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

Lumsdaine, Robin L.; Ng, Serena - In: Journal of econometrics 93 (1999) 2, pp. 257-279

Persistent link: https://www.econbiz.de/10001406657

Estimation and inference in nearly unbalanced nearly cointegrated systems

Ng, Serena - In: Journal of econometrics 79 (1997) 1, pp. 53-81

Persistent link: https://www.econbiz.de/10001220088

A consistent test for conditional symmetry in time series models

Bai, Jushan; Ng, Serena - In: Journal of econometrics 103 (2001) 1/2, pp. 225-258

Persistent link: https://www.econbiz.de/10001585362

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

Michaelides, Alexander G.; Ng, Serena - In: Journal of econometrics 96 (2000) 2, pp. 231-266

Persistent link: https://www.econbiz.de/10001468767

Principal components estimation and identification of static factors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 176 (2013) 1, pp. 18-29

Persistent link: https://www.econbiz.de/10009764410

Are more data always better for factor analysis?

Boivin, Jean; Ng, Serena - In: Journal of econometrics 132 (2006) 1, pp. 169-194

Persistent link: https://www.econbiz.de/10003320258

Forecasting economic time series using targeted predictors

Bai, Jushan; Ng, Serena - In: Journal of econometrics 146 (2008) 2, pp. 304-317

Persistent link: https://www.econbiz.de/10003782981

Approximate factor models with weaker loadings

Bai, Jushan; Ng, Serena - In: Journal of econometrics 235 (2023) 2, pp. 1893-1916

Persistent link: https://www.econbiz.de/10014471435

Chapter 14. Variable Selection in Predictive Regressions

Ng, Serena - 2013

This chapter reviews methods for selecting empirically relevant predictors from a set of N potentially relevant ones for the purpose of forecasting a scalar time series. First, criterion-based procedures in the conventional case when N is small relative to the sample size, T , are reviewed. Then...

Persistent link: https://www.econbiz.de/10014025234