Edit Profile (opens in new tab) Stock, James Harold Co-Author Distance Author ID: stock.james-h Published as: Stock, James H.; Stock, James External Links: MGP · Wikidata · GND · IdRef Documents Indexed: 35 Publications since 1987 2 Contributions as Editor · 1 Further Contribution Co-Authors: 26 Co-Authors with 34 Joint Publications 229 Co-Co-Authors all top 5 Co-Authors 3 single-authored 12 Watson, Mark W. 7 Andrews, Donald Wilfrid Kao 3 Moreira, Marcelo J. 3 Yogo, Motohiro 2 Elliott, Graham 2 Harvey, Andrew C. 2 Rothenberg, Thomas J. 1 Bai, Jushan 1 Bates, Brandon J. 1 Hausman, Jerry Allen 1 Kolokotrones, Thomas 1 Lazarus, Eben 1 Lewis, Daniel J. 1 Ljungqvist, Lars 1 Lumsdaine, Robin L. 1 Marcellino, Massimiliano 1 Mizrach, Bruce 1 Montiel Olea, José Luis 1 Onatski, Alexei 1 Park, Myungsoo 1 Plagborg-Møller, Mikkel 1 Powell, James L. 1 Sims, Christopher Albert 1 Staiger, Douglas O. 1 Stoker, Thomas M. 1 Walker, Christopher D. 1 Wright, Jonathan H. all top 5 Serials 13 Journal of Econometrics 10 Econometrica 3 Journal of the American Statistical Association 2 Journal of Economic Dynamics & Control 1 The Review of Economic Studies 1 Economics Letters 1 Studies in Nonlinear Dynamics and Econometrics 1 Macroeconomic Dynamics all top 5 Fields 36 Statistics (62-XX) 9 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 General and overarching topics; collections (00-XX) 2 Numerical analysis (65-XX) 1 History and biography (01-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Probability theory and stochastic processes (60-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 33 Publications have been cited 2,646 times in 2,127 Documents Cited by ▼ Year ▼ Forecasting using principal components from a large number of predictors. Zbl 1041.62081 Stock, James H.; Watson, Mark W. 365 2002 Efficient tests for an autoregressive unit root. Zbl 0888.62088 Elliott, Graham; Rothenberg, Thomas J.; Stock, James H. 356 1996 Semiparametric estimation of index coefficients. Zbl 0683.62070 Powell, James L.; Stock, James H.; Stoker, Thomas M. 355 1989 Instrumental variables regression with weak instruments. Zbl 0871.62101 Staiger, Douglas; Stock, James H. 285 1997 Testing for common trends. Zbl 0673.62099 Stock, James H.; Watson, Mark W. 159 1988 GMM with weak identification. Zbl 1015.62105 Stock, James H.; Wright, Jonathan H. 153 2000 A simple estimator of cointegrating vectors in higher order integrated systems. Zbl 0801.62097 Stock, James H.; Watson, Mark W. 142 1993 Inference in linear time series models with some unit roots. Zbl 0724.62087 Sims, Christopher A.; Stock, James H.; Watson, Mark W. 126 1990 Testing for and dating common braks in multivariate time series. Zbl 0910.90074 Bai, Jushan; Lumsdaine, Robin L.; Stock, James H. 77 1998 Asymptotic properties of least squares estimators of cointegrating vectors. Zbl 0651.62105 Stock, James H. 75 1987 Optimal two-sided invariant similar tests for instrumental variables regression. Zbl 1128.62022 Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. 75 2006 Testing for weak instruments in linear IV regression. Zbl 1121.62066 Stock, James H.; Yogo, Motohiro 70 2005 A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Zbl 1418.62513 Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. 55 2006 Forecasting in dynamic factor models subject to structural instability. Zbl 1456.62219 Stock, James H.; Watson, Mark W. 45 2009 Median unbiased estimation of coefficient variance in a time-varying parameter model. Zbl 0906.62093 Stock, James H.; Watson, Mark W. 33 1998 Consistent factor estimation in dynamic factor models with structural instability. Zbl 1288.62125 Bates, Brandon J.; Plagborg-Møller, Mikkel; Stock, James H.; Watson, Mark W. 30 2013 Inference with weak instruments. Zbl 1131.62105 Andrew, Donald W. K.; Stock, James H. 22 2007 Asymptotic distributions of instrumental variables statistics with many instruments. Zbl 1119.62015 Stock, James H.; Yogo, Motohiro 21 2005 Confidence intervals for autoregressive coefficients near one. Zbl 0969.62058 Elliott, Graham; Stock, James H. 21 2001 Heteroskedasticity-robust standard errors for fixed effects panel data regression. Zbl 1132.62102 Stock, James H.; Watson, Mark W. 19 2008 Robust monetary policy under model uncertainty in a small model of the U. S. economy. Zbl 1008.91511 Onatski, Alexei; Stock, James H. 18 2002 Continuous time autoregressive models with common stochastic trends. Zbl 0647.62104 Harvey, A. C.; Stock, James H. 17 1988 Inference in a nearly integrated autoregressive model with nonnormal innovations. Zbl 0888.62094 Rothenberg, Thomas J.; Stock, James H. 17 1997 Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Zbl 1100.62623 16 2005 Performance of conditional Wald tests in IV regression with weak instruments. Zbl 1418.62408 Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. 14 2007 Deciding between I(1) and I(0). Zbl 0814.62080 Stock, James H. 14 1994 Testing with many weak instruments. Zbl 1418.62409 Andrews, Donald W. K.; Stock, James H. 13 2007 Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments. Zbl 1429.62650 Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. 12 2008 Estimating integrated higher-order continuous time autoregressions with an application to money-income causality. Zbl 0692.62099 Harvey, A. C.; Stock, James H. 11 1989 Inference in structural vector autoregressions identified with an external instrument. Zbl 07414281 Montiel Olea, José L.; Stock, James H.; Watson, Mark W. 11 2021 Estimating turning points using large data sets. Zbl 1293.62204 Stock, James H.; Watson, Mark W. 7 2014 Asymptotic properties of the Hahn-Hausman test for weak-instruments. Zbl 1255.62352 Hausman, Jerry; Stock, James H.; Yogo, Motohiro 6 2005 The size-power tradeoff in HAR inference. Zbl 07684925 Lazarus, Eben; Lewis, Daniel J.; Stock, James H. 6 2021 Inference in structural vector autoregressions identified with an external instrument. Zbl 07414281 Montiel Olea, José L.; Stock, James H.; Watson, Mark W. 11 2021 The size-power tradeoff in HAR inference. Zbl 07684925 Lazarus, Eben; Lewis, Daniel J.; Stock, James H. 6 2021 Estimating turning points using large data sets. Zbl 1293.62204 Stock, James H.; Watson, Mark W. 7 2014 Consistent factor estimation in dynamic factor models with structural instability. Zbl 1288.62125 Bates, Brandon J.; Plagborg-Møller, Mikkel; Stock, James H.; Watson, Mark W. 30 2013 Forecasting in dynamic factor models subject to structural instability. Zbl 1456.62219 Stock, James H.; Watson, Mark W. 45 2009 Heteroskedasticity-robust standard errors for fixed effects panel data regression. Zbl 1132.62102 Stock, James H.; Watson, Mark W. 19 2008 Efficient two-sided nonsimilar invariant tests in IV regression with weak instruments. Zbl 1429.62650 Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. 12 2008 Inference with weak instruments. Zbl 1131.62105 Andrew, Donald W. K.; Stock, James H. 22 2007 Performance of conditional Wald tests in IV regression with weak instruments. Zbl 1418.62408 Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. 14 2007 Testing with many weak instruments. Zbl 1418.62409 Andrews, Donald W. K.; Stock, James H. 13 2007 Optimal two-sided invariant similar tests for instrumental variables regression. Zbl 1128.62022 Andrews, Donald W. K.; Moreira, Marcelo J.; Stock, James H. 75 2006 A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series. Zbl 1418.62513 Marcellino, Massimiliano; Stock, James H.; Watson, Mark W. 55 2006 Testing for weak instruments in linear IV regression. Zbl 1121.62066 Stock, James H.; Yogo, Motohiro 70 2005 Asymptotic distributions of instrumental variables statistics with many instruments. Zbl 1119.62015 Stock, James H.; Yogo, Motohiro 21 2005 Identification and inference for econometric models. Essays in honor of Thomas Rothenberg. Zbl 1100.62623 16 2005 Asymptotic properties of the Hahn-Hausman test for weak-instruments. Zbl 1255.62352 Hausman, Jerry; Stock, James H.; Yogo, Motohiro 6 2005 Forecasting using principal components from a large number of predictors. Zbl 1041.62081 Stock, James H.; Watson, Mark W. 365 2002 Robust monetary policy under model uncertainty in a small model of the U. S. economy. Zbl 1008.91511 Onatski, Alexei; Stock, James H. 18 2002 Confidence intervals for autoregressive coefficients near one. Zbl 0969.62058 Elliott, Graham; Stock, James H. 21 2001 GMM with weak identification. Zbl 1015.62105 Stock, James H.; Wright, Jonathan H. 153 2000 Testing for and dating common braks in multivariate time series. Zbl 0910.90074 Bai, Jushan; Lumsdaine, Robin L.; Stock, James H. 77 1998 Median unbiased estimation of coefficient variance in a time-varying parameter model. Zbl 0906.62093 Stock, James H.; Watson, Mark W. 33 1998 Instrumental variables regression with weak instruments. Zbl 0871.62101 Staiger, Douglas; Stock, James H. 285 1997 Inference in a nearly integrated autoregressive model with nonnormal innovations. Zbl 0888.62094 Rothenberg, Thomas J.; Stock, James H. 17 1997 Efficient tests for an autoregressive unit root. Zbl 0888.62088 Elliott, Graham; Rothenberg, Thomas J.; Stock, James H. 356 1996 Deciding between I(1) and I(0). Zbl 0814.62080 Stock, James H. 14 1994 A simple estimator of cointegrating vectors in higher order integrated systems. Zbl 0801.62097 Stock, James H.; Watson, Mark W. 142 1993 Inference in linear time series models with some unit roots. Zbl 0724.62087 Sims, Christopher A.; Stock, James H.; Watson, Mark W. 126 1990 Semiparametric estimation of index coefficients. Zbl 0683.62070 Powell, James L.; Stock, James H.; Stoker, Thomas M. 355 1989 Estimating integrated higher-order continuous time autoregressions with an application to money-income causality. Zbl 0692.62099 Harvey, A. C.; Stock, James H. 11 1989 Testing for common trends. Zbl 0673.62099 Stock, James H.; Watson, Mark W. 159 1988 Continuous time autoregressive models with common stochastic trends. Zbl 0647.62104 Harvey, A. C.; Stock, James H. 17 1988 Asymptotic properties of least squares estimators of cointegrating vectors. Zbl 0651.62105 Stock, James H. 75 1987 all cited Publications top 5 cited Publications all top 5 Cited by 2,594 Authors 33 Taylor, A. M. Robert 22 Fan, Jianqing 22 Phillips, Peter Charles Bonest 21 Leybourne, Stephen J. 20 Bai, Jushan 19 Perron, Pierre 18 Cavaliere, Giuseppe 17 Hallin, Marc 16 Chen, Songnian 16 Harvey, David I. 16 Stock, James Harold 15 Andrews, Donald Wilfrid Kao 15 Kapetanios, George 15 Khalaf, Lynda 14 Cook, Steven C. 14 Jansson, Michael 14 Li, Qi 13 Ng, Serena 12 Caner, Mehmet 12 Guggenberger, Patrik 12 Inoue, Atsushi 12 Linton, Oliver Bruce 12 Pesaran, M. Hashem 11 Barigozzi, Matteo 11 Chambers, Marcus J. 11 Dufour, Jean-Marie 11 Kleibergen, Frank 11 Müller, Ulrich K. 11 Renault, Eric 11 Zhu, Lixing 10 Breitung, Jorg 10 Liao, Yuan 10 Lu, Xuewen 10 Marcellino, Massimiliano 10 Peña, Daniel 10 Robinson, Peter Michael 10 Tsay, Ruey S. 10 Wagner, Martin Franz-Xaver 10 Windmeijer, Frank A. G. 9 Ando, Tomohiro 9 Cattaneo, Matias D. 9 Fang, Ying 9 Hendry, David F. 9 Herwartz, Helmut 9 Kurozumi, Eiji 9 Ling, Shiqing 9 Lütkepohl, Helmut 9 Newey, Whitney Kent 9 Su, Liangjun 9 Swanson, Norman Rasmus 8 Antoine, Bertille 8 Baltagi, Badi H. 8 Cai, Zongwu 8 Elliott, Graham 8 Fan, Yanqin 8 Forchini, Giovanni 8 Kao, Chihwa 8 Khan, Shakeeb 8 Lewbel, Arthur 8 Lippi, Marco 8 Marsh, Patrick 8 Moon, Hyungsik Roger 8 Otsu, Taisuke 8 Perron, Benoit 8 Rodrigues, Paulo M. M. 8 Saikkonen, Pentti 8 Xiao, Zhijie 7 Andrews, Isaiah 7 Cheng, Xu 7 Escanciano, Juan Carlos 7 Härdle, Wolfgang Karl 7 Hausman, Jerry Allen 7 Kichian, Maral 7 Moreira, Marcelo J. 7 Paruolo, Paolo 7 Sun, Yiguo 7 Watson, Mark W. 6 Chernozhukov, Victor 6 Demetrescu, Matei 6 Gil-Alana, Luis Alberiko 6 Hahn, Jinyong 6 Hall, Alastair R. 6 Hansen, Bruce E. 6 Horowitz, Joel Lawrence 6 Hsiao, Cheng 6 Hsu, Yu-Chin 6 Matsushita, Yukitoshi 6 Mikusheva, Anna 6 Shin, Dongwan 6 Timmermann, Allan G. 6 Tsai, Chihling 6 Urga, Giovanni 6 Vogelsang, Timothy J. 6 Westerlund, Joakim 6 Wright, Jonathan H. 6 Xu, Keli 5 Ai, Chunrong 5 Aradillas-Lopez, Andres 5 Bun, Maurice J. G. 5 Cappuccio, Nunzio ...and 2,494 more Authors all top 5 Cited in 158 Serials 600 Journal of Econometrics 193 Econometric Theory 127 Econometric Reviews 102 Economics Letters 85 Journal of Economic Dynamics & Control 72 Journal of Time Series Analysis 67 Computational Statistics and Data Analysis 39 Journal of Multivariate Analysis 38 Econometrica 37 Journal of the American Statistical Association 34 Studies in Nonlinear Dynamics and Econometrics 32 Journal of Statistical Planning and Inference 31 Open Economies Review 30 The Econometrics Journal 29 The Annals of Statistics 25 Journal of Business and Economic Statistics 24 Journal of Forecasting 23 Journal of Applied Statistics 23 Quantitative Economics 21 Communications in Statistics. Simulation and Computation 21 Journal of Statistical Computation and Simulation 20 Communications in Statistics. Theory and Methods 20 Journal of Nonparametric Statistics 17 Statistics & Probability Letters 16 Quantitative Finance 14 Mathematics and Computers in Simulation 14 Electronic Journal of Statistics 12 Computational Statistics 12 Statistical Papers 11 Annals of the Institute of Statistical Mathematics 10 European Journal of Operational Research 10 Journal of Econometric Methods 9 Bulletin of Economic Research 8 International Economic Review 8 Macroeconomic Dynamics 8 Journal of Economic Growth 7 Annals of Operations Research 7 Journal of Machine Learning Research (JMLR) 7 Statistical Methods and Applications 7 Journal of the Korean Statistical Society 7 The Annals of Applied Statistics 6 Physica A 6 Psychometrika 6 Scandinavian Journal of Statistics 6 Biometrics 6 Statistical Science 6 Computational Economics 6 Bernoulli 6 Journal of Time Series Econometrics 5 Metrika 5 International Journal of Theoretical and Applied Finance 4 International Statistical Review 4 Acta Mathematicae Applicatae Sinica. English Series 4 Statistics 4 Stochastic Processes and their Applications 4 Applied Stochastic Models in Business and Industry 4 Journal of Systems Science and Complexity 4 AStA. Allgemeines Statistisches Archiv 4 Statistical Modelling 4 Asia-Pacific Financial Markets 4 AStA. Advances in Statistical Analysis 4 Science China. Mathematics 4 Statistics and Computing 3 The American Statistician 3 The Canadian Journal of Statistics 3 Computers & Mathematics with Applications 3 Applied Mathematics and Computation 3 Automatica 3 Statistica Neerlandica 3 Test 3 Statistica Sinica 3 Bayesian Analysis 2 Statistica 2 Insurance Mathematics & Economics 2 Revista Colombiana de Estadística 2 International Journal of Approximate Reasoning 2 Mathematical and Computer Modelling 2 The Annals of Applied Probability 2 Automation and Remote Control 2 Economic Theory 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 2 Natural Resource Modeling 2 CEJOR. Central European Journal of Operations Research 2 Decisions in Economics and Finance 2 International Journal of Wavelets, Multiresolution and Information Processing 2 Journal of Computational and Graphical Statistics 2 Journal of Probability and Statistics 2 Wiley Interdisciplinary Reviews. WIREs Computational Statistics 2 Epidemiologic Methods 2 Statistical Theory and Related Fields 2 Environmetrics 1 Biometrical Journal 1 Journal of Economic Theory 1 Journal of Environmental Economics and Management 1 Kybernetes 1 Kybernetika 1 Metroeconomica 1 Naval Research Logistics 1 Opsearch 1 Journal of the Japan Statistical Society ...and 58 more Serials all top 5 Cited in 25 Fields 1,905 Statistics (62-XX) 624 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 189 Numerical analysis (65-XX) 85 Probability theory and stochastic processes (60-XX) 23 Computer science (68-XX) 19 Systems theory; control (93-XX) 18 Operations research, mathematical programming (90-XX) 8 General and overarching topics; collections (00-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 7 History and biography (01-XX) 7 Geophysics (86-XX) 5 Biology and other natural sciences (92-XX) 5 Information and communication theory, circuits (94-XX) 4 Dynamical systems and ergodic theory (37-XX) 3 Harmonic analysis on Euclidean spaces (42-XX) 2 Approximations and expansions (41-XX) 2 Functional analysis (46-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 Combinatorics (05-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Calculus of variations and optimal control; optimization (49-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.