find a positive and
statistically significant parent-specific effect on children's consumption even after ...
SC Ludvigson… - 2005 - nber.org
Empirical evidence suggests that excess bond returns are forecastable by financial
indicators such as forward spreads and yield spreads, a violation of the expectations
hypothesis based on constant risk premia. But existing evidence does not tie the ...
S Ng… - Annals of Economics and Finance, 2002 - columbia.edu
In a recent paper, Engel, C.(1999) presents monte-carlo evidence to suggest that unit root
tests cannot detect a non-stationary component in the real exchange rate even when this
component accounts for almost half of its longhorizon forecast error variance. This hidden ...
E Ghysels… - Review of Economics and Statistics, 1998 - MIT Press
Many continuous-time term structure of interest rate models assume a factor structure where
the drift and volatility functions are affine functions of the state-variable process. These
models involve very specific parametric choices of factors and functional specifications of ...
A Lewbel… - Review of Economics and Statistics, 2005 - MIT Press
Relative prices are nonstationary and standard root-T inference is invalid for demand
systems. But demand systems are nonlinear functions of relative prices, and standard
methods for dealing with nonstationarity in linear models cannot be used. Demand system ...
S Ng - Economics Letters, 1995 - Elsevier
Perron (1989) finds that increasing the span of the point sampled data always increases the
power of unit root tests. We extend the analysis to analyze flow data which have a moving
average error structure. We examine five unit root tests which correct for serial correlation ...
I Komunjer… - Unpublished manuscript, 2009 - economics.ucr.edu
Abstract A DSGE model is identifiable when perturbing the parameters characterizing the
forward looking optimizing model induces a distinguishable solution to the model. This
paper studies identification of the parameters of a DSGE model using all the second ...
S Ng - Journal of Economic Dynamics and Control, 1996 - Elsevier
The theory of commodity price with speculative storage predicts that prices are a two-regime
process depending on whether or not inventories are held. The price process is nonlinear in
that it is nondifferentiable at some p∗ which separates the data into a history independent ...
SC Ludvigson… - 2009 - nber.org
This paper uses the factor augmented regression framework to analyze the relation between
bond excess returns and the macro economy. Using a panel of 131 monthly macroeconomic
time series for the sample 1964: 1-2007: 12, we estimate 8 static factors by the method of ...
J Bai… - 2003 - cass.city.ac.uk
Abstract We consider the situation when there is a large number of series, N, each with T
observations, and each series has some predictive ability for the variable of interest, y. A
methodology of growing interest is to first estimate common factors from the panel of data ...
Dynamic stochastic general equilibrium (DSGE) models are often solved and estimated
under specific assumptions as to whether the exogenous variables are difference or trend
stationary. However, even mild departures of the data generating process from these ...
In the analysis of tax reform, when equity is traded off against efficiency, the measurement of
the latter requires us to know how tax-induced price changes affect quantities supplied and
demanded. In this paper, we present various econometric procedures for estimating how ...
J Bai… - Econometric Theory, 2010 - Cambridge Univ Press
Abstract An effective way to control for cross-section correlation when conducting a panel
unit root test is to remove the common factors from the data. However, there remain many
ways to use the defactored residuals to construct a test. In this paper, we use the panel ...
J Bai… - Journal of Applied Econometrics, 2009 - Wiley Online Library
In forecasting and regression analysis, it is often necessary to select predictors from a large
feasible set. When the predictors have no natural ordering, an exhaustive evaluation of all
possible combinations of the predictors can be computationally costly. This paper ...
S Ng… - Computational Economics, 2000 - Springer
This paper extends the Competitive Storage Model by incorporating prominent features of
the production process and financial markets. This extension seems necessary since the
basic model does not successfully explain the degree of serial correlation observed in ...
J Bai… - Journal of Time Series Econometrics, 2009 - iwh-halle.de
Abstract Practitioners often have at their disposal a large number of instruments that are
weakly exogenous for the parameter of interest, but using too many instruments can induce
bias. We consider two ways of handling this problem. The first is to form principal ...
S Ng… - Econometric Reviews, 2002 - Taylor & Francis
ABSTRACT This paper considers the implications of mean shifts in a multivariate setting. It is
shown that under the additive outlier type mean shift specification, the intercept in each
equation of the vector autoregression (VAR) will be subject to multiple shifts when the ...
A Lucchetti… - The Wall Street Journal, 2007 - homepage.villanova.edu
In 2000, Standard & Poor's made a decision about an arcane corner of the mortgage market.
It said a type of mortgage that involves a" piggyback," where borrowers simultaneously take
out a second loan for the down payment, was no more likely to default than a standard ...
[CITATION] Worst Crisis Since'30s, With No End Yet in Sight
J Hilsenrath, S Ng… - Wall Street Journal, 2008
E Moench, S Ng… - … , Federal Reserve Bank of New York, 2009 - papers.ssrn.com
Abstract: This paper uses multi-level factor models to characterize within-and between-block
variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are
distinguished from genuinely common shocks, and the estimated block-level factors are ...
SN Carrick Mollenkamp, L Pleven… - Wall Street Journal, 2008 - sidoxia.com
Mr. Gorton, who teaches at Yale School of Management, is best known for his influential
academic papers, which have been cited in speeches by Federal Reserve Chairman Ben
Bernanke. But he also has a lucrative part-time gig: devising computer models used by the ...
S Ng - Journal of International Money and Finance, 2003 - Elsevier
This paper provides an empirical assessment of the importance of sticky prices in
accounting for the variations and the persistence in real exchange rates. Vector
autoregressions with five variables from two countries that always include the United ...
S Ng… - 1995 - papyrus.bib.umontreal.ca
ABSTRACT This paper considers nonparametric regressions of the form Yg (X)+ e, when E
[e\ X]* 0. We consider a two-step procedure (2SNP) which makes use of a set of instruments,
Z, and an auxiliary nonparametric regression of the form X= h (Z)+ r\. A polynomial of У on ...
E Cardia… - 2000 - papyrus.bib.umontreal.ca
This paper examines the implications of intergenerational transfers of time and money for
labor supply and capital accumulation. Although intergenerational transfers of time in the
form of grandparenting are as substantial as monetary transfers in the data, little is known ...
S Ng… - Boston College Working Papers in Economics, 2001 - zsdh.library.sh.cn
Abstract We consider issues related to the order of an autoregression selected using
information criteria. We study the sensitivity of the estimated order to i) whether the effective
number of observations is held fixed when estimating models of different order, ii) whether ...
S Ng - Journal of Business and Economic Statistics, 2008 - Taylor & Francis
This article proposes a simple estimator that is consistent for the fraction of a panel that has
an autoregressive unit root. Given such an estimate,, we can test the null hypothesis that θ=
θ 0 for any value of θ 0 ϵ (0, 1]. The test is asymptotically standard normal and is valid ...
[CITATION] mUnit Root Tests in ARMA Models with Data $ Dependent Methods for the Selection of the Truncation Lag, nJournal of the American Statistical …
S Ng… - Vol, 1995
J Bai… - Annals of Economics and Finance, 2008 - columbia.edu
Much is written about the use of factors estimated by the method of principal components
from large panels in linear regression models. In this paper, we provide an analysis for non-
linear estimation and establish the conditions under which the estimated factors can be ...
S Ng - Department of Economics, Boston College and CRDE, …, 1997 - Citeseer
Abstract Flexible functional forms of indirect utility and expenditure functions are frequently
used in approximating the behavior of utility maximizing consumers to arrive at demand
systems that can be easily estimated. A common nding in time series estimations of the ...
C Mollenkamp, S Craig, S Ng… - Crisis, 2008 - econ.psu.edu
It was a gut-wrenching weekend for Wall Street, with Lehman Brothers headed toward
possible liquidation, Merrill Lynch about to be taken over and AIG facing shareholder wrath.
WSJ's Dennis Berman and Matthew Karnitschnig look at what's ahead.
S Ng… - The Econometrics Journal, 2002 - Wiley Online Library
1 We would expect to obtain similar results for more general ARMA models. Clearly,
generalization of our results to ARMA models is worth considering in future work, though
economic forecasting exercises tend to favor simple, low order, autoregressive models, ...
C Mollenkamp… - Wall Street Journal, 2007 - mountainmentorsassociates.com
In recent years, as home prices and mortgage lending boomed, bankers found ever-more-
clever ways to repackage trillions of dollars in loans, selling them off in slivers to investors
around the world. Financiers and regulators figured all the activity would disperse risk, ...
[CITATION] Non-Stationary Aggregate Demand Systems and Heterogeneous Consumers
A Lewbel… - 1993 - mimeo, University of Michigan
S Ng… - 1995 - columbia.edu
Abstract The theory of commodity price with speculative storage predicts that prices are a
two-regime process depending on whether or not inventories are held. The price process is
nonlinear in that it is nondifferentiable at some p* which separates the data into a history ...
B Carmichael… - Applied Economics, 1992 - Taylor & Francis
The question of whether regional disparities in Canada could arise as a result of
nonconstant returns to scale and non-identical production functions is examined. This is
accomplished by estimating and comparing the decision rules for factor demands across ...
[CITATION] Merrill aims to raise billions more: firm dumps mortgage assets as crisis drags on; another big write-down
S Craig, R Smith… - Wall Street Journal, 2008
[CITATION] Sources of Business Cycles in Canada
C Dea, S Ng… - 1990 - Bank of Canada
S Pulliam… - Wall Street Journal, 2008 - mail.trinitytek.com
Today, a struggling bond insurer, ACA Financial Guaranty Corp., will ask its trading partners
for more time as it scrambles to unwind more than $60 billion of insurance contracts it sold to
financial firms but can't fully pay off, according to people familiar with the matter. The ...
N Gospodinov… - The Review of Economics and Statistics, 2010 - MIT Press
Abstract This paper provides evidence that the two leading principal components in a panel
of 23 commodity convenience yields have statistically and quantitatively important predictive
power for in ation even after controlling for unemployment gap and oil prices. The results ...
[CITATION] Check, please: Reclaiming pay from executives is tough to do
P Dvorak… - The Wall Street Journal, 2006
[CITATION] Two Big Funds At Bear Stearns Face Shutdown As Rescue Plan Falters Amid Subprime Woes, Merrill Asserts Claims
K Kelly, S Ng… - Wall Street Journal, 2007
[CITATION] pEvaluating Latent and Observed Factors in Macroeconomics and Finance, qWorking Paper: University of Michigan
J Bai… - 2004
[CITATION] Insurance deals spread pain of US defaults world-wide
M Whitehouse… - Wall Street Journal, 2008
S Ng… - manuscript, Columbia University, 2009 - firstsightmedia.co.uk
Page 1. A Factor Analysis of Housing Market Dynamics in the US and the Regions
Serena Ng1 Emanuel Moench2 1Columbia University 2Federal Reserve Bank of
New York April 2009 The views expressed here are those of ...
J Gonzalo… - 1996 - e-archivo.uc3m.es
This paper proposes a systematic framework for analyzing the dynamic effects of permanent
and transitory shocks on a system of n economic variables. We consider a two-step
orthogonolization on the residuals of a VECM with r co integrating vectors. The first step ...
E Moench… - The Econometrics Journal, 2011 - Wiley Online Library
Summary This paper studies the linkages between housing and consumption in the United
States taking into account regional variation. We estimate national and regional housing
factors from a comprehensive set of US price and quantity data available at mixed ...
[CITATION] A Fund Behind Astronomical Losses
S Ng, M Hudson… - Wall Street Journal, 2008
[CITATION] Behind Buyout Surge, A Debt Market Booms
S Ng… - Wall Street Journal, 2007
[CITATION] Accounting for Trends in the Almost Ideal Demand System
N Serena - Boston College, Department of Economics, 1997
[CITATION] oMacro factors in bond risk premiums, p manuscript
SC Ludvigson… - 2006 - August
D Cox, S Ng, A Waldkirch - Econometric Society World Congress …, 2000 - fmwww.bc.edu
Abstract Consumption is partly a social activity, yet most studies of consumer behavior treat
households in isolation. We investigate familial relationships in consumption patterns using
a sample of parents and their children from the Panel Study of Income Dynamics. We find ...
[CITATION] Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power. Boston College
S Ng… - 2000 - Department of Economics Working …
[CITATION] The Underground Economy in Canada: Preliminary Estimates
S Ng… - Mimeograph, Bank of Canada, Ottawa, 1984
[CITATION] Can anyone police the swaps
K Scannell, S Ng… - Wall Street Journal August, 2006
[CITATION] Tenuous Return for Debt
S Ng - Wall Street Journal Asia, 2007
[CITATION] New AIG Rescue Is Bank Blessing
S Ng… - The Wall Street Journal, 2008
[CITATION] Bear Stearns Bails Out Fund with Big Loan
K Kelly… - Wall Street Journal, 2007
CC Lin… - Columbia University publication, 2007 - cemmap.ac.uk
Abstract This paper proposes a data-dependent, semi-parametric method for estimating
panel data models with grouped specific parameters when group membership is not known.
We first create a set of “pseudo” threshold variables based on time series estimation of the ...
J Bai… - Unpublished manuscript, 2003 - aida.wss.yale.edu
We are interested in obtaining the h-period ahead forecast of a series yt. The information
available includes the panel of data on xit (i= 1, 2,..., N; t= 1, 2,..., T) and a smaller set of other
variables Wt. For example, Wt might be lags of yt. If N was small, we could formulate a ...
S Pulliam, S Ng… - Wall Street Journal, 2008 - econ.psu.edu
On Thursday Merrill will report $6 billion to $8 billion in new write-downs, according to a
person familiar with the matter. The latest would bring its total since October to more than
$30 billion and mean that Merrill reports a third straight quarterly net loss, the longest ...
[CITATION] How a Little Subprime Lending Had a Big Impact
C Mollenkamp… - The Wall Street Journal, 2010
[CITATION] Abacus Deal: As Bad as They Come
A Lucchetti… - Wall Street Journal, 2010
[CITATION] Bond Investors' Lament
S Ng - Wall Street Journal, 2007
[CITATION] forthcoming, The empirical risk-return relation: A factor analysis approach
S Ludvigson… - Journal of Financial Economics
[CITATION] Unit Root Tests in ARMA Models with Data Development Methods for Selection of the Truncated Lag
P Perron… - manuscript-Univerite de Montreal
[CITATION] Looking for evidence of speculative stockholding in commodity markets
N Serena - Journal of Economic Dynamics & Control, 1995
[CITATION] Crisis on Wall Street as Lehman totters, Merrill is sold, AIG seeks to raise cash; Fed will expand its lending arsenal in a bid to calm markets; Moves cap a …
C Mollenkamp, S Craig, S Ng… - Wall Street Journal, September, 2008
[CITATION] US Fed's Rate Cut Could Reignite Risky Deals
H Sender… - Wall Street Journal Asia, 2007
[CITATION] S&P Ramps Up Mortgage Downgrades
A Lucchetti… - Wall Street Journal, 2008
S Ng… - 1998 - columbia.edu
Abstract Standard optimzing models of consumption postulate that consumption is a function
of wealth and implicitly assume that wealth is comprised of assets whose market price
coincides with the fundamental price, defined as the expected present value of future ...
[CITATION] 0Demand Systems with Nonstationary Pricesn, Forthcoming
A Lewbel… - Review of Economics and Statistics, 2004
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