Now showing items 1-16 of 16

    • Consistent Factor Estimation in Dynamic Factor Models with Structural Instability 

      Bates, Brandon J.; Plagborg-Møller, Mikkel; Stock, James H.; Watson, Mark W. (Elsevier BV, 2013)
      This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which the principal components ...
    • Does temperature contain a stochastic trend? Evaluating conflicting statistical results 

      Kaufmann, Robert K.; Kauppi, Heikki; Stock, James H. (Springer Science + Business Media, 2009)
      We evaluate the claim by Gay et al. (Clim Change 94:333–349, 2009) that “surface temperature can be better described as a trend stationary process with a one-time permanent shock” than efforts by Kaufmann et al. (Clim ...
    • Dynamic Factor Models 

      Stock, James H.; Watson, Mark (Oxford University Press, 2011)
      This article surveys work on a class of models, dynamic factor models (DFMs), that has received considerable attention in the past decade because of their ability to model simultaneously and consistently data sets in which ...
    • Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve 

      Mavroeidis, Sophocles; Plagborg-Moller, Mikkel; Stock, James H. (American Economic Association, 2014)
      We review the main identification strategies and empirical evidence on the role of expectations in the New Keynesian Phillips curve, paying particular attention to the issue of weak identification. Our goal is to provide ...
    • Essays in Financial Economics and Econometrics 

      Bates, Brandon (2013-02-22)
      In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. ...
    • Essays in Macroeconometrics 

      Plagborg-Moller, Mikkel (2016-05-17)
      This dissertation consists of three independent chapters on econometric methods for macroeconomic analysis. In the first chapter, I propose to estimate structural impulse response functions from macroeconomic time series ...
    • Estimating turning points using large data sets 

      Stock, James H.; Watson, Mark W. (Elsevier BV, 2014)
      Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning ...
    • The Evolution of National and Regional Factors in U.S. Housing Construction 

      Stock, James H.; Watson, Mark (Oxford University Press, 2008)
      This paper presents and describes a newly available data set on monthly building permits for U.S. states from 1969-2007. These data are used to estimate regions of common housing construction activity. Building permits ...
    • Forecasting in dynamic factor models subject to structural instability 

      Stock, James H.; Watson, Mark W. (Oxford University Press, 2009)
      This chapter assesses forecasts constructed using dynamic factor models for their reliability in the face of structural breaks. Dynamic factor models have had notable empirical forecasting successes, but there has been ...
    • Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression 

      Stock, James H.; Watson, Mark (The Econometric Society, 2008)
      The conventional heteroskedasticity-robust (HR) variance matrix estimator for cross-sectional regression (with or without a degrees-of-freedom adjustment), applied to the fixed-effects estimator for panel data with serially ...
    • Indicators for Dating Business Cycles: Cross-History Selection and Comparisons 

      Stock, James H.; Watson, Mark W (American Economic Association, 2010)
    • Measuring Business Cycle Time 

      Stock, James H. (University of Chicago Press, 1987)
      The business cycle analysis of Burns and Mitchell and the National Bureau of Economic Research presumed that aggregate economic variables evolve on a time scale defined by business cycle turning points rather than by months ...
    • Measuring Money Growth When Financial Markets are Changing 

      Feldstein, Martin; Stock, James (Elsevier Science B.V., Amsterdam, 1996)
      This article considers constructing monetary aggregates in the presence of financial market innovations and changes in the relationship between individual assets and output. We propose two procedures for constructing a ...
    • The Other Transformation in Econometric Practice: Robust Tools for Inference 

      Stock, James H. (American Economic Association, 2010)
      Angrist and Pischke highlight one aspect of the research that has positively transformed econometric practice and teaching. They emphasize the rise of experiments and quasi-experiments as credible sources of identification ...
    • Phillips curve inflation forecasts 

      Stock, James H.; Watson, Mark W. (MIT Press, 2009)
    • Reconciling anthropogenic climate change with observed temperature 1998–2008 

      Kaufmann, R. K.; Kauppi, H.; Mann, M. L.; Stock, James H. (Proceedings of the National Academy of Sciences, 2011)
      Given the widely noted increase in the warming effects of rising greenhouse gas concentrations, it has been unclear why global surface temperatures did not rise between 1998 and 2008. We find that this hiatus in warming ...