Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Author "Ng, Serena"
Now showing items 1-16 of 16
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An Autoregressive Spectral Density Estimator at Frequency Zero for Nonstationarity Tests
Perron, Pierre; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)Many unit root and cointegration tests require an estimate of the spectral density function at frequency zero at some process. Kernel estimators based on weighted sums of autocovariances constructed using estimated residuals from an AR(1) regression ... -
Estimation and Inference in Nearly Unbalanced, Nearly Cointegrated Systems
Ng, Serena; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1995) -
The Exact Error in Estimating the Special Density at the Origin
Ng, Serena; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1995) -
Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation
Garcia, René; Lusardi, Annamaria; Ng, Serena (Université de Montréal. Département de sciences économiques., 1995) -
Explaining the Persistence of Commodity Prices
Ng, Serena; Ruge-Murcia, Francisco (Université de Montréal. Département de sciences économiques., 1997)This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. A major limitation of this basic model is that it cannot successfully explain the degree of serial correlation observed ... -
How Important Are Intergenerational Transfers of Time? a Macroeconomic Analysis
Cardia, Emanuela; Ng, Serena (Université de Montréal. Département de sciences économiques., 2000)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 ... -
Looking for Evidence of Speculative Stockholding in Commodity Markets
Ng, Serena (Université de Montréal. Département de sciences économiques., 1995) -
Nonparametric-two-Step Estimation of Unknown Regression Functions when the Regressors and the Regression Error Are not Independent
Ng, Serena; Pinkse, Joris (Université de Montréal. Département de sciences économiques., 1995) -
Parametric and Nonparametric Approaches to Price and Tax Reform
Deaton, Angus; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)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 ... -
The Risky Spread, Investment, and Monetary Policy Transmission: Evidence on the Role of Asymmetric Information
Ng, Serena; Schaller, Huntley (Université de Montréal. Département de sciences économiques., 1995) -
A Semi-Parametric Factor Model for Interest Rates
Ghysels, Eric; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows ... -
A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
Gonzalo, Jesus; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of n economic variables. -
A Systematic Framework for Analyzing the Dynamic Effects of Permanent and Transitory Shocks
Gonzalo, Jesus; Ng, Serena (Université de Montréal. Département de sciences économiques., 1996)This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of \"n\" economic variables. -
Testing for Homogeneity in Demand Systems when the Regressors Are Non-Stationary
Ng, Serena (Université de Montréal. Département de sciences économiques., 1995) -
Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag
Ng, Serena; Perron, Pierre (Université de Montréal. Département de sciences économiques., 1994) -
Useful Modifications to Some Unit Root Tests with Dependent Errors and Their Local Asymptotic Properties
Perron, Pierre; Ng, Serena (Université de Montréal. Département de sciences économiques., 1994)