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

Short-id: pwa582


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Working Papers

2022

  1. Aggregate Implications of Changing Sectoral Trends
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019) Downloads View citations (14)
    Working Paper, Federal Reserve Bank of Richmond (2019) Downloads View citations (13)

2019

  1. An Econometric Model of International Long-run Growth Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Slack and Cyclically Sensitive Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)

2018

  1. Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (337)
    See also Journal Article Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments, Economic Journal, Royal Economic Society (2018) Downloads View citations (356) (2018)
  2. The Road to Cyberinfrastructure at the Federal Reserve Bank of Kansas City
    Technical Briefings, Federal Reserve Bank of Kansas City Downloads View citations (1)

2017

  1. Long-Run Covariability
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. The Disappointing Recovery of Output after 2009
    Working Paper Series, Federal Reserve Bank of San Francisco Downloads View citations (48)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (118)

    See also Journal Article The Disappointing Recovery of Output after 2009, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2017) Downloads View citations (130) (2017)
  3. The Slow Recovery in Output after 2009
    2017 Meeting Papers, Society for Economic Dynamics Downloads View citations (7)

2015

  1. Core Inflation and Trend Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Journal Article Core Inflation and Trend Inflation, The Review of Economics and Statistics, MIT Press (2016) Downloads View citations (83) (2016)
  2. Low-Frequency Econometrics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

2014

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

    See also Journal Article Presidents and the US Economy: An Econometric Exploration, American Economic Review, American Economic Association (2016) Downloads View citations (81) (2016)

2013

  1. Consistent Factor Estimation in Dynamic Factor Models with Structural Instability
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (96)
    Also in Working Paper, Harvard University OpenScholar Downloads View citations (70)

    See also Journal Article Consistent factor estimation in dynamic factor models with structural instability, Journal of Econometrics, Elsevier (2013) Downloads View citations (93) (2013)
  2. Measuring Uncertainty About Long-Run Forecasts
    Annual Meeting Plenary, Society for Economic Dynamics Downloads View citations (2)
  3. Measuring Uncertainty about Long-Run Prediction
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article Measuring Uncertainty about Long-Run Predictions, The Review of Economic Studies, Review of Economic Studies Ltd (2016) Downloads View citations (31) (2016)

2012

  1. Disentangling the Channels of the 2007-2009 Recession
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (424)
  2. Inflation and Unit Labor Cost
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics Downloads View citations (43)
    See also Journal Article Inflation and Unit Labor Cost, Journal of Money, Credit and Banking, Blackwell Publishing (2012) Downloads View citations (41) (2012)

2011

  1. Dynamic Factor Models
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (258)

2010

  1. Estimating Turning Points Using Large Data Sets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (30)
    See also Journal Article Estimating turning points using large data sets, Journal of Econometrics, Elsevier (2014) Downloads View citations (67) (2014)
  2. Financial Conditions Indexes: A Fresh Look after the Financial Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (258)
  3. Modeling Inflation After the Crisis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (145)
    See also Journal Article Modeling inflation after the crisis, Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City (2010) Downloads View citations (66) (2010)

2009

  1. Low-Frequency Robust Cointegration Testing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Low-frequency robust cointegration testing, Journal of Econometrics, Elsevier (2013) Downloads View citations (12) (2013)

2008

  1. 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) Downloads View citations (22)
    Working Paper, Federal Reserve Bank of Richmond (2008) Downloads View citations (56)

    See also Journal Article Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production, Journal of Political Economy, University of Chicago Press (2011) Downloads View citations (338) (2011)
  2. Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (263)
    Also in NBER Technical Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (39)

    See also Journal Article Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression, Econometrica, Econometric Society (2008) Downloads View citations (278) (2008)
  3. Phillips Curve Inflation Forecasts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (192)
    See also Journal Article Phillips curve inflation forecasts, Conference Series ; [Proceedings], Federal Reserve Bank of Boston (2008) Downloads View citations (174) (2008)
  4. The Evolution of National and Regional Factors in U.S. Housing Construction
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (29)

2007

  1. Measuring changes in the value of the numeraire
    2007 Meeting Papers, Society for Economic Dynamics Downloads View citations (5)
    Also in Kiel Working Papers, Kiel Institute for the World Economy (IfW Kiel) (2007) Downloads View citations (8)
  2. Relative Goods' Prices, Pure Inflation, and the Phillips Correlation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article Relative Goods' Prices, Pure Inflation, and the Phillips Correlation, American Economic Journal: Macroeconomics, American Economic Association (2010) Downloads View citations (68) (2010)
  3. Relative Goods? Prices and Pure Inflation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)

2006

  1. Testing Models of Low-Frequency Variability
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article Testing Models of Low-Frequency Variability, Econometrica, Econometric Society (2008) Downloads View citations (51) (2008)
  2. Why Has U.S. Inflation Become Harder to Forecast?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (42)
    See also Journal Article Why Has U.S. Inflation Become Harder to Forecast?, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (1137) (2007)

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 (44)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) Downloads View citations (23)

    See also Journal Article A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series, Journal of Econometrics, Elsevier (2006) Downloads View citations (495) (2006)
  2. Implications of Dynamic Factor Models for VAR Analysis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (690)

2003

  1. Understanding Changes in International Business Cycle Dynamics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (139)
    See also Journal Article Understanding Changes In International Business Cycle Dynamics, Journal of the European Economic Association, MIT Press (2005) Downloads View citations (380) (2005)

2002

  1. Has the Business Cycle Changed and Why?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1142)
    See also Chapter Has the Business Cycle Changed and Why?, NBER Chapters, National Bureau of Economic Research, Inc (2003) Downloads View citations (348) (2003)

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 (10)
  2. Forecasting Output and Inflation: The Role of Asset Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (124)
    See also Journal Article Forecasting Output and Inflation: The Role of Asset Prices, Journal of Economic Literature, American Economic Association (2003) Downloads View citations (861) (2003)
  3. Prices, Wages and the U.S. NAIRU in the 1990s
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (57)

1999

  1. Forecasting Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (912)
    See also Journal Article Forecasting inflation, Journal of Monetary Economics, Elsevier (1999) Downloads View citations (894) (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 (107)
  2. Business Cycle Fluctuations in U.S. Macroeconomic Time Series
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (143)
    See also Chapter Business cycle fluctuations in us macroeconomic time series, Handbook of Macroeconomics, Elsevier (1999) Downloads View citations (425) (1999)
  3. Diffusion Indexes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (211)

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 (14)
  2. How Precise are Estimates of the Natural Rate of Unemployment?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (128)
    See also Chapter How Precise Are Estimates of the Natural Rate of Unemployment?, NBER Chapters, National Bureau of Economic Research, Inc (1997) Downloads View citations (244) (1997)

1995

  1. Money, prices, interest rates and the business cycle
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago Downloads View citations (48)
    See also Journal Article Money, Prices, Interest Rates and the Business Cycle, The Review of Economics and Statistics, MIT Press (1996) Downloads View citations (260) (1996)

1994

  1. Estimating Deterministic Trends in the Presence of Serially Correlated Errors
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (1)

    See also Journal Article Estimating Deterministic Trends In The Presence Of Serially Correlated Errors, The Review of Economics and Statistics, MIT Press (1997) Downloads View citations (83) (1997)
  2. Evidence on Structural Instability in Macroeconomic Time Series Relations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1994) View citations (15)

    See also Journal Article Evidence on Structural Instability in Macroeconomic Time Series Relations, Journal of Business & Economic Statistics, American Statistical Association (1996) View citations (677) (1996)
  3. Testing for Cointegration When Some of the Contributing Vectors are Known
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  4. 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 The post-war U.S. phillips curve: a revisionist econometric history, Carnegie-Rochester Conference Series on Public Policy, Elsevier (1994) Downloads View citations (109) (1994)
  5. 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

  1. Testing for cointegration when some of the cointegrating vectors are known
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (1)
  2. Vector autoregressions and cointegration
    Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (6)
    See also Chapter Vector autoregressions and cointegration, Handbook of Econometrics, Elsevier (1986) Downloads View citations (4) (1986)

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 (66)
    See also Chapter A Procedure for Predicting Recessions with Leading Indicators: Econometric Issues and Recent Experience, NBER Chapters, National Bureau of Economic Research, Inc (1993) Downloads View citations (144) (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 (21)
  3. Business Cycle Durations and Postwar Stabilization of the U.S. Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1992) View citations (10)

    See also Journal Article Business-Cycle Durations and Postwar Stabilization of the U.S. Economy, American Economic Review, American Economic Association (1994) Downloads View citations (116) (1994)
  4. Testing Long Run Neutrality
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (68)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1992) View citations (40)

    See also Journal Article Testing long-run neutrality, Economic Quarterly, Federal Reserve Bank of Richmond (1997) Downloads View citations (96) (1997)

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 (7)
    See also Journal Article A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems, Econometrica, Econometric Society (1993) Downloads View citations (2314) (1993)
  2. Measures of Fit for Calibrated Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago (1991) View citations (2)

    See also Journal Article Measures of Fit for Calibrated Models, Journal of Political Economy, University of Chicago Press (1993) Downloads View citations (230) (1993)
  3. 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) Downloads View citations (54)

    See also Journal Article Stochastic Trends and Economic Fluctuations, American Economic Review, American Economic Association (1991) Downloads View citations (837) (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 (15)

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 (18)
  2. NEW INDEXES OF COINCIDENT AND LEADING ECONOMIC INDICATORS
    Working Papers, Harvard - J.F. Kennedy School of Government View citations (761)
    See also Chapter New Indexes of Coincident and Leading Economic Indicators, NBER Chapters, National Bureau of Economic Research, Inc (1989) Downloads View citations (1051) (1989)

1988

  1. A Probability Model of The Coincident Economic Indicators
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (92)
  2. Sources of Business Cycle Fluctuations
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (409)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1988) Downloads View citations (426)

    See also Chapter Sources of Business Cycle Fluctuations, NBER Chapters, National Bureau of Economic Research, Inc (1988) Downloads View citations (435) (1988)

1987

  1. Interpreting Evidence on Money-Income Causality
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)
    See also Journal Article Interpreting the evidence on money-income causality, Journal of Econometrics, Elsevier (1989) Downloads View citations (258) (1989)

1984

  1. Are Business Cycles All Alike?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (60)
    See also Chapter Are Business Cycles All Alike?, NBER Chapters, National Bureau of Economic Research, Inc (1986) Downloads View citations (363) (1986)

1983

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

1982

  1. Bubbles, Rational Expectations and Financial Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (578)

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 (316)
    See also Journal Article Macroeconomic forecasting in the Euro area: Country specific versus area-wide information, European Economic Review, Elsevier (2003) Downloads View citations (338) (2003)

Journal Articles

2023

  1. What Does Sectoral Inflation Tell Us About the Aggregate Trend in Inflation?
    Richmond Fed Economic Brief, 2023, 23, (37) Downloads

2019

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

2018

  1. Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
    Economic Journal, 2018, 128, (610), 917-948 Downloads View citations (356)
    See also Working Paper Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments, NBER Working Papers (2018) Downloads View citations (337) (2018)
  2. Long†Run Covariability
    Econometrica, 2018, 86, (3), 775-804 Downloads View citations (25)
  3. The Disappointing Recovery in U.S. Output after 2009
    FRBSF Economic Letter, 2018 Downloads

2017

  1. The Disappointing Recovery of Output after 2009
    Brookings Papers on Economic Activity, 2017, 48, (1 (Spring)), 1-81 Downloads View citations (130)
    See also Working Paper The Disappointing Recovery of Output after 2009, Working Paper Series (2017) Downloads View citations (48) (2017)
  2. Twenty Years of Time Series Econometrics in Ten Pictures
    Journal of Economic Perspectives, 2017, 31, (2), 59-86 Downloads View citations (45)

2016

  1. Comment
    NBER Macroeconomics Annual, 2016, 30, (1), 85 - 89 Downloads
  2. Core Inflation and Trend Inflation
    The Review of Economics and Statistics, 2016, 98, (4), 770-784 Downloads View citations (83)
    See also Working Paper Core Inflation and Trend Inflation, NBER Working Papers (2015) Downloads View citations (19) (2015)
  3. Measuring Uncertainty about Long-Run Predictions
    The Review of Economic Studies, 2016, 83, (4), 1711-1740 Downloads View citations (31)
    See also Working Paper Measuring Uncertainty about Long-Run Prediction, NBER Working Papers (2013) Downloads View citations (5) (2013)
  4. Presidents and the US Economy: An Econometric Exploration
    American Economic Review, 2016, 106, (4), 1015-45 Downloads View citations (81)
    See also Working Paper Presidents and the U.S. Economy: An Econometric Exploration, NBER Working Papers (2014) Downloads View citations (1) (2014)

2015

  1. Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
    Econometrica, 2015, 83, 771-811 Downloads View citations (70)

2014

  1. Estimating turning points using large data sets
    Journal of Econometrics, 2014, 178, (P2), 368-381 Downloads View citations (67)
    See also Working Paper Estimating Turning Points Using Large Data Sets, NBER Working Papers (2010) Downloads View citations (30) (2010)
  2. Inflation Persistence, the NAIRU, and the Great Recession
    American Economic Review, 2014, 104, (5), 31-36 Downloads View citations (62)

2013

  1. Consistent factor estimation in dynamic factor models with structural instability
    Journal of Econometrics, 2013, 177, (2), 289-304 Downloads View citations (93)
    See also Working Paper Consistent Factor Estimation in Dynamic Factor Models with Structural Instability, Scholarly Articles (2013) Downloads View citations (96) (2013)
  2. Low-frequency robust cointegration testing
    Journal of Econometrics, 2013, 174, (2), 66-81 Downloads View citations (12)
    See also Working Paper Low-Frequency Robust Cointegration Testing, NBER Working Papers (2009) Downloads View citations (1) (2009)

2012

  1. Disentangling the Channels of the 2007-09 Recession
    Brookings Papers on Economic Activity, 2012, 43, (1 (Spring)), 81-156 Downloads View citations (328)
  2. Generalized Shrinkage Methods for Forecasting Using Many Predictors
    Journal of Business & Economic Statistics, 2012, 30, (4), 481-493 Downloads View citations (158)
  3. Inflation and Unit Labor Cost
    Journal of Money, Credit and Banking, 2012, 44, 111-149 Downloads View citations (41)
    See also Working Paper Inflation and Unit Labor Cost, Boston University - Department of Economics - Working Papers Series (2012) Downloads View citations (43) (2012)

2011

  1. Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production
    Journal of Political Economy, 2011, 119, (1), 1 - 38 Downloads View citations (338)
    See also Working Paper Aggregate Shocks and the Variability of Industrial Production, 2008 Meeting Papers (2008) (2008)

2010

  1. Indicators for Dating Business Cycles: Cross-History Selection and Comparisons
    American Economic Review, 2010, 100, (2), 16-19 Downloads View citations (51)
  2. Modeling inflation after the crisis
    Proceedings - Economic Policy Symposium - Jackson Hole, 2010, 173-220 Downloads View citations (66)
    See also Working Paper Modeling Inflation After the Crisis, NBER Working Papers (2010) Downloads View citations (145) (2010)
  3. Recollections of Clive Granger
    Journal of Financial Econometrics, 2010, 8, (2), 171-171 Downloads
  4. Relative Goods' Prices, Pure Inflation, and the Phillips Correlation
    American Economic Journal: Macroeconomics, 2010, 2, (3), 128-57 Downloads View citations (68)
    See also Working Paper Relative Goods' Prices, Pure Inflation, and the Phillips Correlation, NBER Working Papers (2007) Downloads View citations (8) (2007)

2008

  1. Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
    Econometrica, 2008, 76, (1), 155-174 Downloads View citations (278)
    See also Working Paper Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression, Scholarly Articles (2008) Downloads View citations (263) (2008)
  2. Phillips curve inflation forecasts
    Conference Series ; [Proceedings], 2008 Downloads View citations (174)
    See also Working Paper Phillips Curve Inflation Forecasts, NBER Working Papers (2008) Downloads View citations (192) (2008)
  3. Testing Models of Low-Frequency Variability
    Econometrica, 2008, 76, (5), 979-1016 Downloads View citations (51)
    See also Working Paper Testing Models of Low-Frequency Variability, NBER Working Papers (2006) Downloads View citations (3) (2006)

2007

  1. ABCs (and Ds) of Understanding VARs
    American Economic Review, 2007, 97, (3), 1021-1026 Downloads View citations (311)
  2. Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
    Journal of Business & Economic Statistics, 2007, 25, 91-96 Downloads View citations (162)
  3. Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"
    Journal of Money, Credit and Banking, 2007, 39, (7), 1849-1849 View citations (401)
  4. How accurate are real-time estimates of output trends and gaps?
    Economic Quarterly, 2007, 93, (Spr), 143-161 Downloads View citations (47)
  5. Journal of Applied Econometrics Annual Lecture Series
    Journal of Applied Econometrics, 2007, 22, (3), 701-701 Downloads
  6. On the sources of the Great Moderation - discussion
    Proceedings, 2007, (Nov) Downloads
  7. Why Has U.S. Inflation Become Harder to Forecast?
    Journal of Money, Credit and Banking, 2007, 39, (s1), 3-33 View citations (1137)
    See also Working Paper Why Has U.S. Inflation Become Harder to Forecast?, NBER Working Papers (2006) Downloads View citations (42) (2006)

2006

  1. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    Journal of Econometrics, 2006, 135, (1-2), 499-526 Downloads View citations (495)
    See also Working Paper A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series, CEPR Discussion Papers (2005) Downloads View citations (44) (2005)

2005

  1. Commentary on \\"what's real about the business cycle?\\"
    Review, 2005, 87, (Jul), 453-458 Downloads
  2. Has inflation become harder to forecast?
    Proceedings, 2005 Downloads View citations (5)
  3. Understanding Changes In International Business Cycle Dynamics
    Journal of the European Economic Association, 2005, 3, (5), 968-1006 Downloads View citations (380)
    See also Working Paper Understanding Changes in International Business Cycle Dynamics, NBER Working Papers (2003) Downloads View citations (139) (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 (623)
  2. 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 (133)

2003

  1. Forecasting Output and Inflation: The Role of Asset Prices
    Journal of Economic Literature, 2003, 41, (3), 788-829 Downloads View citations (861)
    Also in Proceedings, 2001, (Mar) (2001) Downloads View citations (101)

    See also Working Paper Forecasting Output and Inflation: The Role of Asset Prices, NBER Working Papers (2001) Downloads View citations (124) (2001)
  2. Has the business cycle changed?
    Proceedings - Economic Policy Symposium - Jackson Hole, 2003, 9-56 Downloads View citations (178)
  3. Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
    European Economic Review, 2003, 47, (1), 1-18 Downloads View citations (338)
    See also Working Paper Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information, Working Papers Downloads View citations (316)

2002

  1. Assessing changes in the monetary transmission mechanism: a VAR approach: commentary
    Economic Policy Review, 2002, 8, (May), 113-116 Downloads View citations (2)
  2. Forecasting Using Principal Components From a Large Number of Predictors
    Journal of the American Statistical Association, 2002, 97, 1167-1179 Downloads View citations (1565)
  3. Low cost light traps for coral reef fishery research and sustainable ornamental fisheries
    Naga, 2002, 25, (2), 4-7 Downloads
  4. Macroeconomic Forecasting Using Diffusion Indexes
    Journal of Business & Economic Statistics, 2002, 20, (2), 147-62 View citations (1349)
  5. Market anticipations of monetary policy actions - commentary
    Review, 2002, 84, (Jul), 95-98 Downloads
  6. System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations
    Computational Economics, 2002, 20, (1-2), 57-86 Downloads View citations (81)

2001

  1. Vector Autoregressions
    Journal of Economic Perspectives, 2001, 15, (4), 101-115 Downloads View citations (568)

2000

  1. Recent changes in trend and cycle, remarks
    Proceedings, 2000 Downloads

1999

  1. A dynamic factor model framework for forecast combination
    Spanish Economic Review, 1999, 1, (2), 91-121 Downloads View citations (46)
  2. Explaining the increased variability in long-term interest rates
    Economic Quarterly, 1999, (Fall), 71-96 Downloads View citations (41)
  3. Forecasting inflation
    Journal of Monetary Economics, 1999, 44, (2), 293-335 Downloads View citations (894)
    See also Working Paper Forecasting Inflation, NBER Working Papers (1999) Downloads View citations (912) (1999)
  4. Special Section on Consumer Price Research: Introduction
    Journal of Business & Economic Statistics, 1999, 17, (2), 137-40 View citations (1)

1998

  1. The Solution of Singular Linear Difference Systems under Rational Expectations
    International Economic Review, 1998, 39, (4), 1015-26 View citations (229)

1997

  1. 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
  2. Estimating Deterministic Trends In The Presence Of Serially Correlated Errors
    The Review of Economics and Statistics, 1997, 79, (2), 184-200 Downloads View citations (83)
    See also Working Paper Estimating Deterministic Trends in the Presence of Serially Correlated Errors, NBER Technical Working Papers (1994) Downloads View citations (1) (1994)
  3. Systematic Monetary Policy and the Effects of Oil Price Shocks
    Brookings Papers on Economic Activity, 1997, 28, (1), 91-157 Downloads View citations (956)
  4. Testing long-run neutrality
    Economic Quarterly, 1997, (Sum), 69-101 Downloads View citations (96)
    See also Working Paper Testing Long Run Neutrality, NBER Working Papers (1992) Downloads View citations (68) (1992)
  5. The NAIRU, Unemployment and Monetary Policy
    Journal of Economic Perspectives, 1997, 11, (1), 33-49 Downloads View citations (350)

1996

  1. Evidence on Structural Instability in Macroeconomic Time Series Relations
    Journal of Business & Economic Statistics, 1996, 14, (1), 11-30 View citations (677)
    See also Working Paper Evidence on Structural Instability in Macroeconomic Time Series Relations, NBER Technical Working Papers (1994) Downloads View citations (10) (1994)
  2. Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment
    Journal of Business & Economic Statistics, 1996, 14, (3), 394-96 View citations (8)
  3. Money, Prices, Interest Rates and the Business Cycle
    The Review of Economics and Statistics, 1996, 78, (1), 35-53 Downloads View citations (260)
    See also Working Paper Money, prices, interest rates and the business cycle, Working Paper Series, Macroeconomic Issues (1995) Downloads View citations (48) (1995)

1995

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

1994

  1. Business-Cycle Durations and Postwar Stabilization of the U.S. Economy
    American Economic Review, 1994, 84, (1), 24-46 Downloads View citations (116)
    See also Working Paper Business Cycle Durations and Postwar Stabilization of the U.S. Economy, NBER Working Papers (1992) Downloads View citations (10) (1992)
  2. Rejoinder to Evans and McCallum
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 243-250 Downloads
  3. The post-war U.S. phillips curve: a revisionist econometric history
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 157-219 Downloads View citations (109)
    See also Working Paper The post-war U.S. Phillips curve: a revisionist econometric history, Working Paper Series, Macroeconomic Issues (1994) View citations (80) (1994)

1993

  1. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
    Econometrica, 1993, 61, (4), 783-820 Downloads View citations (2314)
    See also Working Paper A simple estimator of cointegrating vectors in higher order integrated systems, Working Paper Series, Macroeconomic Issues (1991) View citations (7) (1991)
  2. Measures of Fit for Calibrated Models
    Journal of Political Economy, 1993, 101, (6), 1011-41 Downloads View citations (230)
    See also Working Paper Measures of Fit for Calibrated Models, NBER Technical Working Papers (1991) Downloads View citations (3) (1991)

1991

  1. Stochastic Trends and Economic Fluctuations
    American Economic Review, 1991, 81, (4), 819-40 Downloads View citations (837)
    See also Working Paper Stochastic trends and economic fluctuations, Working Paper Series, Macroeconomic Issues (1991) View citations (708) (1991)
  2. Using econometric models to predict recessions
    Economic Perspectives, 1991, 15, (Nov), 14-25 Downloads View citations (6)

1990

  1. Inference in Linear Time Series Models with Some Unit Roots
    Econometrica, 1990, 58, (1), 113-44 Downloads View citations (1474)

1989

  1. Interpreting the evidence on money-income causality
    Journal of Econometrics, 1989, 40, (1), 161-181 Downloads View citations (258)
    See also Working Paper Interpreting Evidence on Money-Income Causality, NBER Working Papers (1987) Downloads View citations (37) (1987)
  2. MTS: A Review
    Journal of Applied Econometrics, 1989, 4, (2), 205-06 Downloads
  3. Recursive solution methods for dynamic linear rational expectations models
    Journal of Econometrics, 1989, 41, (1), 65-89 Downloads View citations (27)

1988

  1. A Reexamination of Friedman's Consumption Puzzle: Comment
    Journal of Business & Economic Statistics, 1988, 6, (4), 408-09
  2. 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 Downloads View citations (1)
  3. Variable Trends in Economic Time Series
    Journal of Economic Perspectives, 1988, 2, (3), 147-74 Downloads View citations (223)

1987

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

1986

  1. Does GNP have a unit root?
    Economics Letters, 1986, 22, (2-3), 147-151 Downloads View citations (31)
  2. Univariate detrending methods with stochastic trends
    Journal of Monetary Economics, 1986, 18, (1), 49-75 Downloads View citations (421)

1985

  1. A dymimic model of housing price determination
    Journal of Econometrics, 1985, 28, (3), 307-326 Downloads View citations (17)
  2. Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model
    Economic Journal, 1985, 95, (379), 725-45 Downloads View citations (107)
  3. Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
    The Review of Economics and Statistics, 1985, 67, (2), 341-46 Downloads View citations (20)

1984

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

1983

  1. Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
    Journal of Econometrics, 1983, 23, (3), 385-400 Downloads View citations (220)
  2. Imperfect Information and Wage Inertia in the Business Cycle: A Comment
    Journal of Political Economy, 1983, 91, (5), 876-79 Downloads

Books

1993

  1. Business Cycles, Indicators, and Forecasting
    NBER Books, National Bureau of Economic Research, Inc View citations (524)

Edited books

2010

  1. Volatility and Time Series Econometrics: Essays in Honor of Robert Engle
    OUP Catalogue, Oxford University Press View citations (72)

2001

  1. Essays in Econometrics Real Author-Name:Granger,Clive W. J
    Cambridge Books, Cambridge University Press
  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

1993

  1. Business Cycles, Indicators, and Forecasting
    National Bureau of Economic Research Books, University of Chicago Press View citations (513)

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 Downloads

2019

  1. 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 Downloads View citations (4)

2016

  1. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
    Elsevier Downloads View citations (209)

2015

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

2013

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

2006

  1. Forecasting with Many Predictors
    Elsevier Downloads View citations (316)

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 (348)
    See also Working Paper Has the Business Cycle Changed and Why?, National Bureau of Economic Research, Inc (2002) Downloads View citations (1142) (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 (425)
    See also Working Paper Business Cycle Fluctuations in U.S. Macroeconomic Time Series, National Bureau of Economic Research, Inc (1998) Downloads View citations (143) (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 (244)
    See also Working Paper How Precise are Estimates of the Natural Rate of Unemployment?, National Bureau of Economic Research, Inc (1996) Downloads View citations (128) (1996)

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 (144)
    See also Working Paper A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience, National Bureau of Economic Research, Inc (1992) Downloads View citations (66) (1992)
  2. Introduction to "Business Cycles, Indicators and Forecasting"
    A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 1-10 Downloads View citations (69)

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 (1051)
    See also Working Paper NEW INDEXES OF COINCIDENT AND LEADING ECONOMIC INDICATORS, Harvard - J.F. Kennedy School of Government (1989) View citations (761) (1989)

1988

  1. Sources of Business Cycle Fluctuations
    A chapter in NBER Macroeconomics Annual 1988, Volume 3, 1988, pp 111-156 Downloads View citations (435)
    See also Working Paper Sources of Business Cycle Fluctuations, Cowles Foundation for Research in Economics, Yale University (1988) Downloads View citations (409) (1988)

1986

  1. Are Business Cycles All Alike?
    A chapter in The American Business Cycle: Continuity and Change, 1986, pp 123-180 Downloads View citations (363)
    See also Working Paper Are Business Cycles All Alike?, National Bureau of Economic Research, Inc (1984) Downloads View citations (60) (1984)
  2. Vector autoregressions and cointegration
    Chapter 47 in Handbook of Econometrics, 1986, vol. 4, pp 2843-2915 Downloads View citations (4)
    See also Working Paper Vector autoregressions and cointegration, Federal Reserve Bank of Chicago (1993) View citations (6) (1993)

1984

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