NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by James H. Stock

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Working Papers

May 2012Disentangling the Channels of the 2007-2009 Recession
with Mark W. Watson: w18094

Published: Disentangling the Channels of the 2007-2009 Recession (with James Stock), Brookings Papers on Economic Activity, Spring 2012, 81-135.

January 2011Forecasts in a Slightly Misspecified Finite Order VAR
with Ulrich K. Müller: w16714
November 2010Estimating Turning Points Using Large Data Sets
with Mark W. Watson: w16532

Estimating Turning Points Using Large Data Sets (with James H. Stock), Journal of Econometrics, forthcoming. citation courtesy of

October 2010Modeling Inflation After the Crisis
with Mark W. Watson: w16488

Published: James H. Stock & Mark W. Watson, 2010. "Modeling inflation after the crisis," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 173-220. citation courtesy of

September 2008Phillips Curve Inflation Forecasts
with Mark W. Watson: w14322

Published: James H. Stock & Mark W. Watson, 2008. "Phillips curve inflation forecasts," Conference Series ; [Proceedings], Federal Reserve Bank of Boston, vol. 53. citation courtesy of

June 2006Why Has U.S. Inflation Become Harder to Forecast?
with Mark W. Watson: w12324

Published: Stock, James H. and Mark W. Watson. "Why Has U.S. Inflation Become Harder to Forecast?" Journal of Money, Credit and Banking 39, s1 (2007): 13 - 33. citation courtesy of

Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
with Mark W. Watson: t0323

Published: Stock, James H. and Mark W. Watson. "Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression." Econometrica 76, 1 (2008): 155-174.

August 2005Inference with Weak Instruments
with Donald W.K. Andrews: t0313
July 2005Implications of Dynamic Factor Models for VAR Analysis
with Mark W. Watson: w11467
August 2004Optimal Invariant Similar Tests for Instrumental Variables Regression
with Donald W.K. Andrews, Marcelo Moreira: t0299

Published: Andrews, Donald W. K., Marcelo J. Moreira and James H. Stock. "Optimal Two-Sided Invariant Similar Tests For Instrumental Variables Regression," Econometrica, 2006, v74(3,May), 715-752.

July 2003Understanding Changes in International Business Cycle Dynamics
with Mark W. Watson: w9859

Published: James H. Stock & Mark W. Watson, 2005. "Understanding Changes In International Business Cycle Dynamics," Journal of the European Economic Association, MIT Press, vol. 3(5), pages 968-1006, 09. citation courtesy of

November 2002Testing for Weak Instruments in Linear IV Regression
with Motohiro Yogo: t0284
August 2002Has the Business Cycle Changed and Why?
with Mark W. Watson: w9127

Published: Has the Business Cycle Changed and Why?, James H. Stock, Mark W. Watson. in NBER Macroeconomics Annual 2002, Volume 17, Gertler and Rogoff. 2003

June 2001Prices, Wages and the U.S. NAIRU in the 1990s
with Douglas Staiger, Mark W. Watson: w8320

Published: Krueger, Alan B. and Robert Solow (eds.) The Roaring ‘90s: Can Full Employment Be Sustained. New York: Russell Sage and Century Fund, 2001.

April 2001Searching for Prosperity
with Michael Kremer, Alexei Onatski: w8250

Published: Kremer, Michael & Onatski, Alexei & Stock, James, 2001. "Searching for prosperity," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 55(1), pages 275-303, December. citation courtesy of

March 2001Empirical Bayes Forecasts of One Time Series Using Many Predictors
with Thomas Knox, Mark W. Watson: t0269
Forecasting Output and Inflation: The Role of Asset Prices
with Mark W. Watson: w8180

Published:

January 2000Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
with Alexei Onatski: w7490

Published:

March 1999Forecasting Inflation
with Mark W. Watson: w7023

Published: Stock, James and Mark W. Watson. "Forecasting Inflation," Journal of Monetary Economics, 1999, v44(2,Oct), 293-335. citation courtesy of

August 1998Diffusion Indexes
with Mark W. Watson: w6702

Published: Stock, James H. and Mark W. Watson. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business and Economic Statistics, 2002, v20(2,Apr), 147-162.

June 1998A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
with Mark W. Watson: w6607

Published: Published as "Evidence on Structural Instability in Macroeconomic Time Series Relations", JBES, Vol. 14, no. 1 (January 1996): 11-30.

April 1998Business Cycle Fluctuations in U.S. Macroeconomic Time Series
with Mark W. Watson: w6528

Published:

  • Published as "Evidence on Structural Instability in Macroeconomic Time Series Relations", JBES, Vol. 14, no. 1 (January 1996): 11-30.
  • Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64 Elsevier.

August 1996Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model
with Mark W. Watson: t0201
July 1996Asymptotics for GMM Estimators with Weak Instruments
with Jonathan Wright: t0198
March 1996How Precise are Estimates of the Natural Rate of Unemployment?
with Douglas Staiger, Mark W. Watson: w5477

Published:

July 1995Why are Retirement Rates So High at Age 65?
with Robin L. Lumsdaine, David A. Wise: w5190

Published:

October 1994Measuring Money Growth When Financial Markets Are Changing
with Martin Feldstein: w4888

Published: Journal of Monetary Economics, Volume 37, Issue 1, February 1996, Pages 3-27 citation courtesy of

September 1994Evidence on Structural Instability in Macroeconomic Time Series Relations
with Mark W. Watson: t0164

Published: Journal of Business and Economic Statistics (1996)

January 1994Instrumental Variables Regression with Weak Instruments
with Douglas Staiger: t0151

Published: Econometrica, Vol. 65, no. 3 (May 1997): 557-586.

Retirement Incentives: The Interaction between Employer-Provided Pensions, Social Security, and Retiree Health Benefits
with Robin L. Lumsdaine, David A. Wise: w4613

Published:

March 1993The Use of Monetary Aggregate to Target Nominal GDP
with Martin Feldstein: w4304

Published:

December 1992Efficient Tests for an Autoregressive Unit Root
with Graham Elliott, Thomas J. Rothenberg: t0130

Published: Elliott, Graham, Thomas J. Rothenberg and James H. Stock. "Efficient Tests For An Autoregressive Unit Root," Econometrica, 1996, v64(4,Jul), 813-836.

October 1992Pension Plan Provisions and Retirement: Men & Women, Medicare, and Models
with Robin L. Lumsdaine, David A. Wise: w4201

Published:

  • Robin L. Lumsdaine & James H. Stock & David A. Wise, 1994. "Pension Plan Provisions and Retirement: Men and Women, Medicare, and Models," NBER Chapters, in: Studies in the Economics of Aging, pages 183-222 National Bureau of Economic Research, Inc.
  • Studies in the Economics of Aging, David A. Wise, ed., University of Chicago Press 1994, P. 183

June 1992Deciding Between I(1) and I(0)
t0121

Published: Journal of Econometrics, vol. 63 (1994) pp 105-131.

Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
with Graham Elliott: t0122

Published: Economic Theory, vol 10, (1994) pp 672-700.

March 1992A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience
with Mark W. Watson: w4014

Published:

May 1991Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series
t0105

Published: Journal of Monetary Economics, 28 (1991) no. 3, pp. 435-450

December 1990Three Models of Retirement: Computational Complexity Versus Predictive Validity
with Robin L. Lumsdaine, David A. Wise: w3558

Published:

November 1990Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
with Anindya Banerjee, Robin L. Lumsdaine: w3510

Published: Journal of Business and Economic Statistics Volume 10, No. 3, pp. 271-287 July 1992 citation courtesy of

June 1990Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
with Mark W. Watson: w3376
May 1990Efficient Windows and Labor Force Reduction
with Robin L. Lumsdaine, David A. Wise: w3369

Published: Journal of Public Economics, Vol. 43, pp. 131-159, 1990. citation courtesy of

April 1990New Indexes of Coincident and Leading Economic Indicators
with Mark W. Watson: r1380

Published: NBER Macroeconomics Annual 1989, edited by Olivier Jean Blanchard and Stanley Fischer, pp. 351-394. Cambridge, MA: MIT Press, 1989.

Drawing Inferences From Statistics Based on Multi-Year Asset Returns
with Matthew Richardson: w3335

Published: Journal of Financial Economics, 25, pp. 323-348 (1989)

December 1989A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
with Mark W. Watson: t0083

Published: Econometrica, vol 61, no 4, (July 1993), p. 783-820

November 1988A Probability Model of The Coincident Economic Indicators
with Mark W. Watson: w2772

Published: G. Moore and K. Lahiri, editors. The Leading Economic Indicators: New Approaches and Forecasting Records. Cambridge University Press, 1990.

September 1988Integrated Regressors and Tests of the Permanent Income Hypothesis
with Kenneth D. West: w2359

Published: Stock, James H. and Kenneth D. West. "Integrated Regressors and Tests of the Permanent-Income Hypothesis." Journal of Monetary Economics, Vol. 21, No. 1, pp. 85-96, (January 1988) citation courtesy of

August 1988Pensions, The Option Value of Work, and Retirement
with David A. Wise: w2686

Published: Econometrica, Vol. 58, No. 5, pp.1151-1180, September 1990. citation courtesy of

July 1988The Pension Inducement to Retire: An Option Value Analysis
with David A. Wise: w2660

Published:

November 1987Growing in Debt: The 'Farm Crisis' and Public Policy
with Charles W. Calomiris, R. Glenn Hubbard: w2085

Published: Calomiris, Charles W., R. Glenn Hubbard and James H. Stock. "The Farm Debt Crisis and Public Policy," Brookings Papers on Economic Activity, Vol. 2, 1986, pp. 441-479.

April 1987Interpreting Evidence on Money-Income Causality
with Mark W. Watson: w2228

Published: Journal of Econometrics, Vol. 40, No. 1, pp. 161-182, January 1989.

Stochastic Trends and Economic Fluctuations
with Robert G. King, Charles I. Plosser, Mark W. Watson: w2229

Published: The American Economic Review, Vol. 81 No. 4, pp. 819-840, (September 1991). citation courtesy of

April 1983A Relationship Between Regression Tests and Volatility Tests of Market ncy
with Jeffrey A. Frankel: w1105

Published: Frankel, Jeffrey A. and James H. Stock. "Regression Tests vs. Volatility Tests Efficiency of Foreign Exchange Markets," Journal of International Money and Finance, Vol. 6, 1987, pp. 49-56.

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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