User profiles for Mark A Watson
Mark A WatsonSchrodinger Inc Verified email at schrodinger.com Cited by 6772 |
Forecasting using principal components from a large number of predictors
JH Stock, MW Watson - Journal of the American statistical …, 2002 - Taylor & Francis
This article considers forecasting a single time series when there are many predictors (N)
and time series observations (T). When the data follow an approximate factor model, the …
and time series observations (T). When the data follow an approximate factor model, the …
Forecasting output and inflation: The role of asset prices
JH Stock, MW Watson - Journal of economic literature, 2003 - aeaweb.org
Are asset prices useful predictors of inflation and real output growth? After reviewing the
large literature on this topic, we undertake an empirical analysis of quarterly data for seven …
large literature on this topic, we undertake an empirical analysis of quarterly data for seven …
New indexes of coincident and leading economic indicators
JH Stock, MW Watson - NBER macroeconomics annual, 1989 - journals.uchicago.edu
The system of Leading and Coincident Economic Indicators, currently maintained by the US
Department of Commerce (DOC), was developed as part of the NBER research program on …
Department of Commerce (DOC), was developed as part of the NBER research program on …
A simple estimator of cointegrating vectors in higher order integrated systems
JH Stock, MW Watson - Econometrica: journal of the Econometric Society, 1993 - JSTOR
Efficient estimators of cointegrating vectors are presented for systems involving deterministic
components and variables of differing, higher orders of integration. The estimators are …
components and variables of differing, higher orders of integration. The estimators are …
[BOOK][B] Introduction to econometrics
JH Stock, MW Watson - 2020 - thuvienso.hoasen.edu.vn
This book maintains a focus on currency, while building on the philosophy that applications
should drive the theory, not the other way around. The text incorporates real-world questions …
should drive the theory, not the other way around. The text incorporates real-world questions …
Somatic mutations affect key pathways in lung adenocarcinoma
Determining the genetic basis of cancer requires comprehensive analyses of large collections
of histopathologically well-classified primary tumours. Here we report the results of a …
of histopathologically well-classified primary tumours. Here we report the results of a …
Advances in molecular quantum chemistry contained in the Q-Chem 4 program package
A summary of the technical advances that are incorporated in the fourth major release of the
Q-Chem quantum chemistry program is provided, covering approximately the last seven …
Q-Chem quantum chemistry program is provided, covering approximately the last seven …
Macroeconomic forecasting using diffusion indexes
JH Stock, MW Watson - Journal of Business & Economic Statistics, 2002 - Taylor & Francis
This article studies forecasting a macroeconomic time series variable using a large number
of predictors. The predictors are summarized using a small number of indexes constructed …
of predictors. The predictors are summarized using a small number of indexes constructed …
Testing for common trends
JH Stock, MW Watson - Journal of the American statistical …, 1988 - Taylor & Francis
Cointegrated multiple time series share at least one common trend. Two tests are developed
for the number of common stochastic trends (ie, for the order of cointegration) in a multiple …
for the number of common stochastic trends (ie, for the order of cointegration) in a multiple …
Inference in linear time series models with some unit roots
This paper considers estimation and hypothesis testing in linear time series models when
some or all of the variables have unit roots. Our motivating example is a vector autoregression …
some or all of the variables have unit roots. Our motivating example is a vector autoregression …