Details about Mark W. Watson
Access statistics for papers by Mark W. Watson.
Last updated 2018-12-11. Update your information in the RePEc Author Service.
Short-id: pwa582
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Working Papers
2022
- 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
- An Econometric Model of International Long-run Growth Dynamics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
- Slack and Cyclically Sensitive Inflation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
2018
- 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)
- The Road to Cyberinfrastructure at the Federal Reserve Bank of Kansas City
Technical Briefings, Federal Reserve Bank of Kansas City View citations (1)
2017
- Long-Run Covariability
NBER Working Papers, National Bureau of Economic Research, Inc
- 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)
- The Slow Recovery in Output after 2009
2017 Meeting Papers, Society for Economic Dynamics View citations (7)
2015
- 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)
- Low-Frequency Econometrics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2014
- 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
- 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)
- Measuring Uncertainty About Long-Run Forecasts
Annual Meeting Plenary, Society for Economic Dynamics View citations (2)
- 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
- Disentangling the Channels of the 2007-2009 Recession
NBER Working Papers, National Bureau of Economic Research, Inc View citations (403)
- 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
- Dynamic Factor Models
Scholarly Articles, Harvard University Department of Economics View citations (249)
2010
- 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)
- Financial Conditions Indexes: A Fresh Look after the Financial Crisis
NBER Working Papers, National Bureau of Economic Research, Inc View citations (246)
- 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
- 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
- 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)
- 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)
- 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)
- The Evolution of National and Regional Factors in U.S. Housing Construction
Scholarly Articles, Harvard University Department of Economics View citations (28)
2007
- 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)
- 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)
- Relative Goods? Prices and Pure Inflation
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
2006
- 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)
- 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
- 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)
- Implications of Dynamic Factor Models for VAR Analysis
NBER Working Papers, National Bureau of Economic Research, Inc View citations (675)
2003
- 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
- Has the Business Cycle Changed and Why?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1133)
See also Chapter (2003)
2001
- 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)
- 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)
- Prices, Wages and the U.S. NAIRU in the 1990s
NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
1999
- 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
- 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)
- 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)
- Diffusion Indexes
NBER Working Papers, National Bureau of Economic Research, Inc View citations (211)
1996
- 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)
- 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
- 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
- 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)
- 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)
- Testing for Cointegration When Some of the Contributing Vectors are Known
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (1)
- 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)
- 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
- Testing for cointegration when some of the cointegrating vectors are known
Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (1)
- Vector autoregressions and cointegration
Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago View citations (6)
See also Chapter (1986)
1992
- 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)
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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
- A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (18)
- 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
- A Probability Model of The Coincident Economic Indicators
NBER Working Papers, National Bureau of Economic Research, Inc View citations (92)
- 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
- 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
- Are Business Cycles All Alike?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (59)
See also Chapter (1986)
1983
- Seasonal Adjustment with Measurement Error Present
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
1982
- Bubbles, Rational Expectations and Financial Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (570)
Undated
- 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
- How Have Changing Sectoral Trends Affected GDP Growth?
FRBSF Economic Letter, 2019 View citations (1)
2018
- 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)
- Long†Run Covariability
Econometrica, 2018, 86, (3), 775-804 View citations (21)
- The Disappointing Recovery in U.S. Output after 2009
FRBSF Economic Letter, 2018
2017
- 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)
- Twenty Years of Time Series Econometrics in Ten Pictures
Journal of Economic Perspectives, 2017, 31, (2), 59-86 View citations (36)
2016
- Comment
NBER Macroeconomics Annual, 2016, 30, (1), 85 - 89
- Core Inflation and Trend Inflation
The Review of Economics and Statistics, 2016, 98, (4), 770-784 View citations (67)
See also Working Paper (2015)
- Measuring Uncertainty about Long-Run Predictions
Review of Economic Studies, 2016, 83, (4), 1711-1740 View citations (29)
See also Working Paper (2013)
- 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
- Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
Econometrica, 2015, 83, 771-811 View citations (65)
2014
- Estimating turning points using large data sets
Journal of Econometrics, 2014, 178, (P2), 368-381 View citations (67)
See also Working Paper (2010)
- Inflation Persistence, the NAIRU, and the Great Recession
American Economic Review, 2014, 104, (5), 31-36 View citations (60)
2013
- 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)
- Low-frequency robust cointegration testing
Journal of Econometrics, 2013, 174, (2), 66-81 View citations (12)
See also Working Paper (2009)
2012
- Disentangling the Channels of the 2007-09 Recession
Brookings Papers on Economic Activity, 2012, 43, (1 (Spring)), 81-156 View citations (312)
- Generalized Shrinkage Methods for Forecasting Using Many Predictors
Journal of Business & Economic Statistics, 2012, 30, (4), 481-493 View citations (152)
- Inflation and Unit Labor Cost
Journal of Money, Credit and Banking, 2012, 44, 111-149 View citations (38)
See also Working Paper (2012)
2011
- 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
- Indicators for Dating Business Cycles: Cross-History Selection and Comparisons
American Economic Review, 2010, 100, (2), 16-19 View citations (49)
- Modeling inflation after the crisis
Proceedings - Economic Policy Symposium - Jackson Hole, 2010, 173-220 View citations (66)
See also Working Paper (2010)
- Recollections of Clive Granger
The Journal of Financial Econometrics, 2010, 8, (2), 171-171
- 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
- Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
Econometrica, 2008, 76, (1), 155-174 View citations (270)
See also Working Paper (2008)
- Phillips curve inflation forecasts
Conference Series ; [Proceedings], 2008 View citations (174)
See also Working Paper (2008)
- Testing Models of Low-Frequency Variability
Econometrica, 2008, 76, (5), 979-1016 View citations (48)
See also Working Paper (2006)
2007
- ABCs (and Ds) of Understanding VARs
American Economic Review, 2007, 97, (3), 1021-1026 View citations (299)
- 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)
- 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)
- How accurate are real-time estimates of output trends and gaps?
Economic Quarterly, 2007, 93, (Spr), 143-161 View citations (47)
- Journal of Applied Econometrics Annual Lecture Series
Journal of Applied Econometrics, 2007, 22, (3), 701-701
- On the sources of the Great Moderation - discussion
Proceedings, 2007, (Nov)
- 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
- 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
- Commentary on \\"what's real about the business cycle?\\"
Review, 2005, 87, (Jul), 453-458
- Has inflation become harder to forecast?
Proceedings, 2005 View citations (5)
- 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
- Combination forecasts of output growth in a seven-country data set
Journal of Forecasting, 2004, 23, (6), 405-430 View citations (583)
- 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
- 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)
- Has the business cycle changed?
Proceedings - Economic Policy Symposium - Jackson Hole, 2003, 9-56 View citations (178)
- 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
- Assessing changes in the monetary transmission mechanism: a VAR approach: commentary
Economic Policy Review, 2002, 8, (May), 113-116 View citations (2)
- Forecasting Using Principal Components From a Large Number of Predictors
Journal of the American Statistical Association, 2002, 97, 1167-1179 View citations (1507)
- Low cost light traps for coral reef fishery research and sustainable ornamental fisheries
Naga, 2002, 25, (2), 4-7
- Macroeconomic Forecasting Using Diffusion Indexes
Journal of Business & Economic Statistics, 2002, 20, (2), 147-62 View citations (1317)
- Market anticipations of monetary policy actions - commentary
Review, 2002, 84, (Jul), 95-98
- 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
- Vector Autoregressions
Journal of Economic Perspectives, 2001, 15, (4), 101-115 View citations (543)
2000
- Recent changes in trend and cycle, remarks
Proceedings, 2000
1999
- A dynamic factor model framework for forecast combination
Spanish Economic Review, 1999, 1, (2), 91-121 View citations (44)
- Explaining the increased variability in long-term interest rates
Economic Quarterly, 1999, (Fall), 71-96 View citations (41)
- Forecasting inflation
Journal of Monetary Economics, 1999, 44, (2), 293-335 View citations (892)
See also Working Paper (1999)
- Special Section on Consumer Price Research: Introduction
Journal of Business & Economic Statistics, 1999, 17, (2), 137-40 View citations (1)
1998
- The Solution of Singular Linear Difference Systems under Rational Expectations
International Economic Review, 1998, 39, (4), 1015-26 View citations (227)
1997
- 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
- 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)
- Systematic Monetary Policy and the Effects of Oil Price Shocks
Brookings Papers on Economic Activity, 1997, 28, (1), 91-157 View citations (921)
- Testing long-run neutrality
Economic Quarterly, 1997, (Sum), 69-101 View citations (96)
See also Working Paper (1992)
- The NAIRU, Unemployment and Monetary Policy
Journal of Economic Perspectives, 1997, 11, (1), 33-49 View citations (345)
1996
- 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)
- Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process? Comment
Journal of Business & Economic Statistics, 1996, 14, (3), 394-96 View citations (8)
- 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
- Temporal instability of the unemployment-inflation relationship
Economic Perspectives, 1995, 19, (May), 2-12 View citations (61)
- Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
Econometric Theory, 1995, 11, (5), 984-1014 View citations (125)
1994
- 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)
- Rejoinder to Evans and McCallum
Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 243-250
- 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
- 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)
- Measures of Fit for Calibrated Models
Journal of Political Economy, 1993, 101, (6), 1011-41 View citations (226)
See also Working Paper (1991)
1991
- Stochastic Trends and Economic Fluctuations
American Economic Review, 1991, 81, (4), 819-40 View citations (833)
See also Working Paper (1991)
- Using econometric models to predict recessions
Economic Perspectives, 1991, 15, (Nov), 14-25 View citations (6)
1990
- Inference in Linear Time Series Models with Some Unit Roots
Econometrica, 1990, 58, (1), 113-44 View citations (1445)
1989
- Interpreting the evidence on money-income causality
Journal of Econometrics, 1989, 40, (1), 161-181 View citations (257)
See also Working Paper (1987)
- MTS: A Review
Journal of Applied Econometrics, 1989, 4, (2), 205-06
- Recursive solution methods for dynamic linear rational expectations models
Journal of Econometrics, 1989, 41, (1), 65-89 View citations (27)
1988
- A Reexamination of Friedman's Consumption Puzzle: Comment
Journal of Business & Economic Statistics, 1988, 6, (4), 408-09
- 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)
- Variable Trends in Economic Time Series
Journal of Economic Perspectives, 1988, 2, (3), 147-74 View citations (217)
1987
- Vector Autoregressions and Reality: Comment
Journal of Business & Economic Statistics, 1987, 5, (4), 451-53 View citations (2)
1986
- Does GNP have a unit root?
Economics Letters, 1986, 22, (2-3), 147-151 View citations (31)
- Univariate detrending methods with stochastic trends
Journal of Monetary Economics, 1986, 18, (1), 49-75 View citations (412)
1985
- A dymimic model of housing price determination
Journal of Econometrics, 1985, 28, (3), 307-326 View citations (17)
- Bank Rate Policy under the Interwar Gold Standard: A Dynamic Probit Model
Economic Journal, 1985, 95, (379), 725-45 View citations (107)
- 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
- Testing the interpretation of indices in a macroeconomic index model
Journal of Monetary Economics, 1984, 13, (2), 165-181 View citations (4)
1983
- 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)
- Imperfect Information and Wage Inertia in the Business Cycle: A Comment
Journal of Political Economy, 1983, 91, (5), 876-79
Books
1993
- Business Cycles, Indicators, and Forecasting
NBER Books, National Bureau of Economic Research, Inc View citations (517)
Edited books
2010
- Volatility and Time Series Econometrics: Essays in Honor of Robert Engle
OUP Catalogue, Oxford University Press View citations (71)
2001
- Essays in Econometrics Real Author-Name:Granger,Clive W. J
Cambridge Books, Cambridge University Press
- Essays in Econometrics Real Author-Name:Granger,Clive W. J
Cambridge Books, Cambridge University Press
- Essays in Econometrics Real Author-Name:Granger,Clive W. J
Cambridge Books, Cambridge University Press
- Essays in Econometrics Real Author-Name:Granger,Clive W. J
Cambridge Books, Cambridge University Press
1993
- Business Cycles, Indicators, and Forecasting
National Bureau of Economic Research Books, University of Chicago Press View citations (510)
Chapters
2022
- 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
- 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
- Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics
Elsevier View citations (202)
2015
- Comment on "Trends and Cycles in China's Macroeconomy"
A chapter in NBER Macroeconomics Annual 2015, Volume 30, 2015, pp 85-89
2013
- Comment on "Shocks and Crashes"
A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 367-378
2006
- Forecasting with Many Predictors
Elsevier View citations (313)
2003
- 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
- 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
- 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
- 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)
- Introduction to "Business Cycles, Indicators and Forecasting"
A chapter in Business Cycles, Indicators, and Forecasting, 1993, pp 1-10 View citations (66)
1989
- 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
- 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
- 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)
- 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
- Time series and spectral methods in econometrics
Chapter 17 in Handbook of Econometrics, 1984, vol. 2, pp 979-1022 View citations (20)
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