Details about James H. Stock

Homepage:	http://ksghome.harvard.edu/~JStock/
Workplace:	Department of Economics, Harvard University, (more information at EDIRC)

Access statistics for papers by James H. Stock.

Last updated 2007-07-25. Update your information in the RePEc Author Service.

Short-id: pst148

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Working Papers

2008

1. Phillips Curve Inflation Forecasts
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2006

2. Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
3. Why Has U.S. Inflation Become Harder to Forecast?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2005

4. A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
5. Implications of Dynamic Factor Models for VAR Analysis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
6. Inference with Weak Instruments
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2005) View citations

2004

7. Optimal Invariant Similar Tests for Instrumental Variables Regression
   NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
   Also in Cowles Foundation Discussion Papers, Cowles Foundation, Yale University (2004) View citations

2003

8. Understanding Changes in International Business Cycle Dynamics
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Journal of the European Economic Association (2005)
9. caschool
   Instructional Stata datasets for econometrics, Boston College Department of Economics
10. oj
    Instructional Stata datasets for econometrics, Boston College Department of Economics

2002

11. Has the Business Cycle Changed and Why?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (2003)
12. Testing for Weak Instruments in Linear IV Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations

2001

13. Empirical Bayes Forecasts of One Time Series Using Many Predictors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations
14. Forecasting Output and Inflation: The Role of Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Economic Literature (2003)
15. Prices, Wages and the U.S. NAIRU in the 1990s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
16. Searching for Prosperity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (2001)

2000

17. Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Proceedings (1999)

1999

18. Forecasting Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Monetary Economics (1999)

1998

19. A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
20. Business Cycle Fluctuations in U.S. Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1999)
21. Diffusion Indexes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1996

22. Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
23. Asymptotics for GMM Estimators with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
24. How Precise are Estimates of the Natural Rate of Unemployment?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1997)

1995

25. Inference in Models with Nearly Integrated Regressors
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
26. Why are Retirement Rates So High at Age 65?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1996)

1994

27. Evidence on Structural Instability in Macroeconomic Time Series Relations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations
    See also Journal Article in Journal of Business & Economic Statistics (1996)
28. Instrumental Variables Regression with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1997)
29. Measuring Money Growth When Financial Markets Are Changing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Monetary Economics (1996)
30. Retirement Incentives: The Interaction between Employer-Provided Pensions, Social Security, and Retiree Health Benefits
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1996)

1993

31. The Use of Monetary Aggregate to Target Nominal GDP
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1994)

1992

32. A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1993)
33. A procedure for predicting recessions with leading indicators: econometric issues and recent performance
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations
34. Deciding Between I(1) and I(0)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Econometrics (1994)
35. Efficient Tests for an Autoregressive Unit Root
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1996)
36. Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
37. Pension Plan Provisions and Retirement: Men & Women, Medicare, and Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
38. Stochastic Trends and Economic Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1991) View citations
    See also Journal Article in American Economic Review (1991)
39. Three Models of Retirement: Computational Complexity Versus Predictive Validity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1992)

1991

40. A simple estimator of cointegrating vectors in higher order integrated systems
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations
    See also Journal Article in Econometrica (1993)
41. Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Monetary Economics (1991)

1990

42. Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
    NBER Working Papers, National Bureau of Economic Research, Inc
43. Drawing Inferences From Statistics Based on Multi-Year Asset Returns
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
44. Efficient Windows and Labor Force Reduction
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Public Economics (1990)
45. The Pension Inducement to Retire: An Option Value Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Working Papers, Stanford - Hoover Institution (1988) View citations
    See also Chapter (1990)

1989

46. A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
47. NEW INDEXES OF COINCIDENT AND LEADING ECONOMIC INDICATORS
    Working Papers, Harvard - J.F. Kennedy School of Government View citations
    See also Chapter (1989)

1988

48. A Probability Model of The Coincident Economic Indicators
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
49. Integrated Regressors and Tests of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
50. PENSIONS, THE OPTION VALUE OF WORK, AND RETIREMENT
    Working Papers, Stanford - Hoover Institution View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) View citations
    See also Journal Article in Econometrica (1990)

1987

51. A Relationship Between Regression Tests and Volatility Tests of Market ncy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
52. Growing in Debt: The 'Farm Crisis' and Public Policy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
53. Interpreting Evidence on Money-Income Causality
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
54. Regression vs. Volatility Tests of the Efficiency of Foreign Exchange Markets
    Economics Working Papers, University of California at Berkeley View citations

1986

55. Semiparametric estimation of weighted average derivatives
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations

Undated

56. Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations
    See also Journal Article in European Economic Review (2003)

Journal Articles

2005

1. Asymptotic properties of the Hahn-Hausman test for weak-instruments
   Economics Letters, 2005, 89, (3), 333-342 View citations
2. Understanding Changes In International Business Cycle Dynamics
   Journal of the European Economic Association, 2005, 3, (5), 968-1006 View citations
   See also Working Paper (2003)

2004

3. Combination forecasts of output growth in a seven-country data set
   Journal of Forecasting, 2004, 23, (6), 405-430 View citations
4. Structural Stability and Models of the Business Cycle
   De Economist, 2004, 152, (2), 197-209 View citations

2003

5. Forecasting Output and Inflation: The Role of Asset Prices
   Journal of Economic Literature, 2003, 41, (3), 788-829 View citations
   Also in Proceedings, 2001, (Mar) (2001) View citations
   See also Working Paper (2001)
6. Has the business cycle changed?
   Proceedings, 2003, 9-56 View citations
7. How did leading indicator forecasts perform during the 2001 recession?
   Economic Quarterly, 2003, (Sum), 71-90
8. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
   European Economic Review, 2003, 47, (1), 1-18 View citations
   See also Working Paper
9. Who Invented Instrumental Variable Regression?
   Journal of Economic Perspectives, 2003, 17, (3), 177-194 View citations

2002

10. A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
    Journal of Business & Economic Statistics, 2002, 20, (4), 518-29 View citations
11. Macroeconomic Forecasting Using Diffusion Indexes
    Journal of Business & Economic Statistics, 2002, 20, (2), 147-62 View citations

2001

12. Confidence intervals for autoregressive coefficients near one
    Journal of Econometrics, 2001, 103, (1-2), 155-181 View citations
13. Macro-econometrics
    Journal of Econometrics, 2001, 100, (1), 29-32
14. Searching for prosperity
    Carnegie-Rochester Conference Series on Public Policy, 2001, 55, (1), 275-303 View citations
    See also Working Paper (2001)
15. Vector Autoregressions
    Journal of Economic Perspectives, 2001, 15, (4), 101-115 View citations

2000

16. GMM with Weak Identification
    Econometrica, 2000, 68, (5), 1055-1096 View citations

1999

17. A dynamic factor model framework for forecast combination
    Spanish Economic Review, 1999, 1, (2), 91-121 View citations
18. Forecasting inflation
    Journal of Monetary Economics, 1999, 44, (2), 293-335 View citations
    See also Working Paper (1999)
19. Robust monetary policy under model uncertainty in a small model of the U.S. economy
    Proceedings, 1999 View citations
    See also Working Paper (2000)

1998

20. Testing for and Dating Common Breaks in Multivariate Time Series
    Review of Economic Studies, 1998, 65, (3), 395-432 View citations

1997

21. Inference in a nearly integrated autoregressive model with nonnormal innovations
    Journal of Econometrics, 1997, 80, (2), 269-286 View citations
22. Instrumental Variables Regression with Weak Instruments
    Econometrica, 1997, 65, (3), 557-586 View citations
    See also Working Paper (1994)
23. The NAIRU, Unemployment and Monetary Policy
    Journal of Economic Perspectives, 1997, 11, (1), 33-49 View citations

1996

24. Efficient Tests for an Autoregressive Unit Root
    Econometrica, 1996, 64, (4), 813-36 View citations
    See also Working Paper (1992)
25. Evidence on Structural Instability in Macroeconomic Time Series Relations
    Journal of Business & Economic Statistics, 1996, 14, (1), 11-30 View citations
    See also Working Paper (1994)
26. Measuring money growth when financial markets are changing
    Journal of Monetary Economics, 1996, 37, (1), 3-27 View citations
    See also Working Paper (1994)
27. VAR, Error Correction and Pretest Forecasts at Long Horizons
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 685-701 View citations

1994

28. Deciding between I(1) and I(0)
    Journal of Econometrics, 1994, 63, (1), 105-131 View citations
    See also Working Paper (1992)

1993

29. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
    Econometrica, 1993, 61, (4), 783-820 View citations
    See also Working Paper (1991)

1992

30. Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence
    Journal of Business & Economic Statistics, 1992, 10, (3), 271-87 View citations

1991

31. Bayesian Approaches to the 'Unit Root' Problem: A Comment
    Journal of Applied Econometrics, 1991, 6, (4), 403-11 View citations
32. Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series
    Journal of Monetary Economics, 1991, 28, (3), 435-459 View citations
    See also Working Paper (1991)
33. Stochastic Trends and Economic Fluctuations
    American Economic Review, 1991, 81, (4), 819-40 View citations
    See also Working Paper (1992)

1990

34. Efficient windows and labor force reduction
    Journal of Public Economics, 1990, 43, (2), 131-159 View citations
    See also Working Paper (1990)
35. Inference in Linear Time Series Models with Some Unit Roots
    Econometrica, 1990, 58, (1), 113-44 View citations
36. Pensions, the Option Value of Work, and Retirement
    Econometrica, 1990, 58, (5), 1151-80 View citations
    See also Working Paper (1988)
37. Unit roots in real GNP: Do we know and do we care?: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1990, 32, (1), 63-82 View citations

1989

38. Semiparametric Estimation of Index Coefficients
    Econometrica, 1989, 57, (6), 1403-30 View citations

1988

39. A Reexamination of Friedman's Consumption Puzzle
    Journal of Business & Economic Statistics, 1988, 6, (4), 401-07 View citations
40. A Reexamination of Friedman's Consumption Puzzle: Reply
    Journal of Business & Economic Statistics, 1988, 6, (4), 413-14 View citations
41. Variable Trends in Economic Time Series
    Journal of Economic Perspectives, 1988, 2, (3), 147-74 View citations

1987

42. Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
    Econometrica, 1987, 55, (5), 1035-56 View citations
43. Demand Disturbances and Aggregate Fluctuations: The Implications of Near Rationality
    Economic Journal, 1987, 97, (385), 49-64
44. Measuring Business Cycle Time
    Journal of Political Economy, 1987, 95, (6), 1240-61 View citations

Chapters

2003

1. Has the Business Cycle Changed and Why?
   A chapter in NBER Macroeconomics Annual 2002, Volume 17, 2003, pp 159-230 View citations
   See also Working Paper (2002)

1999

2. Business cycle fluctuations in us macroeconomic time series
   Chapter 01 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 3-64 View citations
   See also Working Paper (1998)

1997

3. How Precise Are Estimates of the Natural Rate of Unemployment?
   A chapter in Reducing Inflation: Motivation and Strategy, 1997, pp 195-246 View citations
   See also Working Paper (1996)

1996

4. Retirement Incentives: The Interaction between Employer-Provided Pensions, Social Security, and Retiree Health Benefits
   A chapter in The Economic Effects of Aging in the United States and Japan, 1996, pp 261-293
   See also Working Paper (1994)
5. Why Are Retirement Rates So High at Age 65?
   A chapter in Advances in the Economics of Aging, 1996, pp 61-82 View citations
   See also Working Paper (1995)

1994

6. Pension Plan Provisions and Retirement: Men and Women, Medicare, and Models
   A chapter in Studies in the Economics of Aging, 1994, pp 183-222 View citations
7. The Use of a Monetary Aggregate to Target Nominal GDP
   A chapter in Monetary Policy, 1994, pp 7-69 View citations
   See also Working Paper (1993)

1993

8. A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience
   A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 95-156 View citations
   See also Working Paper (1992)
9. Introduction to "Business Cycles, Indicators and Forecasting"
   A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 1-10

1992

10. Three Models of Retirement: Computational Complexity versus Predictive Validity
    A chapter in Topics in the Economics of Aging, 1992, pp 21-60 View citations
    See also Working Paper (1992)

1990

11. The Pension Inducement to Retire: An Option Value Analysis
    A chapter in Issues in the Economics of Aging, 1990, pp 205-230 View citations
    See also Working Paper (1990)

1989

12. New Indexes of Coincident and Leading Economic Indicators
    A chapter in NBER Macroeconomics Annual 1989, Volume 4, 1989, pp 351-409 View citations
    See also Working Paper (1989)

1986

13. Unit roots, structural breaks and trends
    Chapter 46 in Handbook of Econometrics, 1986, vol. 4, pp 2739-2841