Details about James Hamilton

Homepage:	http://www.econ.ucsd.edu/~jhamilto/
Phone:	858-534-3383
Postal address:	Department of Economics, 0508 UCSD La Jolla, CA 92093-0508
Workplace:	Department of Economics, University of California-San Diego (UCSD), (more information at EDIRC)

Access statistics for papers by James Hamilton.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pha60

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Working Papers

2024

1. Principal Component Analysis for a Mix of Stationary and Nonstationary Variables
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2021

2. Online Appendix to "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment"
   Online Appendices, Review of Economic Dynamics
   See also Journal Article Measuring Labor-Force Participation and the Incidence and Duration of Unemployment, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2022) View citations (5) (2022)
3. Supply, Demand, and Specialized Production
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2020

4. Advances in Structural Vector Autoregressions with Imperfect Identifying Information
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
5. Advances in Using Vector Autoregressions to Estimate Structural Magnitudes
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
6. Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (39)
   See also Journal Article Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions, Journal of International Money and Finance, Elsevier (2020) View citations (41) (2020)
7. Measuring Labor-Force Participation and the Incidence and Duration of Unemployment
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2019)
   See also Journal Article Measuring Labor-Force Participation and the Incidence and Duration of Unemployment, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2022) View citations (5) (2022)

2019

8. Measuring Global Economic Activity
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (55)
9. Perspectives on U.S. Monetary Policy Tools and Instruments
   NBER Working Papers, National Bureau of Economic Research, Inc

2018

10. A Skeptical View of the Impact of the Fed’s Balance Sheet
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
11. Factors in Unemployment Dynamics
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
12. Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (88)
13. Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (88)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2018) View citations (24)
    See also Journal Article Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations, Journal of Monetary Economics, Elsevier (2018) View citations (87) (2018)

2017

14. Robust Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    Also in CESifo Working Paper Series, CESifo (2015) View citations (12)
    Working Paper Series, Federal Reserve Bank of San Francisco (2015) View citations (5)
15. Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Deman
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (17)
16. Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
17. Why You Should Never Use the Hodrick-Prescott Filter
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (176)

2016

18. Heterogeneity and Unemployment Dynamics
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (9)
    Working Papers, eSocialSciences (2016) View citations (10)
19. Macroeconomic Regimes and Regime Shifts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (65)
    See also Chapter Macroeconomic Regimes and Regime Shifts, Handbook of Macroeconomics, Elsevier (2016) View citations (65) (2016)

2015

20. The Equilibrium Real Funds Rate: Past, Present and Future
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (133)
    See also Journal Article The Equilibrium Real Funds Rate: Past, Present, and Future, IMF Economic Review, Palgrave Macmillan (2016) View citations (134) (2016)

2014

21. Effects of Index-Fund Investing on Commodity Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
22. Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information, Econometrica, Econometric Society (2015) View citations (289) (2015)
23. The Changing Face of World Oil Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)

2013

24. Crunch Time: Fiscal Crises and the Role of Monetary Policy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (63)
25. Off-Balance-Sheet Federal Liabilities
    NBER Working Papers, National Bureau of Economic Research, Inc
26. Risk Premia in Crude Oil Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Risk premia in crude oil futures prices, Journal of International Money and Finance, Elsevier (2014) View citations (182) (2014)

2012

27. Identification and Estimation of Gaussian Affine Term Structure Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (117)
    See also Journal Article Identification and estimation of Gaussian affine term structure models, Journal of Econometrics, Elsevier (2012) View citations (126) (2012)
28. Oil Prices, Exhaustible Resources, and Economic Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)

2011

29. Historical Oil Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (167)
30. Testable Implications of Affine Term Structure Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article Testable implications of affine term structure models, Journal of Econometrics, Elsevier (2014) View citations (26) (2014)
31. The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (74)
    See also Journal Article The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, Journal of Money, Credit and Banking, Blackwell Publishing (2012) View citations (463) (2012)
32. The Propagation of Regional Recessions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (24)
    See also Journal Article The Propagation of Regional Recessions, The Review of Economics and Statistics, MIT Press (2012) View citations (93) (2012)

2010

33. Calling Recessions in Real Time
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Journal Article Calling recessions in real time, International Journal of Forecasting, Elsevier (2011) View citations (112) (2011)
34. Causes and consequences of the oil shock of 2007–08
    FRB Atlanta CQER Working Paper, Federal Reserve Bank of Atlanta View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (786)
    See also Journal Article Causes and Consequences of the Oil Shock of 2007-08, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2009) View citations (807) (2009)
35. Estimating the Market-Perceived Monetary Policy Rule
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Estimating the Market-Perceived Monetary Policy Rule, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (30) (2011)
36. Nonlinearities and the Macroeconomic Effects of Oil Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
    See also Journal Article NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES, Macroeconomic Dynamics, Cambridge University Press (2011) View citations (296) (2011)
37. Sources of Variation in Holding Returns for Fed Funds Futures Contracts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article Sources of variation in holding returns for fed funds futures contracts, Journal of Futures Markets, John Wiley & Sons, Ltd. (2011) View citations (5) (2011)

2009

38. The market-perceived monetary policy rule
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (13)

2008

39. Daily Monetary Policy Shocks and the Delayed Response of New Home Sales
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (76)
40. Macroeconomics and ARCH
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (47)
41. Understanding Crude Oil Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (171)
    See also Journal Article Understanding Crude Oil Prices, The Energy Journal, International Association for Energy Economics (2009) View citations (602) (2009)

2007

42. Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
43. Daily Changes in Fed Funds Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article Daily Changes in Fed Funds Futures Prices, Journal of Money, Credit and Banking, Blackwell Publishing (2009) View citations (43) (2009)

2005

44. Dating Business Cycle Turning Points
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (69)
45. What's Real About the Business Cycle?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (36)
    See also Journal Article What's real about the business cycle?, Review, Federal Reserve Bank of St. Louis (2005) View citations (29) (2005)

2004

46. Normalization in econometrics
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (19)
    See also Journal Article Normalization in Econometrics, Econometric Reviews, Taylor & Francis Journals (2007) View citations (60) (2007)

2003

47. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Journal Article Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices, Journal of Money, Credit and Banking, Blackwell Publishing (2004) View citations (97) (2004)

2001

48. Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (54)

2000

49. A Model for the Federal Funds Rate Target
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    Also in Department of Economics, California Davis - Department of Economics View citations (27)
    See also Journal Article A Model of the Federal Funds Rate Target, Journal of Political Economy, University of Chicago Press (2002) View citations (154) (2002)
50. A Re-examination of the Predictability of Economic Activity Using the Yield Spread
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (34)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (32)
    See also Journal Article A Reexamination of the Predictability of Economic Activity Using the Yield Spread, Journal of Money, Credit and Banking, Blackwell Publishing (2002) View citations (159) (2002)
51. What is an Oil Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (77)
    See also Journal Article What is an oil shock?, Journal of Econometrics, Elsevier (2003) View citations (1470) (2003)

1999

52. A Parametric Approach to Flexible Nonlinear Inference
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (2)
    See also Journal Article A Parametric Approach to Flexible Nonlinear Inference, Econometrica, Econometric Society (2001) View citations (136) (2001)

1996

53. Measuring the liquidity effect
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (5)
    See also Journal Article Measuring the Liquidity Effect, American Economic Review, American Economic Association (1997) View citations (135) (1997)

1989

54. Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)

1985

55. On the Limitations of Government Borrowing: A Framework for Empirical Testing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Journal Article On the Limitations of Government Borrowing: A Framework for EmpiricalTesting, American Economic Review, American Economic Association (1986) View citations (531) (1986)

Journal Articles

2022

1. Measuring Labor-Force Participation and the Incidence and Duration of Unemployment
   Review of Economic Dynamics, 2022, 44, 1-32 View citations (5)
   See also Working Paper Measuring Labor-Force Participation and the Incidence and Duration of Unemployment, NBER Working Papers (2020) View citations (9) (2020)
   Working Paper Online Appendix to "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment", Online Appendices (2021) (2021)
   Software Item Code and data files for "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment", Computer Codes (2021) (2021)

2021

2. Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions
   Journal of International Money and Finance, 2021, 114, (C) View citations (1)

2020

3. Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions
   Journal of International Money and Finance, 2020, 109, (C) View citations (41)
   See also Working Paper Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions, NBER Working Papers (2020) View citations (41) (2020)

2019

4. Comments on “Foreign Effects of Higher U.S. Interest Rates” by Matteo Iacoviello and Gaston Navarro
   Journal of International Money and Finance, 2019, 95, (C), 290-293

2018

5. Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations
   Journal of Monetary Economics, 2018, 100, (C), 48-65 View citations (87)
   See also Working Paper Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations, NBER Working Papers (2018) View citations (88) (2018)

2016

6. Do macro variables help forecast interest rates?
   FRBSF Economic Letter, 2016
7. The Equilibrium Real Funds Rate: Past, Present, and Future
   IMF Economic Review, 2016, 64, (4), 660-707 View citations (134)
   See also Working Paper The Equilibrium Real Funds Rate: Past, Present and Future, NBER Working Papers (2015) View citations (133) (2015)

2015

8. Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
   Econometrica, 2015, 83, (5), 1963-1999 View citations (289)
   See also Working Paper Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information, NBER Working Papers (2014) View citations (12) (2014)

2014

9. Risk premia in crude oil futures prices
   Journal of International Money and Finance, 2014, 42, (C), 9-37 View citations (182)
   See also Working Paper Risk Premia in Crude Oil Futures Prices, NBER Working Papers (2013) View citations (12) (2013)
10. Testable implications of affine term structure models
    Journal of Econometrics, 2014, 178, (P2), 231-242 View citations (26)
    See also Working Paper Testable Implications of Affine Term Structure Models, NBER Working Papers (2011) View citations (9) (2011)

2012

11. Identification and estimation of Gaussian affine term structure models
    Journal of Econometrics, 2012, 168, (2), 315-331 View citations (126)
    See also Working Paper Identification and Estimation of Gaussian Affine Term Structure Models, NBER Working Papers (2012) View citations (117) (2012)
12. Import Prices and Inflation
    International Journal of Central Banking, 2012, 8, (1), 271-279 View citations (7)
13. The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    Journal of Money, Credit and Banking, 2012, 44, 3-46 View citations (463)
    See also Working Paper The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, NBER Working Papers (2011) View citations (74) (2011)
14. The Propagation of Regional Recessions
    The Review of Economics and Statistics, 2012, 94, (4), 935-947 View citations (93)
    See also Working Paper The Propagation of Regional Recessions, NBER Working Papers (2011) View citations (7) (2011)

2011

15. Calling recessions in real time
    International Journal of Forecasting, 2011, 27, (4), 1006-1026 View citations (112)
    See also Working Paper Calling Recessions in Real Time, NBER Working Papers (2010) View citations (13) (2010)
16. Estimating the Market-Perceived Monetary Policy Rule
    American Economic Journal: Macroeconomics, 2011, 3, (3), 1-28 View citations (30)
    See also Working Paper Estimating the Market-Perceived Monetary Policy Rule, NBER Working Papers (2010) View citations (1) (2010)
17. NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES
    Macroeconomic Dynamics, 2011, 15, (S3), 364-378 View citations (296)
    See also Working Paper Nonlinearities and the Macroeconomic Effects of Oil Prices, NBER Working Papers (2010) View citations (27) (2010)
18. Response to comments
    International Journal of Forecasting, 2011, 27, (4), 1039-1040
19. Sources of variation in holding returns for fed funds futures contracts
    Journal of Futures Markets, 2011, 31, (3), 205-229 View citations (5)
    See also Working Paper Sources of Variation in Holding Returns for Fed Funds Futures Contracts, NBER Working Papers (2010) View citations (5) (2010)

2009

20. Causes and Consequences of the Oil Shock of 2007-08
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 215-283 View citations (807)
    See also Working Paper Causes and consequences of the oil shock of 2007–08, FRB Atlanta CQER Working Paper (2010) View citations (1) (2010)
21. Daily Changes in Fed Funds Futures Prices
    Journal of Money, Credit and Banking, 2009, 41, (4), 567-582 View citations (43)
    See also Working Paper Daily Changes in Fed Funds Futures Prices, NBER Working Papers (2007) View citations (6) (2007)
22. Understanding Crude Oil Prices
    The Energy Journal, 2009, Volume 30, (Number 2), 179-206 View citations (602)
    See also Working Paper Understanding Crude Oil Prices, NBER Working Papers (2008) View citations (171) (2008)

2008

23. Assessing monetary policy effects using daily federal funds futures contracts
    Review, 2008, 90, (Jul), 377-394 View citations (18)
24. Daily monetary policy shocks and new home sales
    Journal of Monetary Economics, 2008, 55, (7), 1171-1190 View citations (74)
25. INSIDE THE ECONOMIST'S MIND
    Macroeconomic Dynamics, 2008, 12, (1), 112-116

2007

26. Housing and the monetary transmission mechanism: commentary
    Proceedings - Economic Policy Symposium - Jackson Hole, 2007, 415-422
27. Normalization in Econometrics
    Econometric Reviews, 2007, 26, (2-4), 221-252 View citations (60)
    See also Working Paper Normalization in econometrics, FRB Atlanta Working Paper (2004) View citations (19) (2004)

2005

28. Comment on "Investigating Nonlinearity"
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (3), 10 View citations (5)
29. What's real about the business cycle?
    Review, 2005, 87, (Jul), 435-452 View citations (29)
    See also Working Paper What's Real About the Business Cycle?, NBER Working Papers (2005) View citations (36) (2005)

2004

30. Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment
    Journal of Money, Credit and Banking, 2004, 36, (2), 265-86 View citations (509)
31. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments
    Proceedings, 2004, (Mar) View citations (1)
32. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
    Journal of Money, Credit and Banking, 2004, 36, (1), 17-37 View citations (97)
    See also Working Paper Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices, NBER Working Papers (2003) View citations (18) (2003)

2003

33. Comment on "A comparison of two business cycle dating methods"
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1691-1693 View citations (32)
34. What is an oil shock?
    Journal of Econometrics, 2003, 113, (2), 363-398 View citations (1470)
    See also Working Paper What is an Oil Shock?, NBER Working Papers (2000) View citations (77) (2000)

2002

35. A Model of the Federal Funds Rate Target
    Journal of Political Economy, 2002, 110, (5), 1135-1167 View citations (154)
    See also Working Paper A Model for the Federal Funds Rate Target, NBER Working Papers (2000) View citations (28) (2000)
36. A Reexamination of the Predictability of Economic Activity Using the Yield Spread
    Journal of Money, Credit and Banking, 2002, 34, (2), 340-60 View citations (159)
    See also Working Paper A Re-examination of the Predictability of Economic Activity Using the Yield Spread, University of California at San Diego, Economics Working Paper Series (2000) View citations (34) (2000)
37. New directions in business cycle research and financial analysis
    Empirical Economics, 2002, 27, (2), 149-162 View citations (29)
38. On the interpretation of cointegration in the linear-quadratic inventory model
    Journal of Economic Dynamics and Control, 2002, 26, (12), 2037-2049 View citations (14)

2001

39. A Parametric Approach to Flexible Nonlinear Inference
    Econometrica, 2001, 69, (3), 537-73 View citations (136)
    See also Working Paper A Parametric Approach to Flexible Nonlinear Inference, University of California at San Diego, Economics Working Paper Series (1999) View citations (2) (1999)

2000

40. Book review
    Econometric Reviews, 2000, 19, (1), 135-137 View citations (2)

1998

41. The augmented Solow model and the productivity slowdown
    Journal of Monetary Economics, 1998, 42, (3), 495-509 View citations (56)
42. The supply and demand for Federal Reserve deposits
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 1-44 View citations (17)

1997

43. Comment on "U.S. Oil Consumption, Oil Prices, and the Macroeconomy."
    Empirical Economics, 1997, 22, (1), 153-56 View citations (1)
44. Measuring the Liquidity Effect
    American Economic Review, 1997, 87, (1), 80-97 View citations (135)
    See also Working Paper Measuring the liquidity effect, Working Papers in Applied Economic Theory (1996) View citations (5) (1996)

1996

45. Specification testing in Markov-switching time-series models
    Journal of Econometrics, 1996, 70, (1), 127-157 View citations (228)
46. Stock Market Volatility and the Business Cycle
    Journal of Applied Econometrics, 1996, 11, (5), 573-93 View citations (361)
47. The Daily Market for Federal Funds
    Journal of Political Economy, 1996, 104, (1), 26-56 View citations (279)
48. This is what happened to the oil price-macroeconomy relationship
    Journal of Monetary Economics, 1996, 38, (2), 215-220 View citations (1064)
49. What Do the Leading Indicators Lead?
    The Journal of Business, 1996, 69, (1), 27-49 View citations (89)

1994

50. Autoregressive conditional heteroskedasticity and changes in regime
    Journal of Econometrics, 1994, 64, (1-2), 307-333 View citations (887)

1992

51. Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market
    American Economic Review, 1992, 82, (1), 157-78 View citations (89)

1991

52. A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions
    Journal of Business & Economic Statistics, 1991, 9, (1), 27-39 View citations (65)
53. The Quantitative Significance of the Lucas Critique: Comment
    Journal of Business & Economic Statistics, 1991, 9, (4), 388-89
54. The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment
    Journal of Money, Credit and Banking, 1991, 23, (3), 608-12

1990

55. Analysis of time series subject to changes in regime
    Journal of Econometrics, 1990, 45, (1-2), 39-70 View citations (996)
56. Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
    American Economic Review, 1990, 80, (4), 689-713 View citations (630)

1989

57. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
    Econometrica, 1989, 57, (2), 357-84 View citations (4831)
58. The long-run behavior of the velocity of circulation: A review essay
    Journal of Monetary Economics, 1989, 23, (2), 335-344 View citations (9)

1988

59. A Neoclassical Model of Unemployment and the Business Cycle
    Journal of Political Economy, 1988, 96, (3), 593-617 View citations (347)
60. Are the macroeconomic effects of oil-price changes symmetric?: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1988, 28, (1), 369-378 View citations (28)
61. ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION
    Contemporary Economic Policy, 1988, 6, (2), 67-89 View citations (28)
62. Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 385-423 View citations (476)

1987

63. Monetary factors in the great depression
    Journal of Monetary Economics, 1987, 19, (2), 145-169 View citations (123)

1986

64. A standard error for the estimated state vector of a state-space model
    Journal of Econometrics, 1986, 33, (3), 387-397 View citations (93)
65. Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering
    Journal of Business & Economic Statistics, 1986, 4, (2), 147-60 View citations (27)
66. On Testing for Self-fulfilling Speculative Price Bubbles
    International Economic Review, 1986, 27, (3), 545-52 View citations (33)
67. On the Limitations of Government Borrowing: A Framework for EmpiricalTesting
    American Economic Review, 1986, 76, (4), 808-19 View citations (531)
    See also Working Paper On the Limitations of Government Borrowing: A Framework for Empirical Testing, NBER Working Papers (1985) View citations (9) (1985)

1985

68. Historical Causes of Postwar Oil Shocks and Recessions
    The Energy Journal, 1985, Volume 6, (Number 1), 97-116 View citations (122)
69. The observable implications of self-fulfilling expectations
    Journal of Monetary Economics, 1985, 16, (3), 353-373 View citations (104)
70. Uncovering Financial Market Expectations of Inflation
    Journal of Political Economy, 1985, 93, (6), 1224-41 View citations (43)

1983

71. Oil and the Macroeconomy since World War II
    Journal of Political Economy, 1983, 91, (2), 228-48 View citations (2163)

Chapters

2016

1. Macroeconomic Regimes and Regime Shifts
   Elsevier View citations (65)
   See also Working Paper Macroeconomic Regimes and Regime Shifts, National Bureau of Economic Research, Inc (2016) View citations (65) (2016)

2009

2. Concerns about the Fed's New Balance Sheet
   Chapter 5 in The Road Ahead for the Fed, 2009 View citations (1)

1986

3. State-space models
   Chapter 50 in Handbook of Econometrics, 1986, vol. 4, pp 3039-3080 View citations (10)

Software Items

2021

1. Code and data files for "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Measuring Labor-Force Participation and the Incidence and Duration of Unemployment, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2022) View citations (5) (2022)