EconPapers    
Economics at your fingertips  
 

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


Jump to Journal Articles Chapters Software Items

Working Papers

2024

  1. Principal Component Analysis for Nonstationary Series
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2021

  1. Online Appendix to "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment"
    Online Appendices, Review of Economic Dynamics Downloads
    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) Downloads View citations (2) (2022)
  2. Supply, Demand, and Specialized Production
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

2020

  1. Advances in Structural Vector Autoregressions with Imperfect Identifying Information
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  2. Advances in Using Vector Autoregressions to Estimate Structural Magnitudes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  3. Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (34)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads View citations (36)

    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) Downloads View citations (36) (2020)
  4. Measuring Labor-Force Participation and the Incidence and Duration of Unemployment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2019) Downloads

    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) Downloads View citations (2) (2022)

2019

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

2018

  1. A Skeptical View of the Impact of the Fed’s Balance Sheet
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (17)
  2. Factors in Unemployment Dynamics
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads
  3. 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 Downloads View citations (76)
  4. 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 Downloads View citations (76)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2018) Downloads View citations (14)

    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) Downloads View citations (66) (2018)

2017

  1. Robust Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    Also in CESifo Working Paper Series, CESifo (2015) Downloads View citations (12)
    Working Paper Series, Federal Reserve Bank of San Francisco (2015) Downloads View citations (5)
  2. 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 Downloads View citations (16)
  3. 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 Downloads View citations (16)
  4. Why You Should Never Use the Hodrick-Prescott Filter
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (169)

2016

  1. Heterogeneity and Unemployment Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Working Papers, eSocialSciences (2016) Downloads View citations (10)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) Downloads View citations (3)
  2. Macroeconomic Regimes and Regime Shifts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (62)
    See also Chapter Macroeconomic Regimes and Regime Shifts, Handbook of Macroeconomics, Elsevier (2016) Downloads View citations (55) (2016)

2015

  1. The Equilibrium Real Funds Rate: Past, Present and Future
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (132)
    See also Journal Article The Equilibrium Real Funds Rate: Past, Present, and Future, IMF Economic Review, Palgrave Macmillan (2016) Downloads View citations (131) (2016)

2014

  1. Effects of Index-Fund Investing on Commodity Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
  2. Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Journal Article Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information, Econometrica, Econometric Society (2015) Downloads View citations (260) (2015)
  3. The Changing Face of World Oil Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)

2013

  1. Crunch Time: Fiscal Crises and the Role of Monetary Policy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (63)
  2. Off-Balance-Sheet Federal Liabilities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Risk Premia in Crude Oil Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
    See also Journal Article Risk premia in crude oil futures prices, Journal of International Money and Finance, Elsevier (2014) Downloads View citations (173) (2014)

2012

  1. Identification and Estimation of Gaussian Affine Term Structure Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (113)
    See also Journal Article Identification and estimation of Gaussian affine term structure models, Journal of Econometrics, Elsevier (2012) Downloads View citations (122) (2012)
  2. Oil Prices, Exhaustible Resources, and Economic Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)

2011

  1. Historical Oil Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (163)
  2. Testable Implications of Affine Term Structure Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article Testable implications of affine term structure models, Journal of Econometrics, Elsevier (2014) Downloads View citations (26) (2014)
  3. The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (73)
    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) Downloads View citations (449) (2012)
  4. The Propagation of Regional Recessions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads View citations (24)

    See also Journal Article The Propagation of Regional Recessions, The Review of Economics and Statistics, MIT Press (2012) Downloads View citations (91) (2012)

2010

  1. Calling Recessions in Real Time
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article Calling recessions in real time, International Journal of Forecasting, Elsevier (2011) Downloads View citations (110) (2011)
  2. Causes and consequences of the oil shock of 2007–08
    FRB Atlanta CQER Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (742)

    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) Downloads View citations (739) (2009)
  3. Estimating the Market-Perceived Monetary Policy Rule
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Estimating the Market-Perceived Monetary Policy Rule, American Economic Journal: Macroeconomics, American Economic Association (2011) Downloads View citations (29) (2011)
  4. Nonlinearities and the Macroeconomic Effects of Oil Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)
    See also Journal Article NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES, Macroeconomic Dynamics, Cambridge University Press (2011) Downloads View citations (282) (2011)
  5. Sources of Variation in Holding Returns for Fed Funds Futures Contracts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (5) (2011)

2009

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

2008

  1. Daily Monetary Policy Shocks and the Delayed Response of New Home Sales
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (73)
  2. Macroeconomics and ARCH
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (46)
  3. Understanding Crude Oil Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (170)
    See also Journal Article Understanding Crude Oil Prices, The Energy Journal, International Association for Energy Economics (2009) Downloads View citations (574) (2009)

2007

  1. Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. Daily Changes in Fed Funds Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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 (41) (2009)

2005

  1. Dating Business Cycle Turning Points
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (69)
  2. What's Real About the Business Cycle?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (33)
    See also Journal Article What's real about the business cycle?, Review, Federal Reserve Bank of St. Louis (2005) Downloads View citations (28) (2005)

2004

  1. Normalization in econometrics
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (19)
    See also Journal Article Normalization in Econometrics, Econometric Reviews, Taylor & Francis Journals (2007) Downloads View citations (58) (2007)

2003

  1. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    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 (94) (2004)

2001

  1. 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 Downloads View citations (53)

2000

  1. A Model for the Federal Funds Rate Target
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (29)
    Also in Department of Economics, California Davis - Department of Economics Downloads View citations (27)

    See also Journal Article A Model of the Federal Funds Rate Target, Journal of Political Economy, University of Chicago Press (2002) Downloads View citations (147) (2002)
  2. 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 Downloads View citations (34)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads 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 (157) (2002)
  3. What is an Oil Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (77)
    See also Journal Article What is an oil shock?, Journal of Econometrics, Elsevier (2003) Downloads View citations (1375) (2003)

1999

  1. A Parametric Approach to Flexible Nonlinear Inference
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego Downloads View citations (2)
    See also Journal Article A Parametric Approach to Flexible Nonlinear Inference, Econometrica, Econometric Society (2001) View citations (134) (2001)

1996

  1. 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) Downloads View citations (134) (1997)

1989

  1. 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 Downloads View citations (11)

1985

  1. On the Limitations of Government Borrowing: A Framework for Empirical Testing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article On the Limitations of Government Borrowing: A Framework for EmpiricalTesting, American Economic Review, American Economic Association (1986) Downloads View citations (515) (1986)

Journal Articles

2022

  1. Measuring Labor-Force Participation and the Incidence and Duration of Unemployment
    Review of Economic Dynamics, 2022, 44, 1-32 Downloads View citations (2)
    See also Working Paper Measuring Labor-Force Participation and the Incidence and Duration of Unemployment, NBER Working Papers (2020) Downloads View citations (9) (2020)
    Working Paper Online Appendix to "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment", Online Appendices (2021) Downloads (2021)
    Software Item Code and data files for "Measuring Labor-Force Participation and the Incidence and Duration of Unemployment", Computer Codes (2021) Downloads (2021)

2021

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

2020

  1. Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions
    Journal of International Money and Finance, 2020, 109, (C) Downloads View citations (36)
    See also Working Paper Drawing Conclusions from Structural Vector Autoregressions Identified on the Basis of Sign Restrictions, CEPR Discussion Papers (2020) Downloads View citations (34) (2020)

2019

  1. 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 Downloads

2018

  1. 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 Downloads View citations (66)
    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) Downloads View citations (76) (2018)

2016

  1. Do macro variables help forecast interest rates?
    FRBSF Economic Letter, 2016 Downloads
  2. The Equilibrium Real Funds Rate: Past, Present, and Future
    IMF Economic Review, 2016, 64, (4), 660-707 Downloads View citations (131)
    See also Working Paper The Equilibrium Real Funds Rate: Past, Present and Future, NBER Working Papers (2015) Downloads View citations (132) (2015)

2015

  1. Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
    Econometrica, 2015, 83, (5), 1963-1999 Downloads View citations (260)
    See also Working Paper Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information, NBER Working Papers (2014) Downloads View citations (12) (2014)

2014

  1. Risk premia in crude oil futures prices
    Journal of International Money and Finance, 2014, 42, (C), 9-37 Downloads View citations (173)
    See also Working Paper Risk Premia in Crude Oil Futures Prices, NBER Working Papers (2013) Downloads View citations (12) (2013)
  2. Testable implications of affine term structure models
    Journal of Econometrics, 2014, 178, (P2), 231-242 Downloads View citations (26)
    See also Working Paper Testable Implications of Affine Term Structure Models, NBER Working Papers (2011) Downloads View citations (9) (2011)

2012

  1. Identification and estimation of Gaussian affine term structure models
    Journal of Econometrics, 2012, 168, (2), 315-331 Downloads View citations (122)
    See also Working Paper Identification and Estimation of Gaussian Affine Term Structure Models, NBER Working Papers (2012) Downloads View citations (113) (2012)
  2. Import Prices and Inflation
    International Journal of Central Banking, 2012, 8, (1), 271-279 Downloads View citations (7)
  3. The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    Journal of Money, Credit and Banking, 2012, 44, 3-46 Downloads View citations (449)
    See also Working Paper The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, NBER Working Papers (2011) Downloads View citations (73) (2011)
  4. The Propagation of Regional Recessions
    The Review of Economics and Statistics, 2012, 94, (4), 935-947 Downloads View citations (91)
    See also Working Paper The Propagation of Regional Recessions, NBER Working Papers (2011) Downloads View citations (7) (2011)

2011

  1. Calling recessions in real time
    International Journal of Forecasting, 2011, 27, (4), 1006-1026 Downloads View citations (110)
    See also Working Paper Calling Recessions in Real Time, NBER Working Papers (2010) Downloads View citations (13) (2010)
  2. Estimating the Market-Perceived Monetary Policy Rule
    American Economic Journal: Macroeconomics, 2011, 3, (3), 1-28 Downloads View citations (29)
    See also Working Paper Estimating the Market-Perceived Monetary Policy Rule, NBER Working Papers (2010) Downloads View citations (1) (2010)
  3. NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES
    Macroeconomic Dynamics, 2011, 15, (S3), 364-378 Downloads View citations (282)
    See also Working Paper Nonlinearities and the Macroeconomic Effects of Oil Prices, NBER Working Papers (2010) Downloads View citations (27) (2010)
  4. Response to comments
    International Journal of Forecasting, 2011, 27, (4), 1039-1040 Downloads
  5. Sources of variation in holding returns for fed funds futures contracts
    Journal of Futures Markets, 2011, 31, (3), 205-229 Downloads View citations (5)
    See also Working Paper Sources of Variation in Holding Returns for Fed Funds Futures Contracts, NBER Working Papers (2010) Downloads View citations (5) (2010)

2009

  1. Causes and Consequences of the Oil Shock of 2007-08
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 215-283 Downloads View citations (739)
    See also Working Paper Causes and consequences of the oil shock of 2007–08, FRB Atlanta CQER Working Paper (2010) Downloads View citations (1) (2010)
  2. Daily Changes in Fed Funds Futures Prices
    Journal of Money, Credit and Banking, 2009, 41, (4), 567-582 View citations (41)
    See also Working Paper Daily Changes in Fed Funds Futures Prices, NBER Working Papers (2007) Downloads View citations (6) (2007)
  3. Understanding Crude Oil Prices
    The Energy Journal, 2009, Volume 30, (Number 2), 179-206 Downloads View citations (574)
    See also Working Paper Understanding Crude Oil Prices, NBER Working Papers (2008) Downloads View citations (170) (2008)

2008

  1. Assessing monetary policy effects using daily federal funds futures contracts
    Review, 2008, 90, (Jul), 377-394 Downloads View citations (18)
  2. Daily monetary policy shocks and new home sales
    Journal of Monetary Economics, 2008, 55, (7), 1171-1190 Downloads View citations (71)
  3. INSIDE THE ECONOMIST'S MIND
    Macroeconomic Dynamics, 2008, 12, (1), 112-116 Downloads

2007

  1. Housing and the monetary transmission mechanism: commentary
    Proceedings - Economic Policy Symposium - Jackson Hole, 2007, 415-422 Downloads
  2. Normalization in Econometrics
    Econometric Reviews, 2007, 26, (2-4), 221-252 Downloads View citations (58)
    See also Working Paper Normalization in econometrics, FRB Atlanta Working Paper (2004) Downloads View citations (19) (2004)

2005

  1. Comment on "Investigating Nonlinearity"
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (3), 1-10 Downloads View citations (5)
  2. What's real about the business cycle?
    Review, 2005, 87, (Jul), 435-452 Downloads View citations (28)
    See also Working Paper What's Real About the Business Cycle?, NBER Working Papers (2005) Downloads View citations (33) (2005)

2004

  1. 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 (482)
  2. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments
    Proceedings, 2004, (Mar) Downloads
  3. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
    Journal of Money, Credit and Banking, 2004, 36, (1), 17-37 View citations (94)
    See also Working Paper Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices, NBER Working Papers (2003) Downloads View citations (16) (2003)

2003

  1. Comment on "A comparison of two business cycle dating methods"
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1691-1693 Downloads View citations (32)
  2. What is an oil shock?
    Journal of Econometrics, 2003, 113, (2), 363-398 Downloads View citations (1375)
    See also Working Paper What is an Oil Shock?, NBER Working Papers (2000) Downloads View citations (77) (2000)

2002

  1. A Model of the Federal Funds Rate Target
    Journal of Political Economy, 2002, 110, (5), 1135-1167 Downloads View citations (147)
    See also Working Paper A Model for the Federal Funds Rate Target, NBER Working Papers (2000) Downloads View citations (29) (2000)
  2. 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 (157)
    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) Downloads View citations (34) (2000)
  3. New directions in business cycle research and financial analysis
    Empirical Economics, 2002, 27, (2), 149-162 Downloads View citations (28)
  4. On the interpretation of cointegration in the linear-quadratic inventory model
    Journal of Economic Dynamics and Control, 2002, 26, (12), 2037-2049 Downloads View citations (14)

2001

  1. A Parametric Approach to Flexible Nonlinear Inference
    Econometrica, 2001, 69, (3), 537-73 View citations (134)
    See also Working Paper A Parametric Approach to Flexible Nonlinear Inference, University of California at San Diego, Economics Working Paper Series (1999) Downloads View citations (2) (1999)

2000

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

1998

  1. The augmented Solow model and the productivity slowdown
    Journal of Monetary Economics, 1998, 42, (3), 495-509 Downloads View citations (55)
  2. The supply and demand for Federal Reserve deposits
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 1-44 Downloads View citations (19)

1997

  1. Comment on "U.S. Oil Consumption, Oil Prices, and the Macroeconomy."
    Empirical Economics, 1997, 22, (1), 153-56 View citations (1)
  2. Measuring the Liquidity Effect
    American Economic Review, 1997, 87, (1), 80-97 Downloads View citations (134)
    See also Working Paper Measuring the liquidity effect, Working Papers in Applied Economic Theory (1996) View citations (5) (1996)

1996

  1. Specification testing in Markov-switching time-series models
    Journal of Econometrics, 1996, 70, (1), 127-157 Downloads View citations (225)
  2. Stock Market Volatility and the Business Cycle
    Journal of Applied Econometrics, 1996, 11, (5), 573-93 Downloads View citations (355)
  3. The Daily Market for Federal Funds
    Journal of Political Economy, 1996, 104, (1), 26-56 Downloads View citations (285)
  4. This is what happened to the oil price-macroeconomy relationship
    Journal of Monetary Economics, 1996, 38, (2), 215-220 Downloads View citations (1035)
  5. What Do the Leading Indicators Lead?
    The Journal of Business, 1996, 69, (1), 27-49 Downloads View citations (89)

1994

  1. Autoregressive conditional heteroskedasticity and changes in regime
    Journal of Econometrics, 1994, 64, (1-2), 307-333 Downloads View citations (870)

1992

  1. Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market
    American Economic Review, 1992, 82, (1), 157-78 Downloads View citations (88)

1991

  1. 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)
  2. The Quantitative Significance of the Lucas Critique: Comment
    Journal of Business & Economic Statistics, 1991, 9, (4), 388-89
  3. 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 Downloads

1990

  1. Analysis of time series subject to changes in regime
    Journal of Econometrics, 1990, 45, (1-2), 39-70 Downloads View citations (968)
  2. Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
    American Economic Review, 1990, 80, (4), 689-713 Downloads View citations (628)

1989

  1. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
    Econometrica, 1989, 57, (2), 357-84 Downloads View citations (4719)
  2. The long-run behavior of the velocity of circulation: A review essay
    Journal of Monetary Economics, 1989, 23, (2), 335-344 Downloads View citations (9)

1988

  1. A Neoclassical Model of Unemployment and the Business Cycle
    Journal of Political Economy, 1988, 96, (3), 593-617 Downloads View citations (337)
  2. Are the macroeconomic effects of oil-price changes symmetric?: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1988, 28, (1), 369-378 Downloads View citations (28)
  3. ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION
    Contemporary Economic Policy, 1988, 6, (2), 67-89 Downloads View citations (28)
  4. 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 Downloads View citations (471)

1987

  1. Monetary factors in the great depression
    Journal of Monetary Economics, 1987, 19, (2), 145-169 Downloads View citations (121)

1986

  1. A standard error for the estimated state vector of a state-space model
    Journal of Econometrics, 1986, 33, (3), 387-397 Downloads View citations (93)
  2. Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering
    Journal of Business & Economic Statistics, 1986, 4, (2), 147-60 View citations (27)
  3. On Testing for Self-fulfilling Speculative Price Bubbles
    International Economic Review, 1986, 27, (3), 545-52 Downloads View citations (33)
  4. On the Limitations of Government Borrowing: A Framework for EmpiricalTesting
    American Economic Review, 1986, 76, (4), 808-19 Downloads View citations (515)
    See also Working Paper On the Limitations of Government Borrowing: A Framework for Empirical Testing, NBER Working Papers (1985) Downloads View citations (8) (1985)

1985

  1. Historical Causes of Postwar Oil Shocks and Recessions
    The Energy Journal, 1985, Volume 6, (Number 1), 97-116 Downloads View citations (119)
  2. The observable implications of self-fulfilling expectations
    Journal of Monetary Economics, 1985, 16, (3), 353-373 Downloads View citations (100)
  3. Uncovering Financial Market Expectations of Inflation
    Journal of Political Economy, 1985, 93, (6), 1224-41 Downloads View citations (43)

1983

  1. Oil and the Macroeconomy since World War II
    Journal of Political Economy, 1983, 91, (2), 228-48 Downloads View citations (2054)

Chapters

2016

  1. Macroeconomic Regimes and Regime Shifts
    Elsevier Downloads View citations (55)
    See also Working Paper Macroeconomic Regimes and Regime Shifts, National Bureau of Economic Research, Inc (2016) Downloads View citations (62) (2016)

2009

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

1986

  1. State-space models
    Chapter 50 in Handbook of Econometrics, 1986, vol. 4, pp 3039-3080 Downloads 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 Downloads
    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) Downloads View citations (2) (2022)
 
Page updated 2024-05-16