Overview
James H. Stock is Harold Hitchings Burbank Professor of Political Economy at Harvard University and a Research Associate of the NBER. His research covers time series econometrics, cointegration, structural VARs, and macroeconomic forecasting. With Mark Watson he developed the Stock-Watson (1988) test for common stochastic trends and the dynamic OLS (DOLS) estimator for cointegrating vectors. He is also known for SVAR analysis of monetary policy, the diffusion index approach to macroeconomic forecasting, and structural break tests (with Andrews and Ploberger).
Key Contributions / Features
- Testing for Common Trends (Stock-Watson 1988): Proposed the first systematic tests for the number of common I(1) factors in a multivariate system; provided the econometric foundation for the KPSW cointegration identification scheme. Journal of the American Statistical Association 83: 1097–1107.
- Stochastic Trends and Economic Fluctuations (King-Plosser-Stock-Watson 1991): Applied common-trend tests and long-run restriction identification to evaluate balanced-growth predictions of RBC models. American Economic Review 81(4): 819–840.
- Inference in Linear Time Series Models with Some Unit Roots (Sims-Stock-Watson 1990): Established conditions under which standard asymptotic inference is valid in VARs with unit roots. Econometrica 58: 113–44.
- Dynamic OLS for cointegrating vectors (Stock-Watson 1993): Asymptotically efficient estimation of cointegrating vectors by augmenting with leads and lags of first differences.
- External-instrument identification of dynamic causal effects (Stock-Watson 2018): Stock's Sargan Lecture unifying the proxy-SVAR / external-instruments literature; establishes the LP-IV vs. SVAR-IV trade-off (invertibility-free vs. efficient), a Hausman-type test of invertibility, and the "no free lunch" theorem. The Economic Journal 128(610): 917–948.
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