User profiles for Mark A Watson

Mark A Watson

Schrodinger Inc
Verified email at schrodinger.com
Cited by 6729

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 …

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 …

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 …

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 …

[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 …

Somatic mutations affect key pathways in lung adenocarcinoma

…, PJ Good, AC Chang, DG Beer, MA Watson… - Nature, 2008 - nature.com
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 …

Advances in molecular quantum chemistry contained in the Q-Chem 4 program package

…, L Vogt, O Vydrov, T Wang, MA Watson… - Molecular …, 2015 - Taylor & Francis
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 …

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 …

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 …

Inference in linear time series models with some unit roots

CA Sims, JH Stock, MW Watson - Econometrica: Journal of the Econometric …, 1990 - JSTOR
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 …