Publications and Replication Files

For selected articles, the replication program and data files (.zip files) can be downloaded by clicking on the link following these articles.

Journal Articles

  1. A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates (with R.F. Engle), Journal of the American Statistical Association, Vol. 76, No. 376, 1981, pp. 774-781.

  2. Alternative Algorithms for Estimation of Dynamic MIMIC, Factor, and Time Varying Coefficient Regression Models (with R.F. Engle), Journal of Econometrics, Vol. 23, pp. 385-400.

  3. Testing the Interpretation of Indices in a Macroeconomic Index Model (with D. F. Kraft), Journal of Monetary Economics, Vol. 12, No. 2, 1984, pp. 165-182.

  4. A DYMIMIC Model of Housing Price Determination (with R.F. Engle and D.M. Lilien), Journal of Econometrics, Vol. 28, pp. 307-326.

  5. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative (with R.F. Engle), Review of Economics and Statistics, Vol LXVII, 1985, 341-345.

  6. Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model (with B.J. Eichengreen and R. Grossman), The Economic Journal, Vol. 95 (September 1985), pp 725-745. Data files (.zip)

  7. Errors-in-Variables and Seasonal Adjustment Procedures (with J.A. Hausman), Journal of the American Statistical Association, September 1985, Vol 80, pp. 531-540.

  8. Uncertainty in Model Based Seasonal Adjustment Procedures and Construction of Minimax Filters, Journal of the American Statistical Association, Vol 82, Number 398, pp 395-408.

  9. Recursive Solution Methods for Dynamic Linear Rational Expectations Models, Journal of Econometrics, Vol. 41, pp. 65-91.

  10. Univariate Detrending with Stochastic Trends, Journal of Monetary Economics, June 1986, Vol. 18, pp. 49-75.

  11. Testing For Common Trends (with J.H. Stock), Journal of the American Statistical Association, December 1988, 83, pp 1097-1107. (Reprinted in Long-Run Economic Relationships, Readings in Cointegration, edited by R.F. Engle and C.W.J. Granger, Oxford University Press.)

  12. Inference in Linear Time Series Models with Some Unit Roots (with C.A. Sims and J.H. Stock), Econometrica, Vol. 58, No. 1. (Reprinted in Time Series, edited by Andrew Harvey, Edgar Elgar Publishing.

  13. Interpreting the Evidence on Money-Income Causation (with J.H. Stock), Journal of Econometrics, Vol. 40, Number 1, pp. 161-182.

  14. Stochastic Trends and Economic Fluctuations (with Robert King, Charles Plosser, and James Stock), American Economic Review, Vol. 81, No. 4, (September 1991), pp. 819-40. Program and data files (.zip)

  15. Variable Trends and Economic Fluctuations (with J.H. Stock), Journal of Economic Perspectives, Summer 1988, pp. 147-174. (Reprinted in Long-Run Economic Relationships, Readings in Cointegration, edited by R.F. Engle and C.W.J. Granger, Oxford University Press.)

  16. The Convergence of Multivariate "Unit Root" Distributions to their Asymptotic Limits: The Case of Money-Income Causality (with L.Ljungqvist, M. Park, J.H. Stock), Journal of Economic Dynamics and Control, 12, pp. 489-502.

  17. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (with James H. Stock), Econometrica, Vol. 61, No. 4 (July 1993), pp. 783-820. Program and data files (.zip)

  18. Measures of Fit for Calibrated Models, Journal of Political Economy, Vol. 101, No. 6, 1993, pp. 1011-1041. Program and data files (.zip)

  19. Business Cycle Durations and Postwar Stabilization of the U.S. Economy, American Economic Review, March 1994. Program and data files (.zip)

  20. Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified, (with M.T.K. Horvath), Econometric Theory, Vol. 11, No. 5 (December 1995), pp. 952-984. Program and data files (.zip)

  21. Money, Prices, Interest Rates and the Business Cycle (with Robert King), Review of Economics and Statistics, Vol. LXXVIII, Number 1, (February 1996), pp. 35-53. (Expanded version available as Federal Reserve Bank of Chicago, Working Paper WP-95-10, July 1995.) Program and data files (.zip)

  22. Estimating Deterministic Trends in the Presence of Serially Correlated Errors, (with Eugene Canjels), Review of Economics and Statistics, 1997, page 184-200. Program and data files (.zip)

  23. Evidence on Structural Instability in Macroeconomic Time Series Relations, (with James H. Stock), Journal of Business and Economic Statistics. Vol. 14, No. 1, (January 1996) pp. 11-30. Program and data files (.zip)

  24. The NAIRU, Unemployment, and Monetary Policy, (with Douglas Staiger and James Stock), Journal of Economic Perspectives, Winter 1997. Program and data files (.zip)

  25. Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model, (with James Stock), forthcoming Journal of the American Statistical Association. Program and data files (.zip)

Articles in Books and other Periodicals

  1. Formulation Generale et Estimation de Models Multidimensionnels Temporels a Facteurs Explicatifs Non-observables (with R.F. Engle), Cahiers du Seminaire D'Econometric, No. 22, 1980, pp 109 - 125.

  2. Bubbles, Rational Expectations, and Financial Markets (with O.J. Blanchard) in Crisis in the Economic and Financial Structure: Bubbles, Bursts, and Shocks, Paul Wachtel (editor), Lexington Books, 1982, translated as "Bulles, anticipations rationnelles et marches financiers," Annales De L'insee, no. 54, 1984, pp. 79-100.

  3. Time Series and Spectral Methods in Econometrics (with C.W.J. Granger), Handbook of Econometrics, Vol. 2, Z. Griliches and M. Intriligator (editors), North Holland, 1984, pp. 979-1022.

  4. Are Business Cycles All Alike (with O.J. Blanchard), Robert J. Gordon (editor), The American Business Cycle, NBER and Chicago Press, 1986.

  5. Forecasting Commercial Electricity Sales (with L.M. Pastuszek and E. Cody), Journal of Forecasting, Vol. 6, Number 2, April-June 1987 pp. 117-136.

  6. The Kalman Filter: Applications to Forecasting and Rational Expectations Models (with R.F. Engle), in Advances in Econometrics, Fifth World Congress, edited by T. Bewley, Cambridge University Press.

  7. Sources of Business Cycle Fluctuations (with Matthew D. Shapiro), Macroeconomics Annual, Vol. 3, 1988, M.I.T. Press, pp. 111-156. Program and data files (.zip)

  8. A Probability Model of the Coincident Economic Indicators (with James H. Stock), in Leading Economic Indicators: New Approaches and Forecasting Records, edited by K. Lahiri and G. Moore, Cambridge University Press, 1991.

  9. New Indexes of Coincident and Leading Economic Indicators (with James H. Stock), Macroeconomics Annual, Vol. 4, 1989, M.I.T. Press. Program and data files (.zip)

  10. The Budgetary Process: Characteristics and Cautions (with Dana Naimark), Chapter 4 in State and Local Finance for the 1990's: A Case Study of Arizona, edited by T. McGuire and D. Naimark, Arizona State University Press.

  11. General Fund Projections and History, Chapter 20 in State and Local Finance for the 1990's: A Case Study of Arizona, edited by T. McGuire and D. Naimark, Arizona State University Press.

  12. Seasonal Adjustment of Preliminary Data (with Jerry A. Hausman), Papers and Proceeding of the American Statistical Association, Business and Economics Section, 1990.

  13. A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience (with James Stock), in New Research on Business Cycles, Indicators and Forecasting, James Stock and Mark Watson (editors), University of Chicago Press, 1993. Program and data files (.zip)

  14. Editor of New Research on Business Cycles, Indicators and Forecasting, (edited with James Stock), University of Chicago Press, 1993.

  15. Using Econometric Models to Predict Recessions, Economic Perspectives, (Research Periodical of the Chicago Federal Reserve Bank), September/October, 1991.

  16. Forecasting with Leading Indicators: Lessons for the 1990 Recession in the United States (with James Stock), Konjunktur-Prognoser & Konjunkturpolitik, Ekonomiska Radets Arsbok 1992, pp 77-102.

  17. Vector Autoregressions and Cointegration, Handbook of Econometrics, Vol. 4, Robert F. Engle and Dan McFadden (editors), North Holland.

  18. The Post-War U.S. Phillips Curve: A Revisionist Econometric History, (with Robert King), Carnegie-Rochester Conference on Public Policy, 1994. Program and data files (.zip)

  19. Stability of the Unemployment-Inflation Relation, (with Robert King and James Stock), Economic Perspectives, (Research Periodical of the Chicago Federal Reserve Bank), 1995.

  20. How Precise are Estimates of the Natural Rate of Unemployment, (with Douglas Staiger and James Stock), in C. Romer and D. Romer (eds), Reducing Inflation: Motivation and Strategy, University of Chicago Press. Program and data files (.zip)

  21. Systematic Monetary Policy and the Effects of Oil Price Shocks, (with Ben S. Bernanke and Mark Gertler), forthcoming Brookings Papers on Economic Behavior, 1997. Program and data files (.zip)

  22. Testing Long Run Neutrality (with Robert King), forthcoming Research Periodical of the Federal Reserve Bank of Richmond, 1997, Program and data files (.zip)

Notes, Comments and Reviews

  1. Imperfect Information and Wage Inertia in the Business Cycle: A Comment, Journal of Political Economy, Vol. 91, No. 5, 1983, pp. 876-879.

  2. Comment on "Irregular Data Revisions," by A.C. Harvery, C.R. McKenzie, D.P.C. Blake, and M.J. Desai, in Applied Time Series Analysis of Economic Data, edited by Arnold Zellner, U.S. Department of the Census, Economic Research Report ER-5

  3. Does GNP Have a Unit Root ? (with J.H. Stock), Economics Letters, 22, pp. 147-151.

  4. Comment on "Vector Autoregressions and Reality," by David Runkle, Journal of Business and Economic Statistics, 1987.

  5. Comment on "A Reexamination of Friedman's Consumption Puzzle" by James H. Stock, Journal of Business and Economic Statistics, 1988.

  6. Comment on "Sensitivity Analysis of Seasonal Adjustments: Empirical Case Studies" by J.B. Carlin and A.P. Dempster, Journal of the American Statistical Association, March 1989.

  7. Review of Time Series Analysis by John Cryer, Journal of the American Statistical Association, December 1987, Volume 82, Number 400, 1195.

  8. Software Review of MTS, Journal of Applied Econometrics, 4, pp. 205-206.

  9. Review of The Collected Works of John W. Tukey, Vols I, II, and V, edited by D. Brillinger and W.P. Cleveland, Journal of the American Statistical Association, 1988.

  10. Comment on "Inflation Indicators and Inflation Policy" by Stephen G. Cecchetti, NBER Macroeconomics Annual, 1995.

  11. Comment on "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process," Journal of Business and Economic Statistics, Vol. 14, No. 3, July 1996

  12. Comment on "On the Fit of a Neoclassical Monetary Model in High Inflation: Israel 1972-1990" by Eckstein and Bental, Journal of Money, Banking and Credit, November 1997.

Unpublished Papers

  1. Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988 (with James H. Stock), NBER Working Paper 3376, June 1990.

  2. The Solution of Singular Linear Difference Systems Under Rational Expectations, (with Robert King), April 1995.

  3. System Reduction and Solution Algorithms for Singular Linear Difference Systems Under Rational Expectations, (with Robert King), May 1995.

  4. Confidence Sets in Regressions with Highly Serially Correlated Regressors, (with James Stock), November 1996.

  5. Business Cycle Fluctuations in U.S. Macroeconomic Time Series, (with James Stock), December 1997. Program and data files (.zip)

Revised 9/97.