I found an essay he wrote called: "Supernatural Horror in Literature"

It's all about the origin of Gothic fiction, from both Europe and America.

If you would like to read it, here's the URL:

http://www.yankeeclassic.com/miskatonic/...pern00.htm

That is an excellent essay. I'm lucky enough to have a paperback copy printed by Dover. I've read it 2 or 3 times over the years. It proves that Lovecraft was well read in horror and gothic even if he didn't always show it in his own works. It's also a great way to discover old horror and gothic titles for future reading because Lovecraft lists several obscure titles well worth hunting down.