James
Stock
Data archives and .pdf files for download (selected papers)
For papers or programs not listed here:
Downloadable papers and presentations:
Slides from invited
presentation, 2006 Far Eastern Meetings of the Econometric Society (.pdf file)
“Has
Inflation Become Harder to Forecast,” manuscript (2005) (with M.W. Watson) (.pdf file)
“An Empirical
Comparison of Methods for Forecasting Using Many Predictors,” manuscript (2005)
(with M.W. Watson) (.pdf file)
“Testing with
Many Weak Instruments,” manuscript (2005) (with D.W.K. Andrews) (.pdf file)
“Inference
with Weak Instruments,” manuscript (2005) (with D.W.K. Andrews) (invited survey
paper for the 2005 World Congress of the Econometric Society) (.pdf file)
“Implications
of Dynamic Factor Models for VAR Analysis,” manuscript (2005) (with M.W.
Watson) (.pdf file)
“Emissions,
Concentrations and Temperature: A Time
Series Analysis,” forthcoming, Climatic Change (with R. Kaufmann and H.
Kauppi) (.pdf file –
uncorrected page proofs)
“Optimal Two-Sided Invariant Similar Tests for
Instrumental Variables Regression” (2004), forthcoming, Econometrica
(with D.W.K. Andrews and M. Moreira) (.pdf file of paper and Supplement)
“Performance of Conditional Wald Tests in IV
Regression with Weak Instruments” (2004) (with D.W.K. Andrews and M. Moreira); forthcoming, Journal
of Econometrics (.pdf file)
“A Comparison of Direct and Iterated Multistep AR Methods for
Forecasting Macroeconomic Time Series” (2004)
(with Max Marcellino
and Mark Watson) (.pdf
file- page proofs)
“Asymptotic Properties of the
Hahn-Hausman Test for Weak Instruments” (2004) (with J. Hausman and M. Yogo) (.pdf file – page proofs)
“Optimal Tests for Reduced Rank Time Variation in
Regression Coefficients and Level Variation in the Multivariate Local Level
Model,” manuscript (2005) (with Piotr Eliasz and James Stock) (.pdf file)
“Has the Business Cycle
Changed? Evidence and Explanations
(August 2003) (prepared for Federal Reserve Bank of Kansas City 2003 Jackson
Hole Symposium) (.pdf file) ALSO: for details of model calculations see Technical Appendix (.pdf file)
“Understanding Changes in
International Business Cycle Dynamics” (May 2003), manuscript, with Mark
Watson. (.pdf file)
“Who Invented IV Regression?”
(Journal of Economic Perspectives,
2003) – see the page
on this topic
“How Did Leading Indicator
Forecasts Do During the 2001 Recession?” (January 2003), manuscript, with Mark
Watson. paper
(.pdf file)
“Combination Forecasts of
Output Growth in a Seven-Country Data Set,” (January 2003; revised January
2004), manuscript, with Mark Watson. paper (.pdf file)
“Testing for Weak Instruments
in Linear IV Regression,” manuscript, with Motohiro Yogo (September 2001;
revised February 2003). paper (.pdf file) (this
version supercedes NBER TWP#284).
“Asymptotic Distributions of
Instrumental Variables Statistics with Many Weak Instruments,” manuscript, with
Motohiro Yogo (February 2003). paper (.pdf file)
“Testing
Hypotheses about Mechanisms for the Unknown Carbon Sink: A Time Series Analysis,” Global
Biogeochemical Cycles, 17 (2003), 1072. (with Robert A. Kaufmann) (pdf file)
“The
Econometric Analysis of Business Cycles,” (2003), Medium Econometrisch
Toepassingen (special issue honoring J. Tinbergen), forthcoming. paper (.pdf file)
“A Survey of Weak Instruments and Weak
Identification in Generalized Method of Moments,” Journal of Business and Economic Statistics, 20, 518 – 529 (with M.
Yogo and J. Wright). article (.pdf file)
“Has the Business Cycle
Changed and Why?” NBER Macroeconomics Annual 2002 (with M. Watson). paper (.pdf file)
“Empirical Bayes Forecasts of One Time Series
Using Many Predictors,” manuscript, Kennedy School of Government (September
2000) (with M.W. Watson and Thomas Knox) paper
(.pdf) and mathematical appendix (.pdf)
“Forecasting Output and Inflation: The Role
of Asset Prices,” Journal of Economic
Literature 41, 788-829 (with M.W. Watson). paper (.pdf) and detailed appendix (.pdf)
“Time Series: Economic Forecasting,” entry in
International Encyclopedia of the Social Sciences, Amsterdam: Elsevier
(2002). article (.pdf)
“Instrumental Variables in Economics and
Statistics,” entry in International Encyclopedia of the Social Sciences
, Amsterdam: Elsevier (2002).article (.pdf)
“Diffusion Indexes,” manuscript, Kennedy
School of Government (1997) (with M. Watson); NBER Working Paper #6702 (with M.
Watson): NBER working paper (.pdf - 1998)
“A Comparison
of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time
Series,” ch. 1 in R. Engle and H. White (eds.), Cointegration, Causality and Forecasting: A Festschrift
for Clive W.J. Granger. Oxford: Oxford University Press (1999), 1-44 (with M.
Watson) – scanned reprint
(this is a big file – 8 MB!)
“Forecasting Inflation,” Journal of
Monetary Economics 44, no. 2, (1999), 293-335 (with M. Watson) – scanned reprint (this is a
big file – 6MB!).
Software and replication files:
Replication files for “Testing For and Dating
Common Breaks in Multivariate Time Series,” Review of Economic Studies
(1998) 65, 395 – 432 (with Jushan Bai and Robin Lumsdaine): replication files (.zip)
Replication files for “GMM With Weak
Identification,” Econometrica 68 (2000), 1055 – 1096 (with Jonathan
Wright): replication files (.zip)
“Inference in Models with Nearly Integrated
Regressors,” Econometric Theory, 1995 (with Chris Cavanagh and Graham
Elliott): replication files (.zip)
“Confidence Intervals for the Largest
Autoregressive Root in Macroeconomic Time Series,” Journal of Monetary
Economics (1991): replication files
(.zip). **NOTES: (1) The original
software included this .zip file is ancient and needs modification to run under
modern versions of GAUSS or RATS. Todd
Clark has updated the RATS code (3/17/03) and Todd’s update is included in the
RATSupdate directory in this .zip file.
Thanks Todd! (2) If anyone has a
STATA program that computes these intervals, please let me know and I’ll link
to your software.