Publications & Working Papers

Stock J, Watson M. Generalized Shrinkage Methods for Forecasting Using Many Predictors. Journal of Business & Economic Statistics. 2012;30 (4) :481-493. PDF
Stella A, Stock J. A State-Dependent Model for Inflation Forecasting. 2012. PDF
Montiel Olea JL, Stock J, Watson MW. Inference in Structural VARs with External Instruments. 2012. Presentation Slides
Stock J, Watson M. Disentangling the Channels of the 2007-2009 Recession. Brookings Papers on Economic Activity. 2012;Spring 2012 :81-135. PDF
Stock J, Watson M. Dynamic Factor Models. In: Clements MJ, Hendry DF Oxford Handbook on Economic Forecasting. Oxford: Oxford University Press ; 2011. PDF
Stock J. Discussion of Fuhrer, "The Role of Expectations in Inflation Dynamics". 2011. PDF Replication File
Introduction to Econometrics (3rd edition)
Stock J, Watson M. Introduction to Econometrics (3rd edition). Addison Wesley Longman; 2011.
Stock J, Mueller UK. Forecasts in a Slightly Misspecified Finite Order VAR. 2011. PDF
Stock J. Discussion of Ball and Mazumder, "Inflation Dynamics and the Great Recession. Brookings Papers on Economic Activity. 2011 :387-402. PDF
Stock J, Kaufmann R, Kauppi H, Mann M. Reconciling Anthropogenic Climate Change with Observed Temperature 1998-2008. Proceedings of the National Academy of Sciences. 2011;108 (29) :11790-11793. PDF Supplementary Material
Stock J, Watson MW. Estimating Turning Points using Large Data Sets. 2010. PDF
Kaufmann R, Kauppi H, Stock J. Does temperature contain a stochastic trend? Evaluating conflicting statistical results. Climatic Change. 2010;101 :395-405. PDF
Stock J, Watson M. Indicators for Dating Business Cycles: Cross-History Selection and Comparisons, in American Economic Review: Papers and Proceedings. ; 2010. PDF
Stock J, Watson M. Dynamic Factor Models. In: Clements MP, Henry DF Oxford Handbook of Economic Forecasting. Oxford: Oxford University Press ; 2010. Website PDF
Stock J, Watson M. Modeling Inflation After the Crisis. 2010. WebsiteAbstract

In the United States, the rate of price inflation falls in recessions. Turning this observation into a useful
inflation forecasting equation is difficult because of multiple sources of time variation in the inflation
process, including changes in Fed policy and credibility. We propose a tightly parameterized model
in which the deviation of inflation from a stochastic trend (which we interpret as long-term expected
inflation) reacts stably to a new gap measure, which we call the unemployment recession gap. The
short-term response of inflation to an increase in this gap is stable, but the long-term response depends
on the resilience, or anchoring, of trend inflation. Dynamic simulations (given the path of unemployment)
match the paths of inflation during post-1960 downturns, including the current one.

Stock J. The Other Transformation in Econometric Practice: Robust Tools for Inference. Journal of Economic Perspectives. 2010;24 (2) :83-94. PDF
Stock J, Watson MW. Forecasting in Dynamic Factor Models Subject to Structural Instability. In: Shephard N, Castle J The Methodology and Practice of Econometrics: Festschrift in Honor of D.F. Hendry. Oxford University Press ; 2009. pp. 1-57. Website PDF
Stock J, Watson MW. Phillips Curve Inflation Forecasts. In: Fuhrer J, Kodrzycki Y, Little J, Olivei G Understanding Inflation and the Implications for Monetary Policy. Cambridge: MIT Press ; 2009. pp. 99-202. PDF
Stock J, Watson M. The Evolution of National and Regional Factors in U.S. Housing Construction. In: Bollerslev T, Russell J, Watson M Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle. Oxford: Oxford University Press ; 2008. PDF
Stock J, Watson MW. Heteroskedasticity-Robust Standard Errors for Fixed Effects Regression. Econometrica. 2008;76 :155-174. PDF