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Details about James H. Stock

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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

2012

  1. Disentangling the Channels of the 2007-2009 Recession
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)

2011

  1. Forecasts in a Slightly Misspecified Finite Order VAR
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2010

  1. Estimating Turning Points Using Large Data Sets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. Modeling Inflation After the Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)

2008

  1. Phillips Curve Inflation Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)

2006

  1. Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
  2. Why Has U.S. Inflation Become Harder to Forecast?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)

2005

  1. A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (34)
  2. Implications of Dynamic Factor Models for VAR Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (233)
  3. Inference with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (34)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2005) Downloads View citations (39)

2004

  1. Optimal Invariant Similar Tests for Instrumental Variables Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2004) Downloads View citations (12)

2003

  1. Understanding Changes in International Business Cycle Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (95)
    See also Journal Article in Journal of the European Economic Association (2005)
  2. caschool
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  3. oj
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads

2002

  1. Has the Business Cycle Changed and Why?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (409)
    See also Chapter (2003)
  2. Testing for Weak Instruments in Linear IV Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (590)

2001

  1. Empirical Bayes Forecasts of One Time Series Using Many Predictors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (5)
  2. Forecasting Output and Inflation: The Role of Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (73)
    See also Journal Article in Journal of Economic Literature (2003)
  3. Prices, Wages and the U.S. NAIRU in the 1990s
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
  4. Searching for Prosperity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (72)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (2001)

2000

  1. Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
    See also Journal Article in Proceedings (1999)

1999

  1. Forecasting Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (430)
    See also Journal Article in Journal of Monetary Economics (1999)

1998

  1. A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (56)
  2. Business Cycle Fluctuations in U.S. Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (99)
    See also Chapter (1999)
  3. Diffusion Indexes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (169)

1996

  1. Asymptotically Median Unbiased Estimation of Coefficient Variance in a Time Varying Parameter Model
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. Asymptotics for GMM Estimators with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  3. How Precise are Estimates of the Natural Rate of Unemployment?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (99)
    See also Chapter (1997)

1995

  1. Why are Retirement Rates So High at Age 65?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Chapter (1996)

1994

  1. Evidence on Structural Instability in Macroeconomic Time Series Relations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (12)

    See also Journal Article in Journal of Business & Economic Statistics (1996)
  2. Instrumental Variables Regression with Weak Instruments
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (64)
    See also Journal Article in Econometrica (1997)
  3. Measuring Money Growth When Financial Markets Are Changing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Journal Article in Journal of Monetary Economics (1996)
  4. Retirement Incentives: The Interaction between Employer-Provided Pensions, Social Security, and Retiree Health Benefits
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Chapter (1996)

1993

  1. The Use of Monetary Aggregate to Target Nominal GDP
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (41)
    See also Chapter (1994)

1992

  1. A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)
    See also Chapter (1993)
  2. 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 (6)
  3. Deciding Between I(1) and I(0)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Econometrics (1994)
  4. Efficient Tests for an Autoregressive Unit Root
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (49)
    See also Journal Article in Econometrica (1996)
  5. 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 Downloads View citations (3)
  6. Pension Plan Provisions and Retirement: Men & Women, Medicare, and Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)

1991

  1. A simple estimator of cointegrating vectors in higher order integrated systems
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (5)
    See also Journal Article in Econometrica (1993)
  2. Confidence Intervals for the Largest Autoresgressive Root in U.S. Macroeconomic Time Series
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Journal of Monetary Economics (1991)
  3. Stochastic trends and economic fluctuations
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (512)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) Downloads View citations (38)

    See also Journal Article in American Economic Review (1991)

1990

  1. Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  2. Drawing Inferences From Statistics Based on Multi-Year Asset Returns
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (33)
  3. Efficient Windows and Labor Force Reduction
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (18)
    See also Journal Article in Journal of Public Economics (1990)
  4. Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Business & Economic Statistics (1992)
  5. Three Models of Retirement: Computational Complexity Versus Predictive Validity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (53)
    See also Chapter (1992)

1989

  1. A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  2. NEW INDEXES OF COINCIDENT AND LEADING ECONOMIC INDICATORS
    Working Papers, Harvard - J.F. Kennedy School of Government View citations (378)
    See also Chapter (1989)

1988

  1. A Probability Model of The Coincident Economic Indicators
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (68)
  2. Integrated Regressors and Tests of the Permanent Income Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  3. Pensions, The Option Value of Work, and Retirement
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article in Econometrica (1990)
  4. The Pension Inducement to Retire: An Option Value Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (46)
    See also Chapter (1990)

1987

  1. Growing in Debt: The 'Farm Crisis' and Public Policy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. Interpreting Evidence on Money-Income Causality
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (39)
  3. Regression vs. Volatility Tests of the Efficiency of Foreign Exchange Markets
    Economics Working Papers, University of California at Berkeley View citations (3)

1986

  1. Semiparametric estimation of weighted average derivatives
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management Downloads View citations (5)

1983

  1. A Relationship Between Regression Tests and Volatility Tests of Market ncy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

Undated

  1. Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (9)
    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 Downloads View citations (27)
  2. Understanding Changes In International Business Cycle Dynamics
    Journal of the European Economic Association, 2005, 3, (5), 968-1006 Downloads View citations (130)
    See also Working Paper (2003)

2004

  1. Combination forecasts of output growth in a seven-country data set
    Journal of Forecasting, 2004, 23, (6), 405-430 Downloads View citations (150)
  2. Structural Stability and Models of the Business Cycle
    De Economist, 2004, 152, (2), 197-209 Downloads View citations (1)

2003

  1. Forecasting Output and Inflation: The Role of Asset Prices
    Journal of Economic Literature, 2003, 41, (3), 788-829 Downloads View citations (296)
    Also in Proceedings, 2001, (Mar) (2001) Downloads View citations (63)

    See also Working Paper (2001)
  2. Has the business cycle changed?
    Proceedings - Economic Policy Symposium - Jackson Hole, 2003, 9-56 Downloads View citations (83)
  3. How did leading indicator forecasts perform during the 2001 recession?
    Economic Quarterly, 2003, (Sum), 71-90 Downloads View citations (11)
  4. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
    European Economic Review, 2003, 47, (1), 1-18 Downloads View citations (136)
    See also Working Paper
  5. Retrospectives: Who Invented Instrumental Variable Regression?
    Journal of Economic Perspectives, 2003, 17, (3), 177-194 Downloads View citations (20)

2002

  1. 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 (584)
  2. Macroeconomic Forecasting Using Diffusion Indexes
    Journal of Business & Economic Statistics, 2002, 20, (2), 147-62 View citations (479)

2001

  1. Confidence intervals for autoregressive coefficients near one
    Journal of Econometrics, 2001, 103, (1-2), 155-181 Downloads View citations (27)
  2. Macro-econometrics
    Journal of Econometrics, 2001, 100, (1), 29-32 Downloads View citations (1)
  3. Searching for prosperity
    Carnegie-Rochester Conference Series on Public Policy, 2001, 55, (1), 275-303 Downloads View citations (52)
    See also Working Paper (2001)
  4. Vector Autoregressions
    Journal of Economic Perspectives, 2001, 15, (4), 101-115 Downloads View citations (154)

2000

  1. GMM with Weak Identification
    Econometrica, 2000, 68, (5), 1055-1096 View citations (157)

1999

  1. A dynamic factor model framework for forecast combination
    Spanish Economic Review, 1999, 1, (2), 91-121 Downloads View citations (14)
  2. Forecasting inflation
    Journal of Monetary Economics, 1999, 44, (2), 293-335 Downloads View citations (444)
    See also Working Paper (1999)
  3. Robust monetary policy under model uncertainty in a small model of the U.S. economy
    Proceedings, 1999 View citations (93)
    See also Working Paper (2000)

1998

  1. Testing for and Dating Common Breaks in Multivariate Time Series
    Review of Economic Studies, 1998, 65, (3), 395-432 Downloads View citations (150)

1997

  1. Inference in a nearly integrated autoregressive model with nonnormal innovations
    Journal of Econometrics, 1997, 80, (2), 269-286 Downloads View citations (22)
  2. Instrumental Variables Regression with Weak Instruments
    Econometrica, 1997, 65, (3), 557-586 View citations (1518)
    See also Working Paper (1994)
  3. The NAIRU, Unemployment and Monetary Policy
    Journal of Economic Perspectives, 1997, 11, (1), 33-49 Downloads View citations (204)

1996

  1. Efficient Tests for an Autoregressive Unit Root
    Econometrica, 1996, 64, (4), 813-36 Downloads View citations (1392)
    See also Working Paper (1992)
  2. Evidence on Structural Instability in Macroeconomic Time Series Relations
    Journal of Business & Economic Statistics, 1996, 14, (1), 11-30 View citations (271)
    See also Working Paper (1994)
  3. Measuring money growth when financial markets are changing
    Journal of Monetary Economics, 1996, 37, (1), 3-27 Downloads View citations (7)
    See also Working Paper (1994)
  4. VAR, Error Correction and Pretest Forecasts at Long Horizons
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 685-701 View citations (21)

1994

  1. Deciding between I(1) and I(0)
    Journal of Econometrics, 1994, 63, (1), 105-131 Downloads View citations (13)
    See also Working Paper (1992)

1993

  1. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
    Econometrica, 1993, 61, (4), 783-820 Downloads View citations (891)
    See also Working Paper (1991)

1992

  1. 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 (340)
    See also Working Paper (1990)

1991

  1. Bayesian Approaches to the 'Unit Root' Problem: A Comment
    Journal of Applied Econometrics, 1991, 6, (4), 403-11 Downloads View citations (1)
  2. Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series
    Journal of Monetary Economics, 1991, 28, (3), 435-459 Downloads View citations (96)
    See also Working Paper (1991)
  3. Stochastic Trends and Economic Fluctuations
    American Economic Review, 1991, 81, (4), 819-40 Downloads View citations (583)
    See also Working Paper (1991)

1990

  1. Efficient windows and labor force reduction
    Journal of Public Economics, 1990, 43, (2), 131-159 Downloads View citations (18)
    See also Working Paper (1990)
  2. Inference in Linear Time Series Models with Some Unit Roots
    Econometrica, 1990, 58, (1), 113-44 Downloads View citations (542)
  3. Pensions, the Option Value of Work, and Retirement
    Econometrica, 1990, 58, (5), 1151-80 Downloads View citations (179)
    See also Working Paper (1988)
  4. 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 Downloads View citations (5)

1989

  1. Semiparametric Estimation of Index Coefficients
    Econometrica, 1989, 57, (6), 1403-30 Downloads View citations (191)

1988

  1. A Reexamination of Friedman's Consumption Puzzle
    Journal of Business & Economic Statistics, 1988, 6, (4), 401-07 View citations (3)
  2. A Reexamination of Friedman's Consumption Puzzle: Reply
    Journal of Business & Economic Statistics, 1988, 6, (4), 413-14 View citations (1)
  3. Variable Trends in Economic Time Series
    Journal of Economic Perspectives, 1988, 2, (3), 147-74 Downloads View citations (118)

1987

  1. Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
    Econometrica, 1987, 55, (5), 1035-56 Downloads View citations (283)
  2. Demand Disturbances and Aggregate Fluctuations: The Implications of Near Rationality
    Economic Journal, 1987, 97, (385), 49-64 Downloads View citations (5)
  3. Measuring Business Cycle Time
    Journal of Political Economy, 1987, 95, (6), 1240-61 Downloads View citations (31)

Chapters

2003

  1. Has the Business Cycle Changed and Why?
    A chapter in NBER Macroeconomics Annual 2002, Volume 17, 2003, pp 159-230 Downloads View citations (62)
    See also Working Paper (2002)

1999

  1. Business cycle fluctuations in us macroeconomic time series
    Chapter 01 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 3-64 Downloads View citations (113)
    See also Working Paper (1998)

1997

  1. How Precise Are Estimates of the Natural Rate of Unemployment?
    A chapter in Reducing Inflation: Motivation and Strategy, 1997, pp 195-246 Downloads View citations (126)
    See also Working Paper (1996)

1996

  1. 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 Downloads View citations (1)
    See also Working Paper (1994)
  2. Why Are Retirement Rates So High at Age 65?
    A chapter in Advances in the Economics of Aging, 1996, pp 61-82 Downloads View citations (14)
    See also Working Paper (1995)

1994

  1. Pension Plan Provisions and Retirement: Men and Women, Medicare, and Models
    A chapter in Studies in the Economics of Aging, 1994, pp 183-222 Downloads View citations (11)
  2. The Use of a Monetary Aggregate to Target Nominal GDP
    A chapter in Monetary Policy, 1994, pp 7-69 Downloads View citations (49)
    See also Working Paper (1993)

1993

  1. 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 Downloads View citations (52)
    See also Working Paper (1992)
  2. Introduction to "Business Cycles, Indicators and Forecasting"
    A chapter in Business Cycles, Indicators and Forecasting, 1993, pp 1-10 Downloads View citations (16)

1992

  1. Three Models of Retirement: Computational Complexity versus Predictive Validity
    A chapter in Topics in the Economics of Aging, 1992, pp 21-60 Downloads View citations (43)
    See also Working Paper (1990)

1990

  1. The Pension Inducement to Retire: An Option Value Analysis
    A chapter in Issues in the Economics of Aging, 1990, pp 205-230 Downloads View citations (45)
    See also Working Paper (1988)

1989

  1. New Indexes of Coincident and Leading Economic Indicators
    A chapter in NBER Macroeconomics Annual 1989, Volume 4, 1989, pp 351-409 Downloads View citations (422)
    See also Working Paper (1989)

1986

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

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