Mark W. Watson

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Testing coefficient stability in spatial regression Journal of Econometrics	2026-09-01	Paper
The solution of singular linear difference systems under rational expectations International Economic Review	2026-02-04	Paper
Spatial unit roots and spurious regression Econometrica	2025-05-23	Paper
Generalized Shrinkage Methods for Forecasting Using Many Predictors Journal of Business and Economic Statistics	2025-01-20	Paper
HAR Inference: Recommendations for Practice Journal of Business and Economic Statistics	2024-10-23	Paper
HAR Inference: Recommendations for Practice Rejoinder Journal of Business and Economic Statistics	2024-10-23	Paper
Spatial correlation robust inference Econometrica	2024-05-13	Paper
Spatial Correlation Robust Inference in Linear Regression and Panel Models Journal of Business and Economic Statistics	2024-03-06	Paper
Inference in structural vector autoregressions identified with an external instrument Journal of Econometrics	2021-10-26	Paper
Long-run covariability Econometrica	2019-03-29	Paper
Nearly optimal tests when a nuisance parameter is present under the null hypothesis Econometrica	2019-01-30	Paper
Measuring uncertainty about long-run predictions Review of Economic Studies	2019-01-23	Paper
Forecasting in dynamic factor models subject to structural instability	2017-11-22	Paper
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series Journal of Econometrics	2016-06-10	Paper
Estimating turning points using large data sets Journal of Econometrics	2014-08-06	Paper
Consistent factor estimation in dynamic factor models with structural instability Journal of Econometrics	2014-06-06	Paper
Low-frequency robust cointegration testing Journal of Econometrics	2014-03-18	Paper
Testing Models of Low-Frequency Variability Econometrica	2008-11-14	Paper
Heteroskedasticity-Robust Standard Errors for Fixed Effects Panel Data Regression Econometrica	2008-03-19	Paper
Forecasting Using Principal Components From a Large Number of Predictors Journal of the American Statistical Association	2004-06-10	Paper
System reduction and solution algorithms for singular linear difference systems under rational expectations Computational Economics	2003-03-12	Paper
Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model	1998-08-09	Paper
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems Econometrica	1994-11-30	Paper
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems Econometrica	1993-07-01	Paper
Inference in Linear Time Series Models with some Unit Roots Econometrica	1990-01-01	Paper
Recursive solution methods for dynamic linear rational expectations models Journal of Econometrics	1989-01-01	Paper
Testing for Common Trends	1988-01-01	Paper
The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality Journal of Economic Dynamics and Control	1988-01-01	Paper
Uncertainty in Model-Based Seasonal Adjustment Procedures and Construction of Minimax Filters	1987-01-01	Paper
Errors in Variables and Seasonal Adjustment Procedures	1985-01-01	Paper
scientific article; zbMATH DE number 3926051 (Why is no real title available?)	1984-01-01	Paper
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models Journal of Econometrics	1983-01-01	Paper

Research outcomes over time

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