James H. Stock

Research topics

• Monetary Policy and Economic Impact · 4 papers
• Fiscal Policy and Economic Growth · 1 paper
• Income, Poverty, and Inequality · 1 paper
• Financial Risk and Volatility Modeling · 1 paper
• Advanced Statistical Methods and Models · 1 paper
• Market Dynamics and Volatility · 1 paper

Frequent co-authors

• Douglas O. Staiger · 1 paper
• Motohiro Yogo · 1 paper
• Graham Elliott · 1 paper
• Thomas J. Rothenberg · 1 paper
• Mark W. Watson · 1 paper

Papers

1. Instrumental Variables Regression with Weak InstrumentsEconometrica · 1997 · 7,514 citations

   This paper develops asymptotic distribution theory for instrumental variable regression when the partial correlation between the instruments and a single included endogenous variable is weak, here modeled as local to zero. Asymptotic representations are provided for various instrumental variable statistics,…

2. Testing for Weak Instruments in Linear IV RegressionCambridge University Press eBooks · 2005 · 6,693 citations

   Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum…

3. Efficient Tests for an Autoregressive Unit RootEconometrica · 1996 · 5,709 citations

   This paper derives the asymptotic power envelope for tests of a unit autoregressive root for various trend specifications and stationary Gaussian autoregressive disturbances. A family of tests is proposed, members of which are asymptotically similar under a general 1(1) null…

4. A Simple Estimator of Cointegrating Vectors in Higher Order Integrated SystemsEconometrica · 1993 · 5,057 citations

   Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald statistics constructed from these estimators have asymptotic x [superscript] 2…