Details about Mark W. Watson

Homepage:	http://www.princeton.edu/~mwatson/
Workplace:	Department of Economics, Princeton University, (more information at EDIRC)

Access statistics for papers by Mark W. Watson.

Last updated 2018-12-11. Update your information in the RePEc Author Service.

Short-id: pwa582

---

Jump to Journal Articles Books Edited books Chapters

Working Papers

2022

1. Aggregate Implications of Changing Sectoral Trends
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (8)
   Also in Working Paper, Federal Reserve Bank of Richmond (2019) View citations (12)
   NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (12)

2019

2. An Econometric Model of International Long-run Growth Dynamics
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
3. Slack and Cyclically Sensitive Inflation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)

2018

4. Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (294)
   See also Journal Article in Economic Journal (2018)
5. The Road to Cyberinfrastructure at the Federal Reserve Bank of Kansas City
   Technical Briefings, Federal Reserve Bank of Kansas City View citations (1)

2017

6. Long-Run Covariability
   NBER Working Papers, National Bureau of Economic Research, Inc
7. The Disappointing Recovery of Output after 2009
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (113)
   Also in Working Paper Series, Federal Reserve Bank of San Francisco (2017) View citations (48)
   See also Journal Article in Brookings Papers on Economic Activity (2017)
8. The Slow Recovery in Output after 2009
   2017 Meeting Papers, Society for Economic Dynamics View citations (7)

2015

9. Core Inflation and Trend Inflation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
   See also Journal Article in The Review of Economics and Statistics (2016)
10. Low-Frequency Econometrics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2014

11. Presidents and the U.S. Economy: An Econometric Exploration
    Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies. View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (1)
    See also Journal Article in American Economic Review (2016)

2013

12. Consistent Factor Estimation in Dynamic Factor Models with Structural Instability
    Scholarly Articles, Harvard University Department of Economics View citations (90)
    Also in Working Paper, Harvard University OpenScholar View citations (70)
    See also Journal Article in Journal of Econometrics (2013)
13. Measuring Uncertainty About Long-Run Forecasts
    Annual Meeting Plenary, Society for Economic Dynamics View citations (2)
14. Measuring Uncertainty about Long-Run Prediction
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article in Review of Economic Studies (2016)

2012

15. Disentangling the Channels of the 2007-2009 Recession
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (403)
16. Inflation and Unit Labor Cost
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (40)
    See also Journal Article in Journal of Money, Credit and Banking (2012)

2011

17. Dynamic Factor Models
    Scholarly Articles, Harvard University Department of Economics View citations (249)

2010

18. Estimating Turning Points Using Large Data Sets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    See also Journal Article in Journal of Econometrics (2014)
19. Financial Conditions Indexes: A Fresh Look after the Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (246)
20. Modeling Inflation After the Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (138)
    See also Journal Article in Proceedings - Economic Policy Symposium - Jackson Hole (2010)

2009

21. Low-Frequency Robust Cointegration Testing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Journal of Econometrics (2013)

2008

22. Aggregate Shocks and the Variability of Industrial Production
    2008 Meeting Papers, Society for Economic Dynamics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (22)
    Working Paper, Federal Reserve Bank of Richmond (2008) View citations (56)
    See also Journal Article in Journal of Political Economy (2011)
23. Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
    Scholarly Articles, Harvard University Department of Economics View citations (257)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2006) View citations (38)
    See also Journal Article in Econometrica (2008)
24. Phillips Curve Inflation Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (190)
    See also Journal Article in Conference Series ; [Proceedings] (2008)
25. The Evolution of National and Regional Factors in U.S. Housing Construction
    Scholarly Articles, Harvard University Department of Economics View citations (28)

2007

26. Measuring changes in the value of the numeraire
    2007 Meeting Papers, Society for Economic Dynamics View citations (5)
    Also in Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) (2007) View citations (8)
27. Relative Goods' Prices, Pure Inflation, and the Phillips Correlation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article in American Economic Journal: Macroeconomics (2010)
28. Relative Goods? Prices and Pure Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)

2006

29. Testing Models of Low-Frequency Variability
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article in Econometrica (2008)
30. Why Has U.S. Inflation Become Harder to Forecast?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
    See also Journal Article in Journal of Money, Credit and Banking (2007)

2005

31. 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 (43)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) View citations (22)
    See also Journal Article in Journal of Econometrics (2006)
32. Implications of Dynamic Factor Models for VAR Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (675)

2003

33. Understanding Changes in International Business Cycle Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (139)
    See also Journal Article in Journal of the European Economic Association (2005)

2002

34. Has the Business Cycle Changed and Why?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1133)
    See also Chapter (2003)

2001

35. 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 (10)
36. Forecasting Output and Inflation: The Role of Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (122)
    See also Journal Article in Journal of Economic Literature (2003)
37. Prices, Wages and the U.S. NAIRU in the 1990s
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)

1999

38. Forecasting Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (877)
    See also Journal Article in Journal of Monetary Economics (1999)

1998

39. A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (103)
40. Business Cycle Fluctuations in U.S. Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (142)
    See also Chapter (1999)
41. Diffusion Indexes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (211)

1996

42. 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 (14)
43. How Precise are Estimates of the Natural Rate of Unemployment?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (128)
    See also Chapter (1997)

1995

44. Money, prices, interest rates and the business cycle
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (48)
    See also Journal Article in The Review of Economics and Statistics (1996)

1994

45. Estimating Deterministic Trends in the Presence of Serially Correlated Errors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (1)
    See also Journal Article in The Review of Economics and Statistics (1997)
46. Evidence on Structural Instability in Macroeconomic Time Series Relations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (15)
    See also Journal Article in Journal of Business & Economic Statistics (1996)
47. Testing for Cointegration When Some of the Contributing Vectors are Known
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (1)
48. The post-war U.S. Phillips curve: a revisionist econometric history
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (80)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1994)
49. The post-war U.S. Phillips curve: a revisionist econometric history: response to Evans and McCallum
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago

1993

50. Testing for cointegration when some of the cointegrating vectors are known
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (1)
51. Vector autoregressions and cointegration
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (6)
    See also Chapter (1986)

1992

52. A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
    See also Chapter (1993)
53. 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 (21)
54. Business Cycle Durations and Postwar Stabilization of the U.S. Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1992) View citations (10)
    See also Journal Article in American Economic Review (1994)
55. Testing Long Run Neutrality
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (68)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1992) View citations (40)
    See also Journal Article in Economic Quarterly (1997)

1991

56. A simple estimator of cointegrating vectors in higher order integrated systems
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (6)
    See also Journal Article in Econometrica (1993)
57. Measures of Fit for Calibrated Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1991) View citations (2)
    See also Journal Article in Journal of Political Economy (1993)
58. Stochastic trends and economic fluctuations
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (708)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1987) View citations (54)
    See also Journal Article in American Economic Review (1991)

1990

59. Business Cycle Properties of Selected U.S. Economic Time Series, 1959-1988
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)

1989

60. A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (18)
61. NEW INDEXES OF COINCIDENT AND LEADING ECONOMIC INDICATORS
    Working Papers, Harvard - J.F. Kennedy School of Government View citations (758)
    See also Chapter (1989)

1988

62. A Probability Model of The Coincident Economic Indicators
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (92)
63. Sources of Business Cycle Fluctuations
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (423)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (1988) View citations (406)
    See also Chapter (1988)

1987

64. Interpreting Evidence on Money-Income Causality
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (37)
    See also Journal Article in Journal of Econometrics (1989)

1984

65. Are Business Cycles All Alike?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
    See also Chapter (1986)

1983

66. Seasonal Adjustment with Measurement Error Present
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

1982

67. Bubbles, Rational Expectations and Financial Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (570)

Undated

68. 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 (316)
    See also Journal Article in European Economic Review (2003)

Journal Articles

2019

1. How Have Changing Sectoral Trends Affected GDP Growth?
   FRBSF Economic Letter, 2019 View citations (1)

2018

2. Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
   Economic Journal, 2018, 128, (610), 917-948 View citations (306)
   See also Working Paper (2018)
3. Long†Run Covariability
   Econometrica, 2018, 86, (3), 775-804 View citations (21)
4. The Disappointing Recovery in U.S. Output after 2009
   FRBSF Economic Letter, 2018

2017

5. The Disappointing Recovery of Output after 2009
   Brookings Papers on Economic Activity, 2017, 48, (1 (Spring)), 1-81 View citations (125)
   See also Working Paper (2017)
6. Twenty Years of Time Series Econometrics in Ten Pictures
   Journal of Economic Perspectives, 2017, 31, (2), 59-86 View citations (36)

2016

7. Comment
   NBER Macroeconomics Annual, 2016, 30, (1), 85 - 89
8. Core Inflation and Trend Inflation
   The Review of Economics and Statistics, 2016, 98, (4), 770-784 View citations (67)
   See also Working Paper (2015)
9. Measuring Uncertainty about Long-Run Predictions
   Review of Economic Studies, 2016, 83, (4), 1711-1740 View citations (29)
   See also Working Paper (2013)
10. Presidents and the US Economy: An Econometric Exploration
    American Economic Review, 2016, 106, (4), 1015-45 View citations (70)
    See also Working Paper (2014)

2015

11. Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
    Econometrica, 2015, 83, 771-811 View citations (65)

2014

12. Estimating turning points using large data sets
    Journal of Econometrics, 2014, 178, (P2), 368-381 View citations (67)
    See also Working Paper (2010)
13. Inflation Persistence, the NAIRU, and the Great Recession
    American Economic Review, 2014, 104, (5), 31-36 View citations (60)

2013

14. Consistent factor estimation in dynamic factor models with structural instability
    Journal of Econometrics, 2013, 177, (2), 289-304 View citations (93)
    See also Working Paper (2013)
15. Low-frequency robust cointegration testing
    Journal of Econometrics, 2013, 174, (2), 66-81 View citations (12)
    See also Working Paper (2009)

2012

16. Disentangling the Channels of the 2007-09 Recession
    Brookings Papers on Economic Activity, 2012, 43, (1 (Spring)), 81-156 View citations (312)
17. Generalized Shrinkage Methods for Forecasting Using Many Predictors
    Journal of Business & Economic Statistics, 2012, 30, (4), 481-493 View citations (152)
18. Inflation and Unit Labor Cost
    Journal of Money, Credit and Banking, 2012, 44, 111-149 View citations (38)
    See also Working Paper (2012)

2011

19. Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production
    Journal of Political Economy, 2011, 119, (1), 1 - 38 View citations (323)
    See also Working Paper (2008)

2010

20. Indicators for Dating Business Cycles: Cross-History Selection and Comparisons
    American Economic Review, 2010, 100, (2), 16-19 View citations (49)
21. Modeling inflation after the crisis
    Proceedings - Economic Policy Symposium - Jackson Hole, 2010, 173-220 View citations (66)
    See also Working Paper (2010)
22. Recollections of Clive Granger
    The Journal of Financial Econometrics, 2010, 8, (2), 171-171
23. Relative Goods' Prices, Pure Inflation, and the Phillips Correlation
    American Economic Journal: Macroeconomics, 2010, 2, (3), 128-57 View citations (68)
    See also Working Paper (2007)

2008

24. Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
    Econometrica, 2008, 76, (1), 155-174 View citations (270)
    See also Working Paper (2008)
25. Phillips curve inflation forecasts
    Conference Series ; [Proceedings], 2008 View citations (174)
    See also Working Paper (2008)
26. Testing Models of Low-Frequency Variability
    Econometrica, 2008, 76, (5), 979-1016 View citations (48)
    See also Working Paper (2006)

2007

27. ABCs (and Ds) of Understanding VARs
    American Economic Review, 2007, 97, (3), 1021-1026 View citations (299)
28. Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
    Journal of Business & Economic Statistics, 2007, 25, 91-96 View citations (159)
29. Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"
    Journal of Money, Credit and Banking, 2007, 39, (7), 1849-1849 View citations (383)
30. How accurate are real-time estimates of output trends and gaps?
    Economic Quarterly, 2007, 93, (Spr), 143-161 View citations (47)
31. Journal of Applied Econometrics Annual Lecture Series
    Journal of Applied Econometrics, 2007, 22, (3), 701-701
32. On the sources of the Great Moderation - discussion
    Proceedings, 2007, (Nov)
33. Why Has U.S. Inflation Become Harder to Forecast?
    Journal of Money, Credit and Banking, 2007, 39, (s1), 3-33 View citations (1090)
    See also Working Paper (2006)

2006

34. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    Journal of Econometrics, 2006, 135, (1-2), 499-526 View citations (477)
    See also Working Paper (2005)

2005

35. Commentary on \\"what's real about the business cycle?\\"
    Review, 2005, 87, (Jul), 453-458
36. Has inflation become harder to forecast?
    Proceedings, 2005 View citations (5)
37. Understanding Changes In International Business Cycle Dynamics
    Journal of the European Economic Association, 2005, 3, (5), 968-1006 View citations (375)
    See also Working Paper (2003)

2004

38. Combination forecasts of output growth in a seven-country data set
    Journal of Forecasting, 2004, 23, (6), 405-430 View citations (583)
39. Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Reply
    Journal of Money, Credit and Banking, 2004, 36, (2), 287-91 View citations (132)

2003

40. Forecasting Output and Inflation: The Role of Asset Prices
    Journal of Economic Literature, 2003, 41, (3), 788-829 View citations (836)
    Also in Proceedings, 2001, (Mar) (2001) View citations (101)
    See also Working Paper (2001)
41. Has the business cycle changed?
    Proceedings - Economic Policy Symposium - Jackson Hole, 2003, 9-56 View citations (178)
42. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
    European Economic Review, 2003, 47, (1), 1-18 View citations (335)
    See also Working Paper

2002

43. Assessing changes in the monetary transmission mechanism: a VAR approach: commentary
    Economic Policy Review, 2002, 8, (May), 113-116 View citations (2)
44. Forecasting Using Principal Components From a Large Number of Predictors
    Journal of the American Statistical Association, 2002, 97, 1167-1179 View citations (1507)
45. Low cost light traps for coral reef fishery research and sustainable ornamental fisheries
    Naga, 2002, 25, (2), 4-7
46. Macroeconomic Forecasting Using Diffusion Indexes
    Journal of Business & Economic Statistics, 2002, 20, (2), 147-62 View citations (1317)
47. Market anticipations of monetary policy actions - commentary
    Review, 2002, 84, (Jul), 95-98
48. System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations
    Computational Economics, 2002, 20, (1-2), 57-86 View citations (81)

2001

49. Vector Autoregressions
    Journal of Economic Perspectives, 2001, 15, (4), 101-115 View citations (543)

2000

50. Recent changes in trend and cycle, remarks
    Proceedings, 2000

1999

51. A dynamic factor model framework for forecast combination
    Spanish Economic Review, 1999, 1, (2), 91-121 View citations (44)
52. Explaining the increased variability in long-term interest rates
    Economic Quarterly, 1999, (Fall), 71-96 View citations (41)
53. Forecasting inflation
    Journal of Monetary Economics, 1999, 44, (2), 293-335 View citations (892)
    See also Working Paper (1999)
54. Special Section on Consumer Price Research: Introduction
    Journal of Business & Economic Statistics, 1999, 17, (2), 137-40 View citations (1)

1998

55. The Solution of Singular Linear Difference Systems under Rational Expectations
    International Economic Review, 1998, 39, (4), 1015-26 View citations (227)

1997

56. Comment on "On the Fit of a Neoclassical Monetary Model in Inflation: Israel 1972-1990."
    Journal of Money, Credit and Banking, 1997, 29, (4), 753-55
57. Estimating Deterministic Trends In The Presence Of Serially Correlated Errors
    The Review of Economics and Statistics, 1997, 79, (2), 184-200 View citations (83)
    See also Working Paper (1994)
58. Systematic Monetary Policy and the Effects of Oil Price Shocks
    Brookings Papers on Economic Activity, 1997, 28, (1), 91-157 View citations (921)
59. Testing long-run neutrality
    Economic Quarterly, 1997, (Sum), 69-101 View citations (96)
    See also Working Paper (1992)
60. The NAIRU, Unemployment and Monetary Policy
    Journal of Economic Perspectives, 1997, 11, (1), 33-49 View citations (345)

1996

61. Evidence on Structural Instability in Macroeconomic Time Series Relations
    Journal of Business & Economic Statistics, 1996, 14, (1), 11-30 View citations (657)
    See also Working Paper (1994)
62. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment
    Journal of Business & Economic Statistics, 1996, 14, (3), 394-96 View citations (8)
63. Money, Prices, Interest Rates and the Business Cycle
    The Review of Economics and Statistics, 1996, 78, (1), 35-53 View citations (255)
    See also Working Paper (1995)

1995

64. Temporal instability of the unemployment-inflation relationship
    Economic Perspectives, 1995, 19, (May), 2-12 View citations (61)
65. Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
    Econometric Theory, 1995, 11, (5), 984-1014 View citations (125)

1994

66. Business-Cycle Durations and Postwar Stabilization of the U.S. Economy
    American Economic Review, 1994, 84, (1), 24-46 View citations (114)
    See also Working Paper (1992)
67. Rejoinder to Evans and McCallum
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 243-250
68. The post-war U.S. phillips curve: a revisionist econometric history
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 157-219 View citations (109)
    See also Working Paper (1994)

1993

69. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
    Econometrica, 1993, 61, (4), 783-820 View citations (2214)
    See also Working Paper (1991)
70. Measures of Fit for Calibrated Models
    Journal of Political Economy, 1993, 101, (6), 1011-41 View citations (226)
    See also Working Paper (1991)

1991

71. Stochastic Trends and Economic Fluctuations
    American Economic Review, 1991, 81, (4), 819-40 View citations (833)
    See also Working Paper (1991)
72. Using econometric models to predict recessions
    Economic Perspectives, 1991, 15, (Nov), 14-25 View citations (6)

1990

73. Inference in Linear Time Series Models with Some Unit Roots
    Econometrica, 1990, 58, (1), 113-44 View citations (1445)

1989

74. Interpreting the evidence on money-income causality
    Journal of Econometrics, 1989, 40, (1), 161-181 View citations (257)
    See also Working Paper (1987)
75. MTS: A Review
    Journal of Applied Econometrics, 1989, 4, (2), 205-06
76. Recursive solution methods for dynamic linear rational expectations models
    Journal of Econometrics, 1989, 41, (1), 65-89 View citations (27)

1988

77. A Reexamination of Friedman's Consumption Puzzle: Comment
    Journal of Business & Economic Statistics, 1988, 6, (4), 408-09
78. The convergence of multivariate unit root distributions to their asymptotic limits: The case of money-income causality
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 489-502 View citations (1)
79. Variable Trends in Economic Time Series
    Journal of Economic Perspectives, 1988, 2, (3), 147-74 View citations (217)

1987

80. Vector Autoregressions and Reality: Comment
    Journal of Business & Economic Statistics, 1987, 5, (4), 451-53 View citations (2)

1986

81. Does GNP have a unit root?
    Economics Letters, 1986, 22, (2-3), 147-151 View citations (31)
82. Univariate detrending methods with stochastic trends
    Journal of Monetary Economics, 1986, 18, (1), 49-75 View citations (412)

1985

83. A dymimic model of housing price determination
    Journal of Econometrics, 1985, 28, (3), 307-326 View citations (17)
84. Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model
    Economic Journal, 1985, 95, (379), 725-45 View citations (107)
85. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
    The Review of Economics and Statistics, 1985, 67, (2), 341-46 View citations (19)

1984

86. Testing the interpretation of indices in a macroeconomic index model
    Journal of Monetary Economics, 1984, 13, (2), 165-181 View citations (4)

1983

87. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
    Journal of Econometrics, 1983, 23, (3), 385-400 View citations (215)
88. Imperfect Information and Wage Inertia in the Business Cycle: A Comment
    Journal of Political Economy, 1983, 91, (5), 876-79

Books

1993

1. Business Cycles, Indicators, and Forecasting
   NBER Books, National Bureau of Economic Research, Inc View citations (517)

Edited books

2010

1. Volatility and Time Series Econometrics: Essays in Honor of Robert Engle
   OUP Catalogue, Oxford University Press View citations (71)

2001

2. Essays in Econometrics Real Author-Name:Granger,Clive W. J
   Cambridge Books, Cambridge University Press
3. Essays in Econometrics Real Author-Name:Granger,Clive W. J
   Cambridge Books, Cambridge University Press
4. Essays in Econometrics Real Author-Name:Granger,Clive W. J
   Cambridge Books, Cambridge University Press
5. Essays in Econometrics Real Author-Name:Granger,Clive W. J
   Cambridge Books, Cambridge University Press

1993

6. Business Cycles, Indicators, and Forecasting
   National Bureau of Economic Research Books, University of Chicago Press View citations (510)

Chapters

2022

1. Comment on "A Reassessment of Monetary Policy Surprises and High-Frequency Identification" 2
   A chapter in NBER Macroeconomics Annual 2022, volume 37, 2022, pp 161-166

2019

2. Comment on "On the Empirical (Ir)relevance of the Zero Lower Bound Constraint"
   A chapter in NBER Macroeconomics Annual 2019, volume 34, 2019, pp 182-193 View citations (4)

2016

3. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
   Elsevier View citations (202)

2015

4. Comment on "Trends and Cycles in China's Macroeconomy"
   A chapter in NBER Macroeconomics Annual 2015, Volume 30, 2015, pp 85-89

2013

5. Comment on "Shocks and Crashes"
   A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 367-378

2006

6. Forecasting with Many Predictors
   Elsevier View citations (313)

2003

7. Has the Business Cycle Changed and Why?
   A chapter in NBER Macroeconomics Annual 2002, Volume 17, 2003, pp 159-230 View citations (343)
   See also Working Paper (2002)

1999

8. Business cycle fluctuations in us macroeconomic time series
   Chapter 01 in Handbook of Macroeconomics, 1999, vol. 1, Part A, pp 3-64 View citations (423)
   See also Working Paper (1998)

1997

9. How Precise Are Estimates of the Natural Rate of Unemployment?
   A chapter in Reducing Inflation: Motivation and Strategy, 1997, pp 195-246 View citations (242)
   See also Working Paper (1996)

1993

10. 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 (142)
    See also Working Paper (1992)
11. Introduction to "Business Cycles, Indicators and Forecasting"
    A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 1-10 View citations (66)

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 (1028)
    See also Working Paper (1989)

1988

13. Sources of Business Cycle Fluctuations
    A chapter in NBER Macroeconomics Annual 1988, Volume 3, 1988, pp 111-156 View citations (432)
    See also Working Paper (1988)

1986

14. Are Business Cycles All Alike?
    A chapter in The American Business Cycle: Continuity and Change, 1986, pp 123-180 View citations (362)
    See also Working Paper (1984)
15. Vector autoregressions and cointegration
    Chapter 47 in Handbook of Econometrics, 1986, vol. 4, pp 2843-2915 View citations (4)
    See also Working Paper (1993)

1984

16. Time series and spectral methods in econometrics
    Chapter 17 in Handbook of Econometrics, 1984, vol. 2, pp 979-1022 View citations (20)