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.

Books

1. Business Cycles, Indicators, and Forecasting, edited by James H. Stock and Mark W. Watson, University of Chicago Press for the NBER, 1993.

2. The Collected Works of C.W.J. Granger, edited by Eric Ghysels, Norman Swanson and Mark W. Watson, Cambridge University Press, forthcoming 2001.

3. Introduction to Econometrics, with James Stock, Addison-Wesley, 2003, Second Edition, 2007, Third Edition 2010, Brief Edition, 2008.

4. Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle, edited by Tim Bollerslev, Jeffrey R. Russell, and Mark W. Watson, Oxford University Press, 2010.

 

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. Download paper.
  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. Download Paper.
  3. Testing the Interpretation of Indices in a Macroeconomic Index Model (with D. F. Kraft), Journal of Monetary Economics, Vol. 13, No. 2, 1984, pp. 165-182. Download Paper.
  4. A DYMIMIC Model of Housing Price Determination (with R.F. Engle and D.M. Lilien), Journal of Econometrics, Vol. 28, pp. 307-326. Download Paper.
  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. Download Paper.
  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. Download Paper. 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. Download Paper.
  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. Download Paper.
  9. Recursive Solution Methods for Dynamic Linear Rational Expectations Models, Journal of Econometrics, Vol. 41, pp. 65-91. Download Paper.
  10. Univariate Detrending with Stochastic Trends, Journal of Monetary Economics, June 1986, Vol. 18, pp. 49-75. Download Paper.
  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.) Download Paper.
  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. Download Paper.
  13. Interpreting the Evidence on Money-Income Causation (with J.H. Stock), Journal of Econometrics, Vol. 40, Number 1, pp. 161-182. Download Paper.
  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. Download Paper. 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.) Download Paper.
  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. Download Paper.
  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. Download Paper. Program and data files (.zip)
  18. Measures of Fit for Calibrated Models, Journal of Political Economy, Vol. 101, No. 6, 1993, pp. 1011-1041. Download paper.  Program and data files (.zip)
  19. Business Cycle Durations and Postwar Stabilization of the U.S. Economy, American Economic Review, March 1994. Download Paper. 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. Download paper. Program and data files (.zip)
    Expanded Table 1 (.pdf)
  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. Download paper. (Expanded version available as Federal Reserve Bank of Chicago, Working Paper WP-95-10, July 1995, Download text + tables (figures missing!)(.pdf)) 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. Download paper. 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. Download paper. Program and data files (.zip)
  24. The NAIRU, Unemployment, and Monetary Policy, (with Douglas Staiger and James Stock), Journal of Economic Perspectives, Winter 1997. Download paper. Program and data files (.zip)
  25. Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model, (with James Stock), Journal of the American Statistical Association, vol. 93, No. 441, march 1998, pp 349-358. Download paper. Program and data files (.zip)
  26. The Solution of Singular Linear Difference Systems Under Rational Expectations, (with Robert King), International Economic Review, Vol. 39, No 4. November 1998, pages 1015-1026. Download paper. Download Paper (.pdf).
  27. A Dynamic Factor Model Framework for Forecast Combination (with Y.L. Chan and J.S. Stock), Spanish Economic Review, 1, 1999, pp. 91-121. Download paper.
  28. Forecasting Inflation (with James H. Stock), Journal of Monetary Economics, 1999, Vol. 44, no. 2. Download paper.
  29. Vector Autoregressions (with James H. Stock), Journal of Economic Perspectives , Fall 2001, Vol. 15, No. 4, pp. 101-116. Download paper. Download replication file (.zip).
  30. Macroeconomic Forecasting Using Diffusion Indexes (with James H. Stock), Journal of Business and Economic Statistics, April 2002, Vol. 20 No. 2, 147-162. Download paper.
  31. Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information (with Massimiliano Marcellino and James H. Stock), European Economic Review, Volume 47, Issue 1, February 2003, pages 1-18. Download paper.Download Appendices. Download Replication Files (.zip).
  32. System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations (with Robert G. King), Computational Economics, (October 2002), 20, pp. 57-86. Download paper.
  33. Forecasting Using Principal Components from a Large Number of Predictors, Journal of the American Statistical Association, 2002. Download paper.
  34. Forecasting Output and Inflation: The Role of Asset Prices, (with James H. Stock), Journal of Economic Literature, 2003. Download paper. Download Detailed Results Appendix (.pdf). Download Data and Replication Files (.zip).
  35. Combination Forecasts Of Output Growth In A Seven-Country Data Set, (with James Stock), Journal of Forecasting,, 2004, Download paper. Download Data and Replication Files (.zip).
  36. Understanding Changes in International Business Cycle Dynamics, (with James Stock), Journal of the European Economic Association,, 2005, Download paper. Download Data and Replication Files (.zip).
  37. A Comparison of Direct and Iterated Multistep AR Methods  for Forecasting Macroeconomic Time Series (with Massimiliano Marcellino and James Stock), Journal of Econometrics , 2006, vol. 135, pp. 499-526. Download paper. Download Appendix Tables (.pdf), Download Data and Replication Files (.zip).
  38. Consistent Estimation of the Number of Dynamic Factors in a Large N And T Panel (with Dante Amengual), Journal of Business and Economic Statistics, January 2007. Download Appendix (.pdf).
  39. Why Has U.S. Inflation Become Harder to Forecast? (with James H. Stock), Journal of Money, Banking and Credit, Vol. 39, No. 1, February 2007 Download paper. Download Erratum. Download Data and Replication Files (.zip).
  40. A, B, C's and (D)'s For Understanding VARS (with Jesus Fernandez-Villaverde, Juan F. Rubio-Ramirez, and Thomas J. Sargent), American Economic Review, Vol. 97, No. 3, pp. 1021-1026. Download paper.
  41. Heteroskedasticity-Robust Standard Errors for Fixed Effect Panel Data Regression (with James H. Stock), Econometrica, January 2008, Vol. 76, No. 1, pp. 155-174. Download Paper .
  42. Testing Models of Low-Frequency Variability (with Ulrich Müller), Econometrica Vol. 76, No. 5 (September, 2008), 979–1016. Download paper. Download Data and Replication Files (.zip).
  43. Relative Goods' Prices, Pure Inflation, and the Phillips Correlation (with Ricardo Reis), American Economic Journal Macroeconomics, 2 (3), (July 2010.), 128-157. Download paper. Download Web Appendix Paper (.pdf).Download Data and Replication Files (.zip).
  44. 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. Download paper. Download Data and Replication Files (.zip). Download Technical Appendix (.pdf).
  45. Generalized Shrinkage Methods for Forecasting Using Many Predictors (with James H. Stock), Journal of Business and Economic Statistics, 30:4 (2012), 481-493.Download Paper (.pdf). Download Supplement (.pdf), Download Data and Replication Files (.zip)..
  46. Inflation and Unit Labor Cost (with Robert G. King), Journal of Money, Credit and Banking , Vol. 44 (December 2012), 111-149. Download Paper (.pdf). Download Data and Replication Files (.zip). .
  47. Low-Frequency Robust Cointegration Testing (with Ulrich Müller), Journal of Econometrics, forthcoming, Download Paper (.pdf). Download Replication Files for Empirical Analysis (.zip). .
  48. Estimating Turning Points Using Large Data Sets (with James H. Stock)  Revised June 2012, Journal of Econometrics, forthcoming. Download Paper (.pdf). Download Data and Replication Files (.zip).
  49. Consistent Factor Estimation in Dynamic Factor Models with Structural Instability (with Brandon J. Bates, Mikkel Plagborg-Møller, and James H. Stock), Journal of Econometrics, forthcoming. Download Paper (.pdf). Download Replication 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. Download Paper (.pdf)
  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. Download Paper, 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) Paper (PDF)
  22. Testing Long Run Neutrality (with Robert King), forthcoming Research Periodical of the Federal Reserve Bank of Richmond, 1997, Program and data files (.zip)
  23. Business Cycle Fluctuations in U.S. Macroeconomic Time Series, (with James Stock), Handbook of Macroeconomics, edited by J. Taylor and M. Woodford, North Holland, Vol. 1a, 1999, pages 3-64. Program and data files (.zip).
  24. Explaining the Increased Variability in Long Term Interest Rates, Federal Reserve Bank of Richmond Economic Quarterly, Winter 2000.
  25. A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series, (with James Stock), in Cointegration, Causality, and Forecasting A Festschrift in Honour of Clive W.J. Granger R.F. Engle and H. White (eds), Oxford University Press. Program and data files (.zip), Paper (.pdf).
  26. Time Series: Cycles, International Encyclopedia of the Social and Behavioral Sciences, Statistics Volume, Stephen E. Fienberg and Joseph B. Kadane, Editors, 2001, Elsevier Science.
  27. Macroeconomic Forecasting Using Many Predictors, in M. Dewatripont, L. Hansen and S. Turnovsky (eds), Advances in Economics and Econometrics, Theory and Applications, Eight World Congress of the Econometric Society,” Vol. III, page 87-115. Download Data and Replication Files (.zip) .
  28. Prices, Wages and the U.S. NAIRU in the 1990s (with Douglas Staiger and James H. Stock), The Roaring ‘90s: Can Full Employment Be Sustained, edited by Alan B. Krueger and Robert Solow, New York: Russell Sage and Century Fund, 2001. Download Replication Files (.zip).
  29. Has the Business Cycle Changed and Why? (with James H. Stock), NBER Macroeconomics Annual 2002, Mark Gertler and Ken Rogoff (eds), MIT Press. Download Replication Files (.zip).
  30. How Did Leading Indicator Forecasts Perform During the 2001 Recession? (with James H. Stock), Federal Reserve Bank of Richmond Economic Quarterly, Summer 2003. Download Data and Replication Files (.zip).
  31. Has the Business Cycle Changed? Evidence and Explanations, (with James Stock) forthcoming FRB Kansas City symposium, Jackson Hole, Wyoming, August 28-30, 2003. Download Paper (.pdf), Download Appendix (.pdf), Download Data and Replication Files (.zip).
  32. Macroeconomic Forecasting Using Many Predictors (with James H. Stock), Handbook of Economic Forecasting, Graham Elliott, Clive Granger, Allan Timmerman (eds.), North Holland, 2006.
  33. How Accurate are Real-Time Estimates of Output Trends and Gaps? Federal Reserve Bank of Richmond Economic Quarterly, Spring 2007. Download Data and Replication Files (.zip).
  34. Cointegration, entry for The New Palgrave Dictionary, 2nd edition, edited by Lawrence Blume and Steven Durlauf.
  35. Macroeconomic Forecasting, entry for The New Palgrave Dictionary, 2nd edition, edited by Lawrence Blume and Steven Durlauf.
  36. Understanding the Evolving the Evolving Inflation Process.  (with Stephen G. Cecchetti, Peter Hooper, Bruce C. Kasman, and Kermit L. Schoenholtz). U.S. Monetary Policy Forum Report No. 1, Rosenberg Institute for Global Finance, Brandeis International Business School and Intiative on Global Financial Markets, University of Chicago Graduate School of Business, 2007. Download Paper .
  37. Forecasting in Dynamic Factor Models Subject to Structural Instability (with James H. Stock), in The Methodology and Practice of Econometrics, A Festschrift in Honour of Professor David F. Hendry, Jennifer Castle and Neil Shephard (eds), 2008, Oxford: Oxford University Press. . Download Paper (.pdf), Download Data and Replication Files (.zip).
  38. Phillips Curve Inflation Forecasts (with James H. Stock)  . in Understanding Inlfation and the Implications for Monetary Policy, a Phillips Curve Retrospective, Federal Reserve Bank of Boston, 2009. Download Working Paper Version of Paper (.pdf). Download Data and Replication Files (.zip)..
  39. The Evolution of National and Regional Factors in U.S. Housing Construction (with James H. Stock)  , in Volatility and Time Series Econometrics: Essays in Honour of Robert F. Engle, Tim Bollerslev, Jeffrey Russell and Mark Watson (eds), 2009, Oxford: Oxford University Press. Download Working Paper version of paper (.pdf). Download Data and Replication Files (.zip).
  40. Indicators for Dating Business Cycles: Cross-History Selection and Comparisons (with James H. Stock), American Economic Review, Vol. 100, No. 2, (Papers and Proceeedings of the 122 Annual Meeting), May 2010, pp 16-19. Download paper.
  41. Financial Conditions Indexes: A Fresh Look after the Financial Crisis (with Jan Hatzius, Peter Hooper, Frederic Mishkin, and Kermit Schoenholtz) U.S. Monetary Policy Forum, 2010. Download Paper (.pdf). Download Data and Replication Files (.zip).
  42. Modeling Inflation After the Crisis (with James H. Stock), FRB Kansas City symposium, Jackson Hole, Wyoming, August 26-28, 201 Download Paper (.pdf). Download Data and Replication Files (.zip).
  43. Dynamic Factor Models (with James H. Stock)  , in Oxford Handbook of Forecasting, Michael P. Clements and David F. Hendry (eds), 2011, Oxford: Oxford University Press. Download Working Paper version of paper (.pdf).
  44. Disentangling the Channels of the 2007-2009 Recession (with James H. Stock)  May 2012, Brookings Papers on Economic Activity, Spring 2012. Download Paper (.pdf). Download Supplementary Tables, Data Description, etc. (.pdf). Download Erratum. (.pdf). Download Supplementary Figures (.zip). Download Data and Replication 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.
  13. Comment on “Assessing Changes in the Monetary Transmission Mechanism: A VAR Approach,” by Jean Boivin and Marc Giannone, Federal Reserve Bank of New York Policy Review, 8(1), 2002.
  14. Comment on “Market Anticipations of Monetary Policy Actions” by William Poole, Robert H. Rasche and Daniel L. Thornton, Federal Reserve Bank of St. Louis Review, Jul/Aug 2002, 84(4).
  15. Comment on “Monetary Policy in Real Time,” by Domenico Giannone, Lucrezia Reichlin, and Luca Sala, NBER Macroeconomics Annual, 2004.
  16. Comment on “What’s Real About the Business Cycle” by James Hamilton, forthcoming Federal Reserve Bank of St. Louis Review,  2005.
  17. Comment on “Assessing Structual VARs” by L. Christiano, M. Eichenbaum, and R. Vigfusson, NBER Macroeconomics Annual, 2006.