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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation ofExpand
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  • 1080
Time Series Analysis
A ordered sequence of events or observations having a time component is called as a time series. Some good examples of time series are daily opening and closing stock prices, daily humidity,Expand
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  • 305
Oil and the Macroeconomy since World War II
  • J. Hamilton
  • Economics
  • Journal of Political Economy
  • 1 April 1983
All but one of the U.S. recessions since World War II have been preceded, typically with a lag of around three-fourths of a year, by a dramatic increase in the price of crude petroleum. This does notExpand
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What is an Oil Shock?
This paper uses a flexible approach to characterize the nonlinear relation between oil price changes and GDP growth. The paper reports clear evidence of nonlinearity, consistent with earlier claimsExpand
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Analysis of time series subject to changes in regime
Abstract This paper introduces an EM algorithm for obtaining maximum likelihood estimates of parameters for processes subject to discrete shifts in autoregressive parameters, with the shiftsExpand
  • 1,858
  • 164
Causes and Consequences of the Oil Shock of 2007-08
This paper explores similarities and differences between the run-up of oil prices in 2007-08 and earlier oil price shocks, looking at what caused the price increase and what effects it had on theExpand
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  • 154
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This is what happened to the oil price-macroeconomy relationship
Abstract Many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter. When one looks at the net increase in oil prices overExpand
  • 1,609
  • 153
Autoregressive conditional heteroskedasticity and changes in regime
ARCH models often impute a lot of persistence to stock volatility and yet give relatively poor forecasts. One explanation is that extremely large shocks, such as the October 1987 crash, arise fromExpand
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  • 127
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Understanding Crude Oil Prices
This paper examines the factors responsible for changes in crude oil prices. The paper reviews the statistical behavior of oil prices, relates these to the predictions of theory, and looks in detailExpand
  • 1,028
  • 124
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Why You Should Never Use the Hodrick-Prescott Filter
  • J. Hamilton
  • Mathematics
  • Review of Economics and Statistics
  • 1 May 2017
Here’s why. (a) The Hodrick-Prescott (HP) filter introduces spurious dynamic relations that have no basis in the underlying data-generating process. (b) Filtered values at the end of the sample areExpand
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  • 97
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