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A simple test for nonstationarity in mixed panels

Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 1, pp. 113-127

Persistent link: https://www.econbiz.de/10003625272

Testing cross-section correlation in panel date using spacings

Ng, Serena - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 1, pp. 12-23

Persistent link: https://www.econbiz.de/10003279765

Macro factors in bond risk premia

Ludvigson, Sydney C.; Ng, Serena - 2005

Persistent link: https://www.econbiz.de/10003181859

Dynamic hierarchical factor models

Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009

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 easy to interpret. The framework...

Persistent link: https://www.econbiz.de/10003948200