NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Mark W. Watson

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

Working Papers

July 2014Presidents and the U.S. Economy: An Econometric Exploration
with Alan S. Blinder: w20324
March 2013Measuring Uncertainty about Long-Run Prediction
with Ulrich Mueller: w18870
May 2012Disentangling the Channels of the 2007-2009 Recession
with James H. Stock: w18094

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

November 2010Estimating Turning Points Using Large Data Sets
with James H. Stock: 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 James H. Stock: 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

July 2010Financial Conditions Indexes: A Fresh Look after the Financial Crisis
with Jan Hatzius, Peter Hooper, Frederic S. Mishkin, Kermit L. Schoenholtz: w16150

Published: U.S. Monetary Policy Forum: “Financial Conditions Indexes: A Fresh Look After the Financial Crisis,” (with Jan Hatzius, Peter Hooper, Frederic Mishkin, Kermit L. Schoenholtz and Mark W. Watson) U.S. Monetary Policy Forum (Chicago: Chicago Booth Initiative on Global Markets, 2010) pp. 3-59.

August 2009Low-Frequency Robust Cointegration Testing
with Ulrich Müller: w15292

Published: Müller, Ulrich K. & Watson, Mark W., 2013. "Low-frequency robust cointegration testing," Journal of Econometrics, Elsevier, vol. 174(2), pages 66-81. citation courtesy of

October 2008Sectoral vs. Aggregate Shocks: A Structural Factor Analysis of Industrial Production
with Andrew T. Foerster, Pierre-Daniel G. Sarte: w14389

Published: Sectoral vs. Aggregregate Shocks: A Structural Factor Analysis of Industrial Production (with Andrew Foerster and Pierre-Danieal Sarte) Journal of Political Economy, Vol. 119, No. 1 (February 2011), pp 1-38

September 2008Phillips Curve Inflation Forecasts
with James H. Stock: 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

November 2007Relative Goods' Prices, Pure Inflation, and the Phillips Correlation
with Ricardo Reis: w13615

Published: Ricardo Reis & Mark W. Watson, 2010. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 128-57, July. citation courtesy of

November 2006Testing Models of Low-Frequency Variability
with Ulrich Mueller: w12671

Published: Müller, Ulrich K. and Mark W. Watson. "Testing Models of Low-Frequency Variability." Econometrica 76, 5 (2008): 979-1016. citation courtesy of

June 2006Why Has U.S. Inflation Become Harder to Forecast?
with James H. Stock: 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 James H. Stock: 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.

July 2005Implications of Dynamic Factor Models for VAR Analysis
with James H. Stock: w11467
July 2003Understanding Changes in International Business Cycle Dynamics
with James H. Stock: 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

August 2002Has the Business Cycle Changed and Why?
with James H. Stock: 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, James H. Stock: 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.

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

Published:

March 1999Forecasting Inflation
with James H. Stock: 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 James H. Stock: 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 James H. Stock: 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 James H. Stock: 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 James H. Stock: t0201
March 1996How Precise are Estimates of the Natural Rate of Unemployment?
with Douglas Staiger, James H. Stock: w5477

Published:

December 1994Testing for Cointegration When Some of the Contributing Vectors are Known
with Michael T. K. Horvath: t0171
September 1994Evidence on Structural Instability in Macroeconomic Time Series Relations
with James H. Stock: t0164

Published: Journal of Business and Economic Statistics (1996)

Estimating Deterministic Trends in the Presence of Serially Correlated Errors
with Eugene Canjels: t0165

Published: Canjels, Eugene and Mark W. Watson. "Estimating Deterministic Trends In The Presence Of Serially Correlated Errors," Review of Economics and Statistics, 1997, v79(2,May), 184-200.

September 1992Testing Long Run Neutrality
with Robert King: w4156

Published: Economic Quarterly, Federal Reserve Bank of Richmond, Summer 1997, vol. 83, no.3, p. 69-101. citation courtesy of

March 1992Business Cycle Durations and Postwar Stabilization of the U.S. Economy
w4005

Published: American Economic Review, March 1994 citation courtesy of

A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience
with James H. Stock: w4014

Published:

May 1991Measures of Fit for Calibrated Models
t0102

Published: Journal of Political Economy, vol. 101, no. 6, (December 1993) p. 1011-1041

June 1990Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
with James H. Stock: w3376
April 1990New Indexes of Coincident and Leading Economic Indicators
with James H. Stock: r1380

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

December 1989A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
with James H. Stock: t0083

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

November 1988A Probability Model of The Coincident Economic Indicators
with James H. Stock: w2772

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

May 1988Sources of Business Cycle Fluctuations
with Matthew D. Shapiro: w2589

Published:

December 1987Are Business Cycles All Alike?
with Olivier J. Blanchard: w1392

Published:

April 1987Interpreting Evidence on Money-Income Causality
with James H. Stock: 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, James H. Stock: w2229

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

May 1983Seasonal Adjustment with Measurement Error Present
with Jerry A. Hausman: w1133

Published: Hausman, Jerry A. and Mark W. Watson. "Errors in Variables and Seasonal Adjustment Procedures," Journal of the American Statistical Association, Vol. 85, No. 391, pp. 531-540. Sept. 1985.

July 1982Bubbles, Rational Expectations and Financial Markets
with Olivier J. Blanchard: w0945

Published: Blanchard, Olivier J. and Mark W. Watson. Bubbles, Rational Expectations and Financial Markets." Crises in the Economic and Financial Structure, Paul Wachtel, editor, pp. 295-316. Lexington, MA: D.C. Heathand Company, (1982).

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

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us