← All authors Mark W. Watson Princeton University (from arXiv:2102.09353, 2021) · ORCID · OpenAlex
116 papers in scope · 116 published · 1 on the econ.EM arXiv · 39,944 citations · h-index 63 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
T. Kikuchi Alexander Lehner Tatsuru Kikuchi Ruonan Xu David M. Ritzwoller Ulrich K. Müller Bruno Ferman Guido W. Imbens Jeffrey M. Wooldridge Jorge A. Arroyo Susan Athey Pedro H. C. Sant’Anna Liyang Sun Brantly Callaway Sarah Abraham Jann Spiess Victor Chernozhukov Peter Hull Kyle Butts Kirill Borusyak Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 116)
Forecasting Related Time Series
published 2026 · Journal of Applied Econometrics
Comment
published 2026 · NBER Macroeconomics Annual
Time Varying Extremes
published 2024 · The Review of Economics and Statistics · 4 citations
Spatial Unit Roots and Spurious Regression
published 2024 · Econometrica · 22 citations
Comment
published 2023 · NBER Macroeconomics Annual
Spatial Correlation Robust Inference in Linear Regression and Panel Models
published 2022 · Journal of Business and Economic Statistics · 13 citations
Comprehensive evidence implies a higher social cost of CO2
published 2022 · Nature · 1018 citations
with Kevin Rennert, Frank Errickson, Brian Prest, Lisa Rennels, Richard G. Newell, William A. Pizer, Cora Kingdon, Jordan Wingenroth, Roger Cooke, Bryan Parthum, David J. Smith, Kevin Cromar, …
Aggregate Implications of Changing Sectoral Trends
published 2022 · Journal of Political Economy · 33 citations · first circulated 2019
with Andrew T. Foerster, Andreas Hornstein, Pierre-Daniel G. Sarte
published 2022 · Econometrica · 36 citations · first circulated 2021
Slack and Cyclically Sensitive Inflation
published 2020 · Journal of money credit and banking · 139 citations · first circulated 2019
with James H. Stock
An Econometric Model of International Growth Dynamics for Long-Horizon Forecasting
published 2020 · The Review of Economics and Statistics · 41 citations
Inference in Structural Vector Autoregressions identified with an external instrument
published 2020 · Journal of Econometrics · 152 citations
Comment
published 2020 · NBER Macroeconomics Annual · 11 citations
How Have Changing Sectoral Trends Affected GDP Growth
published 2019 · FRB SF weekly letter · 3 citations
with Andrew T. Foerster, Andreas Hornstein, Pierre-Daniel G. Sarte
no link
HAR Inference: Recommendations for Practice
published 2018 · Journal of Business and Economic Statistics · 232 citations
with Eben Lazarus, Daniel Lewis, James H. Stock
HAR Inference: Recommendations for Practice Rejoinder
published 2018 · Journal of Business and Economic Statistics · 4 citations
with Eben Lazarus, Daniel Lewis, James H. Stock
Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments
published 2018 · The Economic Journal · 634 citations
with James H. Stock
Long-Run Covariability
published 2018 · Econometrica · 104 citations · first circulated 2017
Twenty Years of Time Series Econometrics in Ten Pictures
published 2017 · The Journal of Economic Perspectives · 94 citations
with James H. Stock
The Disappointing Recovery in U.S. Output after 2009
published 2017 · Brookings Papers on Economic Activity · 65 citations
with John G. Fernald, Robert E. Hall, James H. Stock
Presidents and the US Economy: An Econometric Exploration
published 2016 · American Economic Review · 217 citations
with Alan S. Blinder
Core Inflation and Trend Inflation
published 2016 · The Review of Economics and Statistics · 173 citations · first circulated 2015
with James H. Stock
Measuring Uncertainty about Long-Run Predictions
published 2016 · The Review of Economic Studies · 94 citations · first circulated 2013
Comments and Discussion
published 2016 · Brookings Papers on Economic Activity
with Wolfram Schlenker
Comment
published 2016 · NBER Macroeconomics Annual
Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
published 2015 · Econometrica · 136 citations
Inflation Persistence, the NAIRU, and the Great Recession
published 2014 · American Economic Review · 87 citations
Comment
published 2014 · NBER Macroeconomics Annual
Consistent factor estimation in dynamic factor models with structural instability
published 2013 · Journal of Econometrics · 144 citations
Low-frequency robust cointegration testing
published 2013 · Journal of Econometrics · 28 citations · first circulated 2007
Inflation and Unit Labor Cost
published 2012 · Journal of money credit and banking · 93 citations
with Robert G. King
Generalized Shrinkage Methods for Forecasting Using Many Predictors
published 2012 · Journal of Business and Economic Statistics · 318 citations
with James H. Stock
Disentangling the Channels of the 2007–09 Recession
published 2012 · Brookings Papers on Economic Activity · 792 citations
with James H. Stock
Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production
published 2011 · Journal of Political Economy · 436 citations · first circulated 2008
with Andrew T. Foerster, Pierre-Daniel Sarte, Pierre-Daniel G. Sarte
Relative Goods' Prices, Pure Inflation, and The Phillips Correlation
published 2010 · American Economic Journal Macroeconomics · 164 citations · first circulated 2007
with Ricardo Reis
Indicators for Dating Business Cycles: Cross-History Selection and Comparisons
published 2010 · American Economic Review · 77 citations
with James H. Stock
Combining Distributed Temperature Sensing with Inflow Control Devices – Provides Improved Injection Profile with Real-Time Measurement in Power Water Injector Wells
published 2010 · SPE Intelligent Energy Conference and Exhibition · 3 citations
with Drew Hembling, Garo Berberian, Sam Simonian, G. Naldrett
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression
published 2008 · Econometrica · 613 citations · first circulated 2006
with James H. Stock
ABCs (and Ds) of Understanding VARs
published 2007 · American Economic Review · 495 citations
Journal of Applied Econometrics Annual Lecture Series
published 2007 · Journal of Applied Econometrics
Why Has U.S. Inflation Become Harder to Forecast?
published 2007 · Journal of money credit and banking · 1682 citations · first circulated 2005
with James H. Stock
Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
published 2006 · Journal of Business and Economic Statistics · 236 citations
with Dante Amengual
Assessing Structural VARs [with Comments and Discussion]
published 2006 · NBER Macroeconomics Annual · 49 citations
with Lawrence J. Christiano, Martin Eichenbaum, Robert J. Vigfusson, Patrick J. Kehoe
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
published 2005 · Journal of Econometrics · 186 citations
Understanding Changes in International Business Cycle Dynamics
published 2005 · Journal of the European Economic Association · 268 citations · first circulated 2003
with James H. Stock
Commentary on \\"what's real about the business cycle?\\"
published 2005 · Canadian parliamentary review
no link
Combination forecasts of output growth in a seven‐country data set
published 2004 · Journal of Forecasting · 1176 citations
with James H. Stock
Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: A Reply
published 2004 · Journal of money credit and banking · 141 citations
with Ben Bernanke, Mark Gertler
[Monetary Policy in Real Time]: Comment
published 2004 · NBER Macroeconomics Annual · 13 citations
Forecasting Output and Inflation: The Role of Asset Prices
published 2003 · Journal of Economic Literature · 1107 citations
with James H. Stock
Macroeconomic forecasting in the Euro area: Country specific versus area-wide information
published 2003 · European Economic Review · 430 citations
How Did Leading Indicator Forecasts Perform during the 2001 Recession
published 2003 · Economic quarterly - Federal Reserve Bank of Richmond · 64 citations
with James H. Stock
no link
Has the business cycle changed
published 2003 · Proceedings - Economic Policy Symposium - Jackson Hole · 72 citations
with James H. Stock
no link
Forecasting Using Principal Components From a Large Number of Predictors
published 2002 · Journal of the American Statistical Association · 3077 citations
with James H. Stock
System Reduction and Solution Algorithms for Singular Linear Difference Systems under Rational Expectations
published 2002 · Computational Economics · 129 citations
with Robert G. King
Market Anticipations of Monetary Policy Actions / Commentary
published 2002 · Canadian parliamentary review
with William Poole, Robert H. Rasche, Daniel L. Thornton
no link
Macroeconomic Forecasting Using Diffusion Indexes
published 2002 · Journal of Business and Economic Statistics · 2643 citations
with James H. Stock
Assessing changes in the monetary transmission mechanism: a VAR approach: commentary
published 2002 · Swedish economic policy review
no link
Has the Business Cycle Changed and Why?
published 2002 · NBER Macroeconomics Annual
with James H. Stock
Vector Autoregressions
published 2001 · The Journal of Economic Perspectives · 1136 citations
with James H. Stock
Forecasting inflation
published 1999 · Journal of Monetary Economics · 1278 citations
with James H. Stock
Explaning the Increased Variability in Long-Term Interest Rates
published 1999 · Economic quarterly - Federal Reserve Bank of Richmond · 38 citations
no link
A dynamic factor model framework for forecast combination
published 1999 · Spanish Economic Review · 103 citations
with Yeung L. Chan, James H. Stock
Special Section on Consumer Price Research: Introduction
published 1999 · Journal of Business and Economic Statistics · 2 citations
with Dale W. Jorgenson
Introduction
published 1999 · Journal of Business and Economic Statistics
with Dale W. Jorgenson
The Solution of Singular Linear Difference Systems under Rational Expectations
published 1998 · International Economic Review · 281 citations
with Robert G. King
Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model
published 1998 · Journal of the American Statistical Association · 365 citations · first circulated 1996
with James H. Stock
Editorial Announcement
published 1998 · Journal of Business and Economic Statistics
Comment on On the Fit of a Neoclassical Monetary Model in High Inflation: Israel 1972-1990
published 1997 · Journal of money credit and banking
Estimating Deterministic Trends in the Presence of Serially Correlated Errors
published 1997 · The Review of Economics and Statistics · 132 citations · first circulated 1994
with Eugene Canjels
The NAIRU, Unemployment and Monetary Policy
published 1997 · The Journal of Economic Perspectives · 684 citations
with Douglas O. Staiger, James H. Stock
Systematic Monetary Policy and the Effects of Oil Price Shocks
published 1997 · Brookings Papers on Economic Activity · 1609 citations
with Ben Bernanke, Mark Gertler, Christopher A. Sims, Benjamin M. Friedman
Introduction: Econometric forecasting
published 1996 · Journal of Applied Econometrics · 7 citations
[Is Seasonal Adjustment a Linear or Nonlinear Data-Filtering Process?]: Comment
published 1996 · Journal of Business and Economic Statistics · 4 citations
Comment
published 1996 · Journal of Business and Economic Statistics
Money, Prices, Interest Rates and the Business Cycle
published 1996 · The Review of Economics and Statistics · 427 citations · first circulated 1995
with Robert G. King
Evidence on Structural Instability in Macroeconomic Time Series Relations
published 1996 · Journal of Business and Economic Statistics · 633 citations
with James H. Stock
Daniel B. Nelson, 1959–1995
published 1995 · Journal of Business and Economic Statistics · 1 citations
Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
published 1995 · Econometric Theory · 189 citations
with Michael Horvath
Business Cycles, Indicators, and Forecasting
published 1995 · Southern Economic Journal · 364 citations · first circulated 1993
with Michael C. Carroll, James H. Stock
[Inflation Indicators and Inflation Policy]: Comment
published 1995 · NBER Macroeconomics Annual
The post-war U.S. phillips curve: a revisionist econometric history
published 1994 · Carnegie-Rochester Conference Series on Public Policy · 337 citations
with Robert G. King
Call for papers
published 1994 · Journal of Applied Econometrics
Call for papers
published 1994 · Journal of Applied Econometrics
Measures of Fit for Calibrated Models
published 1993 · Journal of Political Economy · 227 citations
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
published 1993 · Econometrica · 4946 citations · first circulated 1989
with James H. Stock
Inference in Linear Time Series Models with some Unit Roots
published 1990 · Econometrica · 2585 citations
with Christopher A. Sims, James H. Stock
Encyclopedia of Statistical Sciences.
published 1989 · Journal of the American Statistical Association · 724 citations
with Judith M. Tanur, George Casella, Richard L. Dykstra, Mark Finster, Donald P. Gaver, Joel B. Greenhouse, Gudmund R. Iversen, Guillermina Jasso, Jan Kmenta, S. James Press, Seymour Sudman, Luke Tierney, …
Recursive solution methods for dynamic linear rational expectations models
published 1989 · Journal of Econometrics · 39 citations
MTS: A review
published 1989 · Journal of Applied Econometrics
Sensitivity Analysis of Seasonal Adjustments: Empirical Case Studies: Comment
published 1989 · Journal of the American Statistical Association
Comment
published 1989 · Journal of the American Statistical Association
New Indexes of Coincident and Leading Economic Indicators
published 1989 · NBER Macroeconomics Annual · 432 citations
with James H. Stock
Testing for Common Trends
published 1988 · Journal of the American Statistical Association · 1934 citations
with James H. Stock
[A Reexamination of Friedman's Consumption Puzzle]: Comment
published 1988 · Journal of Business and Economic Statistics
Comment
published 1988 · Journal of Business and Economic Statistics
Variable Trends in Economic Time Series
published 1988 · The Journal of Economic Perspectives · 669 citations
with James H. Stock
The convergence of multivariate ‘unit root’ distributions to their asymptotic limits
published 1988 · Journal of Economic Dynamics and Control
with Lars Ljungqvist, Myung-Soo Park, James H. Stock
Sources of Business Cycle Fluctuations
published 1988 · NBER Macroeconomics Annual · 604 citations
with Matthew D. Shapiro
Time Series Analysis.
published 1987 · Journal of the American Statistical Association · 1 citations
with Jonathan D. Cryer
[Vector Autoregressions and Reality]: Comment
published 1987 · Journal of Business and Economic Statistics · 8 citations
Comment
published 1987 · Journal of Business and Economic Statistics · 1 citations
Uncertainty in Model-Based Seasonal Adjustment Procedures and Construction of Minimax Filters
published 1987 · Journal of the American Statistical Association · 13 citations
Interpreting Evidence on Money-Income Causality
published 1987 · Journal of Econometrics · 21 citations
with James H. Stock
Forecasting commercial electricity sales
published 1987 · Journal of Forecasting · 15 citations
with Lydia M. Pastuszek, Eric P. Cody
Univariate detrending methods with stochastic trends
published 1986 · Journal of Monetary Economics · 870 citations
Does GNP have a unit root?
published 1986 · Economics Letters · 82 citations
with James H. Stock
Bank Rate Policy Under the Interwar Gold Standard: A Dynamic Probit Model
published 1985 · The Economic Journal · 145 citations
with Barry Eichengreen, Richard S. Grossman
Applied Time Series Analysis of Economic Data.
published 1985 · Journal of the American Statistical Association · 171 citations
with Arnold Zellner
Errors in Variables and Seasonal Adjustment Procedures
published 1985 · Journal of the American Statistical Association · 31 citations
with Jerry A. Hausman
A dymimic model of housing price determination
published 1985 · Journal of Econometrics · 56 citations
with Robert F. Engle, David M. Lilien
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative
published 1985 · The Review of Economics and Statistics · 97 citations
with Robert F. Engle
Testing the interpretation of indices in a macroeconomic index model
published 1984 · Journal of Monetary Economics · 10 citations
with Dennis Kraft
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
published 1983 · Journal of Econometrics · 477 citations
with Robert F. Engle
Imperfect Information and Wage Inertia in the Business Cycle: A Comment
published 1983 · Journal of Political Economy · 1 citations
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
published 1981 · Journal of the American Statistical Association · 447 citations
with Robert F. Engle
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