My Citations
Scholar Home
  Advanced Scholar Search



Scholar      Create email alertResults 1 - 100 of about 146. (0.40 sec) 

Lag length selection and the construction of unit root tests with good size and power

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 1612 - Related articles - BL Direct - All 30 versions

Determining the number of factors in approximate factor models

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 1172 - Related articles - BL Direct - All 30 versions

Unit root tests in ARMA models with data-dependent methods for the selection of the truncation lag

[PDF] from columbia.edu
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 ...
Cited by 1164 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 17 versions

A PANIC attack on unit roots and cointegration

[PDF] from columbia.edu
Full text - MIT Libraries
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. ...
Cited by 634 - Related articles - BL Direct - All 36 versions

Useful modifications to some unit root tests with dependent errors and their local asymptotic properties

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 373 - Related articles - Library Search - BL Direct - All 12 versions

Are more data always better for factor analysis?

[PDF] from psu.edu
Full text - MIT Libraries
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 ...
Cited by 300 - Related articles - Library Search - BL Direct - All 24 versions

Macro factors in bond risk premia

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 187 - Related articles - All 23 versions

[PDF] Determining the number of primitive shocks in factor models

[PDF] from amstat.org
Full text - MIT Libraries
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 ...
Cited by 162 - Related articles - View as HTML - BL Direct - All 24 versions

Understanding and comparing factor-based forecasts

[PDF] from uni-muenchen.de
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 ...
Cited by 147 - Related articles - Library Search - All 18 versions

The empirical risk–return relation: A factor analysis approach

[PDF] from nyu.edu
Full text - MIT Libraries
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 ...
Cited by 143 - Related articles - Library Search - BL Direct - All 14 versions

Confidence Intervals for Diffusion Index Forecasts and Inference for Factor‐Augmented Regressions

[PDF] from usc.edu
Full text - MIT Libraries
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 ...
Cited by 139 - Related articles - BL Direct - All 23 versions

A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

[PDF] from uc3m.es
Full text - MIT Libraries
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 ...
Cited by 114 - Related articles - All 18 versions

[PDF] Tests for skewness, kurtosis, and normality for time series data

[PDF] from amstat.org
Full text - MIT Libraries
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 ...
Cited by 97 - Related articles - View as HTML - All 19 versions

Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators

[PDF] from lse.ac.uk
Full text - MIT Libraries
A Michaelides… - Journal of econometrics, 2000 - Elsevier
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 ...
Cited by 90 - Related articles - Library Search - All 22 versions

Forecasting economic time series using targeted predictors

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 88 - Related articles - All 13 versions

Testing for homogeneity in demand systems when the regressors are nonstationary

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 89 - Related articles - Library Search - BL Direct - All 12 versions

Excess sensitivity and asymmetries in consumption: an empirical investigation

[PDF] from umontreal.ca
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 ...
Cited by 83 - Related articles - Get it from MIT Libraries - Library Search - BL Direct - All 13 versions

Evaluating latent and observed factors in macroeconomics and finance

[PDF] from yale.edu
Full text - MIT Libraries
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 ...
Cited by 76 - Related articles - All 18 versions

Estimation and inference in nearly unbalanced nearly cointegrated systems

[PDF] from free.fr
Full text - MIT Libraries
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 ...
Cited by 72 - Related articles - Library Search - All 15 versions

A consistent test for conditional symmetry in time series models

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 60 - Related articles - All 13 versions

Testing for ARCH in the presence of a possibly misspecified conditional mean

[PDF] from bc.edu
Full text - MIT Libraries
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 ...
Cited by 55 - Related articles - All 17 versions

Panel cointegration with global stochastic trends

[PDF] from arxiv.org
Full text - MIT Libraries
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 ...
Cited by 54 - Related articles - Library Search - All 25 versions

An autoregressive spectral density estimator at frequency zero for nonstationarity tests

[PDF] from umontreal.ca
Full text - MIT Libraries
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! ...
Cited by 53 - Related articles - Library Search - BL Direct - All 15 versions

[BOOK] A New Look at Panel Testing of Stationarity and the PPP Hypothesis

[PDF] from bc.edu
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 ...
Cited by 51 - Related articles - Get it from MIT Libraries - All 13 versions

A note on the selection of time series models

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 46 - Related articles - All 14 versions

[PDF] Testing cross-section correlation in panel data using spacings

[PDF] from amstat.org
Full text - MIT Libraries
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 ...
Cited by 38 - Related articles - View as HTML - BL Direct - All 13 versions

Intergenerational time transfers and childcare

[PDF] from psu.edu
Full text - MIT Libraries
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 ...
Cited by 38 - Related articles - BL Direct - All 11 versions

The risky spread, investment, and monetary policy transmission: evidence on the role of asymmetric information

[PDF] from columbia.edu
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 ...
Cited by 36 - Related articles - Get it from MIT Libraries - Library Search - All 12 versions

Instrumental variable estimation in a data rich environment

[PDF] from ucr.edu
Full text - MIT Libraries
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 ...
Cited by 37 - Related articles - All 49 versions

Intergenerational linkages in consumption behavior

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 37 - Related articles - BL Direct - All 9 versions

Macro factors in bond risk premia

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 ...
Cited by 34 - Related articles - Library Search - BL Direct - All 6 versions

[PDF] PPP may not hold afterall: a further investigation

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 34 - Related articles - View as HTML - All 12 versions

A semiparametric factor model of interest rates and tests of the affine term structure

[PDF] from cirano.qc.ca
Full text - MIT Libraries
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 ...
Cited by 33 - Related articles - All 32 versions

Demand systems with nonstationary prices

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 31 - Related articles - All 23 versions

Testing for unit roots in flow data sampled at different frequencies

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 30 - Related articles - All 8 versions

[PDF] Dynamic identification of DSGE models

[PDF] from ucr.edu
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 ...
Cited by 31 - Related articles - View as HTML - All 21 versions

Looking for evidence of speculative stockholding in commodity markets

Full text - MIT Libraries
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 ...
Cited by 26 - Related articles - All 5 versions

A factor analysis of bond risk premia

[PDF] from bcrp.gob.pe
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 ...
Cited by 28 - Related articles - Library Search - All 11 versions

[PDF] Confidence intervals for diffusion index forecasts with a large number of predictors

[PDF] from city.ac.uk
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 ...
Cited by 25 - Related articles - View as HTML - All 13 versions

Estimation of DSGE models when the data are persistent

[PDF] from nyfedeconomists.org
Full text - MIT Libraries
Y Gorodnichenko… - Journal of Monetary Economics, 2010 - Elsevier
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 ...
Cited by 24 - Related articles - Library Search - All 28 versions

Parametric and non-parametric approaches to price and tax reform

[PDF] from umontreal.ca
A Deaton… - 1996 - nber.org
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 ...
Cited by 23 - Related articles - Library Search - BL Direct - All 24 versions

Panel unit root tests with cross-section dependence: A further investigation

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 21 - Related articles - All 10 versions

Boosting diffusion indices

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 20 - Related articles - All 9 versions

Explaining the persistence of commodity prices

[PDF] from umontreal.ca
Full text - MIT Libraries
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 ...
Cited by 22 - Related articles - Library Search - BL Direct - All 21 versions

[PDF] Selecting instrumental variables in a data rich environment

[PDF] from iwh-halle.de
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 ...
Cited by 18 - Related articles - View as HTML - Get it from MIT Libraries - All 13 versions

Analysis of vector autoregressions in the presence of shifts in mean

[PDF] from bc.edu
Full text - MIT Libraries
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 ...
Cited by 17 - Related articles - BL Direct - All 15 versions

[PDF] How Rating Firms' Calls Fueled Subprime Mess

[PDF] from villanova.edu
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 ...
Cited by 17 - Related articles - View as HTML - Get it from MIT Libraries

[CITATION] Worst Crisis Since'30s, With No End Yet in Sight

J Hilsenrath, S Ng… - Wall Street Journal, 2008
Cited by 16 - Related articles - Get it from MIT Libraries - All 2 versions

Dynamic hierarchical factor models

[PDF] from globe-expert.eu
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 ...
Cited by 16 - Related articles - All 17 versions

[PDF] Behind AIG's fall, risk models failed to pass real-world test

[PDF] from sidoxia.com
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 ...
Cited by 13 - Related articles - View as HTML - Get it from MIT Libraries - All 2 versions

Can sticky prices account for the variations and persistence in real exchange rates?

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 12 - Related articles - All 16 versions

[CITATION] Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent.

[PDF] from umontreal.ca
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 ...
Cited by 11 - Related articles - All 7 versions

How Important Are Intergenerational Transfers of Time? a Macroeconomic Analysis.

[PDF] from umontreal.ca
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 ...
Cited by 10 - Related articles - All 15 versions

[PDF] A note on the selection of time series models

[PDF] from library.sh.cn
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 ...
Cited by 10 - Related articles - View as HTML - All 22 versions

A simple test for nonstationarity in mixed panels

[PDF] from amstat.org
Full text - MIT Libraries
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 ...
Cited by 9 - Related articles - BL Direct - All 15 versions

[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
Cited by 9 - Related articles

[PDF] Extremum estimation when the predictors are estimated from large panels

[PDF] from columbia.edu
Full text - MIT Libraries
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 ...
Cited by 9 - Related articles - View as HTML - All 6 versions

[PDF] Accounting for Trends in the Almost Ideal Demand System

[PDF] from psu.edu
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 ...
Cited by 8 - Related articles - View as HTML - All 10 versions

[DOC] Crisis on Wall Street as Lehman Totters, Merrill Is Sold, AIG Seeks to Raise Cash

[DOC] from psu.edu
Full text - MIT Libraries
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.
Cited by 7 - Related articles - View as HTML - All 4 versions

Forecasting autoregressive time series in the presence of deterministic components

[PDF] from columbia.edu
Full text - MIT Libraries
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, ...
Cited by 7 - Related articles - All 12 versions

[PDF] Wall Street Wizardry Amplified Credit Crisis

[PDF] from mountainmentorsassociates.com
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, ...
Cited by 6 - Related articles - View as HTML - Get it from MIT Libraries - All 4 versions

[CITATION] Non-Stationary Aggregate Demand Systems and Heterogeneous Consumers

A Lewbel… - 1993 - mimeo, University of Michigan
Cited by 6 - Related articles

[BOOK] Looking for evidence of speculative stockholding in commodity markets

[PDF] from columbia.edu
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 ...
Cited by 6 - Related articles - Get it from MIT Libraries - Library Search - All 9 versions

Adjustment costs and factor demands in Canadian manufacturing industries

Full text - MIT Libraries
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 ...
Cited by 5 - Related articles - Library Search - All 8 versions

[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
Cited by 5 - Related articles - Get it from MIT Libraries

[CITATION] Sources of Business Cycles in Canada

C Dea, S Ng… - 1990 - Bank of Canada
Cited by 5 - Related articles - Get it from MIT Libraries - Library Search

[PDF] Default Fears Unnerve Markets

[PDF] from trinitytek.com
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 ...
Cited by 4 - Related articles - View as HTML - Get it from MIT Libraries - All 5 versions

Commodity prices, convenience yields and inflation

[PDF] from umontreal.ca
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 ...
Cited by 4 - Related articles - Get it from MIT Libraries - All 4 versions

[CITATION] Check, please: Reclaiming pay from executives is tough to do

P Dvorak… - The Wall Street Journal, 2006
Cited by 4 - Related articles - Get it from MIT Libraries

[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
Cited by 4 - Related articles - Get it from MIT Libraries

[CITATION] pEvaluating Latent and Observed Factors in Macroeconomics and Finance, qWorking Paper: University of Michigan

J Bai… - 2004
Cited by 4 - Related articles

[CITATION] Insurance deals spread pain of US defaults world-wide

M Whitehouse… - Wall Street Journal, 2008
Cited by 4 - Related articles - Get it from MIT Libraries

[PDF] A factor analysis of housing market dynamics in the US and the regions

[PDF] from firstsightmedia.co.uk
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 ...
Cited by 4 - Related articles - View as HTML - All 2 versions

A systematic framework for analyzing the dynamic effects of permanent and transitory shocks

[PDF] from uc3m.es
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 ...
Cited by 11 - Related articles - All 12 versions

A hierarchical factor analysis of US housing market dynamics

Full text - MIT Libraries
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 ...
Cited by 5 - Related articles - All 6 versions

[CITATION] A Fund Behind Astronomical Losses

S Ng, M Hudson… - Wall Street Journal, 2008
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] Behind Buyout Surge, A Debt Market Booms

S Ng… - Wall Street Journal, 2007
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] Accounting for Trends in the Almost Ideal Demand System

N Serena - Boston College, Department of Economics, 1997
Cited by 3 - Related articles

[CITATION] oMacro factors in bond risk premiums, p manuscript

SC Ludvigson… - 2006 - August
Cited by 3 - Related articles

[PDF] Intergenerational Linkages in Consumption Behavior

[PDF] from bc.edu
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 ...
Cited by 3 - Related articles - View as HTML - All 14 versions

[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 …
Cited by 3 - Related articles

[CITATION] The Underground Economy in Canada: Preliminary Estimates

S Ng… - Mimeograph, Bank of Canada, Ottawa, 1984
Cited by 3 - Related articles

[CITATION] Can anyone police the swaps

K Scannell, S Ng… - Wall Street Journal August, 2006
Cited by 3 - Related articles

[CITATION] Tenuous Return for Debt

S Ng - Wall Street Journal Asia, 2007
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] New AIG Rescue Is Bank Blessing

S Ng… - The Wall Street Journal, 2008
Cited by 3 - Related articles - Get it from MIT Libraries

[CITATION] Bear Stearns Bails Out Fund with Big Loan

K Kelly… - Wall Street Journal, 2007
Cited by 3 - Related articles - Get it from MIT Libraries

[PDF] Estimation of panel data models with parameter heterogeneity when group membership is unknown

[PDF] from cemmap.ac.uk
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 ...
Cited by 3 - Related articles - View as HTML - All 15 versions

[PDF] Confidence intervals for factor forecasts with many predictors

[PDF] from yale.edu
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 ...
Cited by 3 - Related articles - View as HTML - All 7 versions

[DOC] Merrill Upped Ante as Boom in Mortgage Bonds Fizzled

[DOC] from psu.edu
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 ...
Cited by 2 - Related articles - View as HTML - Get it from MIT Libraries

[CITATION] How a Little Subprime Lending Had a Big Impact

C Mollenkamp… - The Wall Street Journal, 2010
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Abacus Deal: As Bad as They Come

A Lucchetti… - Wall Street Journal, 2010
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Bond Investors' Lament

S Ng - Wall Street Journal, 2007
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] forthcoming, The empirical risk-return relation: A factor analysis approach

S Ludvigson… - Journal of Financial Economics
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] Unit Root Tests in ARMA Models with Data Development Methods for Selection of the Truncated Lag

P Perron… - manuscript-Univerite de Montreal
Cited by 2 - Related articles

[CITATION] Looking for evidence of speculative stockholding in commodity markets

Full text - MIT Libraries
N Serena - Journal of Economic Dynamics & Control, 1995
Cited by 2 - Related articles

[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
Cited by 2 - Related articles

[CITATION] US Fed's Rate Cut Could Reignite Risky Deals

H Sender… - Wall Street Journal Asia, 2007
Cited by 2 - Related articles - Get it from MIT Libraries

[CITATION] S&P Ramps Up Mortgage Downgrades

A Lucchetti… - Wall Street Journal, 2008
Cited by 2 - Related articles - Get it from MIT Libraries

[PDF] Do housing bubbles affect consumption

[PDF] from columbia.edu
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 ...
Cited by 2 - Related articles - View as HTML

[CITATION] 0Demand Systems with Nonstationary Pricesn, Forthcoming

A Lewbel… - Review of Economics and Statistics, 2004
Cited by 2 - Related articles - Get it from MIT Libraries

 Create email alert



1

2

Next


 

About Google Scholar - All About Google - My Citations

©2012 Google