Publications & Working Papers

2001
Stock J. Discussion of Cogley and Sargent, ‘Evolving Post-World War II Inflation Dynamics’. NBER Macroeconomics Annual. 2001 :379 – 386. PDF
Stock J. Forecasting Economic Time Series. In: Baltagi B Companion in Theoretical Econometrics. Malden: Basil Blackwell ; 2001. pp. 562-584. PDF
Stock J. Macro-econometrics. Journal of Econometrics. 2001;100 (1) :29-32. PDF
Staiger D, Watson M, Stock J. Prices, Wages and the U.S. NAIRU in the 1990s. In: Krueger A, Solow R The Roaring Nineties. New York: Russell Sage Foundation ; 2001. pp. 3-60. PDF
Kremer M, Onatski A, Stock J. Searching for Prosperity. Carnegie-Rochester Conference Series on Public Policy. 2001;55 (1) :275-303. PDF
Stock J, Elliott G. Confidence Intervals for Autoregressive Coefficients Near One. Journal of Econometrics. 2001;103 :155 – 181. PDF
Stock J, Watson MW. Vector Autoregressions. Journal of Economic Perspectives. 2001;15 (4) :101 – 116. PDF
2000
Stock J, Keilis-Borok V, Soloviev A, Mikhalev P. Pre-Recession Pattern of Six Economic Indicators in the USA. Journal of Forecasting. 2000;19 :65-80. PDF
Stock J, Wright J. GMM With Weak Identification. Econometrica. 2000;68 (5) :1055-1096. PDF Replication Files
Stock J, Watson M, Knox T. Empirical Bayes Forecasts of One Time Series Using Many Predictors. 2000. WebsiteAbstract

We consider both frequentist and empirical Bayes forecasts of a single time series using a linear
model with T observations and K orthonormal predictors. The frequentist formulation considers
estimators that are equivariant under permutations (reorderings) of the regressors. The empirical
Bayes formulation (both parametric and nonparametric) treats the coefficients as i.i.d. and estimates
their prior. Asymptotically, when K is proportional to T the empirical Bayes estimator is shown to
be: (i) optimal in Robbins' (1955, 1964) sense; (ii) the minimum risk equivariant estimator; and
(iii) minimax in both the frequentist and Bayesian problems over a class of nonGaussian error
distributions. Also, the asymptotic frequentist risk of the minimum risk equivariant estimator is
shown to equal the Bayes risk of the (infeasible subjectivist) Bayes estimator in the Gaussian case,
where the "prior" is the weak limit of the empirical cdf of the true parameter values. Monte Carlo
results are encouraging. The new estimators are used to forecast monthly postwar U.S.
macroeconomic time series using the first 151 principal components from a large panel of
predictors.

PDF Appendix
1999
Stock J. Comment on ‘Policy Rules and Inflation Targeting’ by G. Rudebusch and L. Svensson. In: Taylor J Monetary Policy Rules. University of Chicago Press ; 1999. pp. 153 – 262. PDF
Watson M, Stock J. Business Cycle Fluctuations in U.S. Macroeconomic Time Series. In: Taylor J, Woodford M Handbook of Macroeconomics. Amsterdam: Elsevier ; 1999. pp. 3-64. PDF
Stock J. A Class of Tests for Integration and Cointegration. In: Engle R, White H Cointegration, Causality and Forecasting: A Festschrift for Clive W.J. Granger. Oxford: Oxford University Press ; 1999. pp. 135-167. PDF
Clayton-Matthews A, Stock J. An Application of the Stock/Watson Index Methodology to the Massachusetts Economy. Journal of Economic and Social Measurement. 1999;25 :183-233. PDF
Stock J, Chan L, Watson M. A Dynamic Factor Model Framework for Forecast Combination. Spanish Economic Review. 1999;1 :91-121. PDF
Stock J. Monetary Policy in a Changing Economy: Indicators, Rules, and the Shift Towards Intangible Output. 1999. PDF
Stock J, Watson M. Forecasting Inflation. Journal of Monetary Economics. 1999;44 (2) :293-335. PDF
Stock J, Watson M. A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series. In: Engle R, White H Cointegration, Causality and Forecasting: A Festschrift for Clive W.J. Granger. Oxford: Oxford University Press ; 1999. pp. 1-44. Website PDF
1998
Stock J, Bai J, Lumsdaine R. Testing For and Dating Common Breaks in Multivariate Time Series. Review of Economic Studies. 1998;(65) :395-432.
Stock J. Discussion of ‘Foundation of the Goldilocks Economy’ by Robert Gordon. Brookings Papers on Economic Activity. 1998;2 :334-346. PDF

Pages