Michael McCracken
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McCracken |
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Federal Reserve Bank of St. Louis
/ Research Division
Research profile
author of:
- New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap (RePEc:ags:aaea01:20686)
by Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael - Inference about predictive ability (RePEc:att:wimass:200114)
by McCracken,M.W. & West,K.D. - Regression-Based Tests of Predictive Ability (RePEc:att:wimass:9710)
by West, K.D. & McCracken, M.W. - Tests of Equal Predictive Ability With Real-Time Data (RePEc:bes:jnlbes:v:27:i:4:y:2009:p:441-454)
by Clark, Todd E. & McCracken, Michael W. - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (RePEc:bis:biswps:667)
by Todd E Clark & Michael W McCracken & Elmar Mertens - Combining Forecasts from Nested Models (RePEc:bla:obuest:v:71:y:2009:i:3:p:303-329)
by Todd E. Clark & Michael W. McCracken - Tests of Equal Forecast Accuracy and Encompassing for Nested Models (RePEc:ecm:wc2000:0319)
by Todd E. Clark & Michael W. McCracken - Advances in Forecast Evaluation (RePEc:eee:ecofch:2-1107)
by Clark, Todd & McCracken, Michael - Tests of equal forecast accuracy and encompassing for nested models (RePEc:eee:econom:v:105:y:2001:i:1:p:85-110)
by Clark, Todd E. & McCracken, Michael W. - The power of tests of predictive ability in the presence of structural breaks (RePEc:eee:econom:v:124:y:2005:i:1:p:1-31)
by Clark, Todd E. & McCracken, Michael W. - Asymptotics for out of sample tests of Granger causality (RePEc:eee:econom:v:140:y:2007:i:2:p:719-752)
by McCracken, Michael W. - In-sample tests of predictive ability: A new approach (RePEc:eee:econom:v:170:y:2012:i:1:p:1-14)
by Clark, Todd E. & McCracken, Michael W. - Nested forecast model comparisons: A new approach to testing equal accuracy (RePEc:eee:econom:v:186:y:2015:i:1:p:160-177)
by Clark, Todd E. & McCracken, Michael W. - Tests of equal accuracy for nested models with estimated factors (RePEc:eee:econom:v:198:y:2017:i:2:p:231-252)
by Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit - Robust out-of-sample inference (RePEc:eee:econom:v:99:y:2000:i:2:p:195-223)
by Mc Cracken, Michael W. - Parameter estimation and tests of equal forecast accuracy between non-nested models (RePEc:eee:intfor:v:20:y:2004:i:3:p:503-514)
by McCracken, Michael W. - Consistent Testing for Structural Change at the Ends of the Sample (RePEc:eme:aecozz:s0731-9053(2012)0000030010)
by Michael W. McCracken - Evaluating the Accuracy of Forecasts from Vector Autoregressions☆The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Clev (RePEc:eme:aecozz:s0731-9053(2013)0000031004)
by Todd E. Clark & Michael W. McCracken - Chapter 3 Forecasting with Small Macroeconomic VARs in the Presence of Instabilities (RePEc:eme:fegzzz:s1574-8715(07)00203-5)
by Todd E. Clark & Michael W. McCracken - Advances in forecast evaluation (RePEc:fip:fedcwp:1120)
by Todd E. Clark & Michael W. McCracken - Tests of equal forecast accuracy for overlapping models (RePEc:fip:fedcwp:1121)
by Todd E. Clark & Michael W. McCracken - Evaluating Conditional Forecasts from Vector Autoregressions (RePEc:fip:fedcwp:1413)
by Todd E. Clark & Michael W. McCracken - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (RePEc:fip:fedcwp:1715)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (RePEc:fip:fedcwq:171501)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens - Forecasting with small macroeconomic VARs in the presence of instabilities (RePEc:fip:fedgfe:2007-41)
by Todd E. Clark & Michael W. McCracken - Averaging forecasts from VARs with uncertain instabilities (RePEc:fip:fedgfe:2007-42)
by Todd E. Clark & Michael W. McCracken - Combining forecasts from nested models (RePEc:fip:fedgfe:2007-43)
by Todd E. Clark & Michael W. McCracken - Tests of equal forecast accuracy and encompassing for nested models (RePEc:fip:fedkrw:99-11)
by Todd E. Clark & Michael W. McCracken - Evaluating long-horizon forecasts (RePEc:fip:fedkrw:rwp01-14)
by Todd E. Clark & Michael W. McCracken - Forecast-based model selection in the presence of structural breaks (RePEc:fip:fedkrw:rwp02-05)
by Todd E. Clark & Michael W. McCracken - The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence (RePEc:fip:fedkrw:rwp03-06)
by Todd E. Clark & Michael W. McCracken - Improving forecast accuracy by combining recursive and rolling forecasts (RePEc:fip:fedkrw:rwp04-10)
by Todd E. Clark & Michael W. McCracken - Combining forecasts from nested models (RePEc:fip:fedkrw:rwp06-02)
by Todd E. Clark & Michael W. McCracken - Forecasting of small macroeconomic VARs in the presence of instabilities (RePEc:fip:fedkrw:rwp06-09)
by Todd E. Clark & Michael W. McCracken - Averaging forecasts from VARs with uncertain instabilities (RePEc:fip:fedkrw:rwp06-12)
by Todd E. Clark & Michael W. McCracken - Tests of equal predictive ability with real-time data (RePEc:fip:fedkrw:rwp07-06)
by Todd E. Clark & Michael W. McCracken - In-sample tests of predictive ability: a new approach (RePEc:fip:fedkrw:rwp09-10)
by Todd E. Clark & Michael W. McCracken - Nested forecast model comparisons: a new approach to testing equal accuracy (RePEc:fip:fedkrw:rwp09-11)
by Todd E. Clark & Michael W. McCracken - Uncertainty about when the Fed will raise interest rates (RePEc:fip:fedles:y:2009:n:29)
by Michael W. McCracken - Using stock market liquidity to forecast recessions (RePEc:fip:fedles:y:2010:n:20)
by Michael W. McCracken - Using FOMC forecasts to forecast the economy (RePEc:fip:fedles:y:2010:n:5)
by Michael W. McCracken - Should food be excluded from core CPI? (RePEc:fip:fedles:y:2011:n:28)
by Michael W. McCracken - Initial claims and employment growth: are we at the threshold? (RePEc:fip:fedles:y:2011:n:41)
by Kevin L. Kliesen & Michael W. McCracken & Linpeng Zheng - Housing's role in a recovery (RePEc:fip:fedles:y:2011:n:6)
by Michael W. McCracken - Following the Fed with a news tracker (RePEc:fip:fedles:y:2012:n:3)
by Michael W. McCracken - How accurate are forecasts in a recession? (RePEc:fip:fedlne:y:2009:i:feb)
by Michael W. McCracken - Tracking the U.S. Economy with Nowcasts (RePEc:fip:fedlre:00111)
by Kevin L. Kliesen & Michael W. McCracken - Disagreement at the FOMC: the dissenting votes are just part of the story (RePEc:fip:fedlre:y:2010:i:oct:p:10-16)
by Michael W. McCracken - Factor-based prediction of industry-wide bank stress (RePEc:fip:fedlrv:00022)
by Sean P. Grover & Michael W. McCracken - A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth (RePEc:fip:fedlrv:00065)
by Sean P. Grover & Kevin L. Kliesen & Michael W. McCracken - FRED-QD: A Quarterly Database for Macroeconomic Research (RePEc:fip:fedlrv:90588)
by Michael W. McCracken & Serena Ng - Real-time forecast averaging with ALFRED (RePEc:fip:fedlrv:y:2011:i:jan:p:49-66:n:v.93no.1)
by Chanont Banternghansa & Michael W. McCracken - Out-of-Sample Inference with Annual Benchmark Revisions (RePEc:fip:fedlwp:101742)
by Silvia Goncalves & Michael W. McCracken & Yongxu Yao - Improving forecast accuracy by combining recursive and rolling forecasts (RePEc:fip:fedlwp:2008-028)
by Todd E. Clark & Michael W. McCracken - Tests of equal predictive ability with real-time data (RePEc:fip:fedlwp:2008-029)
by Todd E. Clark & Michael W. McCracken - Averaging forecasts from VARs with uncertain instabilities (RePEc:fip:fedlwp:2008-030)
by Todd E. Clark & Michael W. McCracken - Combining forecasts from nested models (RePEc:fip:fedlwp:2008-037)
by Todd E. Clark & Michael W. McCracken - Nested forecast model comparisons: a new approach to testing equal accuracy (RePEc:fip:fedlwp:2009-050)
by Todd E. Clark & Michael W. McCracken - In-sample tests of predictive ability: a new approach (RePEc:fip:fedlwp:2009-051)
by Todd E. Clark & Michael W. McCracken - Forecast disagreement among FOMC members (RePEc:fip:fedlwp:2009-059)
by Chanont Banternghansa & Michael W. McCracken - Testing for unconditional predictive ability (RePEc:fip:fedlwp:2010-031)
by Todd E. Clark & Michael W. McCracken - Reality checks and nested forecast model comparisons (RePEc:fip:fedlwp:2010-032)
by Todd E. Clark & Michael W. McCracken - Real-time forecast averaging with ALFRED (RePEc:fip:fedlwp:2010-033)
by Chanont Banternghansa & Michael W. McCracken - Tests of equal forecast accuracy for overlapping models (RePEc:fip:fedlwp:2011-024)
by Todd E. Clark & Michael W. McCracken - Advances in forecast evaluation (RePEc:fip:fedlwp:2011-025)
by Todd E. Clark & Michael W. McCracken - Consistent testing for structural change at the ends of the sample (RePEc:fip:fedlwp:2012-029)
by Michael W. McCracken - Comment on 'Taylor rule exchange rate forecasting during the financial crisis' (RePEc:fip:fedlwp:2012-030)
by Michael W. McCracken - Asymptotic Inference for Performance Fees and the Predictability of Asset Returns (RePEc:fip:fedlwp:2012-049)
by Michael W. McCracken & Giorgio Valente - Multi-step ahead forecasting of vector time series (RePEc:fip:fedlwp:2012-060)
by Michael W. McCracken & Tucker S. McElroy - Evaluating the accuracy of forecasts from vector autoregressions (RePEc:fip:fedlwp:2013-010)
by Todd E. Clark & Michael W. McCracken - Evaluating Conditional Forecasts from Vector Autoregressions (RePEc:fip:fedlwp:2014-025)
by Todd E. Clark & Michael W. McCracken - FRED-MD: A Monthly Database for Macroeconomic Research (RePEc:fip:fedlwp:2015-012)
by Michael W. McCracken & Serena Ng - Tests of Equal Accuracy for Nested Models with Estimated Factors (RePEc:fip:fedlwp:2015-025)
by Silvia Goncalves & Michael W. McCracken & Benoit Perron - Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR (RePEc:fip:fedlwp:2015-030)
by Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (RePEc:fip:fedlwp:2017-026)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens - An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts (RePEc:fip:fedlwp:2017-040)
by Michael W. McCracken & Joseph McGillicuddy - Tests of Conditional Predictive Ability: Some Simulation Evidence (RePEc:fip:fedlwp:2019-011)
by Michael W. McCracken - Diverging Tests of Equal Predictive Ability (RePEc:fip:fedlwp:2019-018)
by Michael W. McCracken - Binary Conditional Forecasts (RePEc:fip:fedlwp:2019-029)
by Michael W. McCracken & Joseph McGillicuddy & Michael T. Owyang - FRED-QD: A Quarterly Database for Macroeconomic Research (RePEc:fip:fedlwp:87608)
by Michael W. McCracken & Serena Ng - Tests of Conditional Predictive Ability: Existence, Size, and Power (RePEc:fip:fedlwp:89216)
by Michael W. McCracken - Reconsidering the Fed's Inflation Forecasting Advantage (RePEc:fip:fedlwp:93609)
by Amy Y. Guisinger & Michael W. McCracken & Michael T. Owyang - On the Real-Time Predictive Content of Financial Conditions Indices for Growth (RePEc:fip:fedlwp:93642)
by Aaron Amburgey & Michael W. McCracken - Growth-at-Risk is Investment-at-Risk (RePEc:fip:fedlwp:96594)
by Aaron Amburgey & Michael W. McCracken - Bootstrapping out-of-sample predictability tests with real-time data (RePEc:fip:fedlwp:97409)
by Silvia Goncalves & Michael W. McCracken & Yongxu Yao - How Well Are Inflation Expectations Anchored? Two Datasets Compared (RePEc:fip:l00001:101823)
by Anna Cole & Michael W. McCracken - The St. Louis Fed's Financial Stress Index, Version 2.0 (RePEc:fip:l00001:87742)
by Aaron Amburgey & Kathryn Bokun & Kevin L. Kliesen & Michael W. McCracken - COVID-19: Forecasting with Slow and Fast Data (RePEc:fip:l00001:87752)
by Michael W. McCracken - How COVID-19 May Be Affecting Inflation (RePEc:fip:l00001:93953)
by Aaron Amburgey & Michael W. McCracken - Market-Based Measures of Inflation Risks (RePEc:fip:l00001:93965)
by Aaron Amburgey & Michael W. McCracken - Inflation Expectations and the Fed’s New Monetary Framework (RePEc:fip:l00001:94012)
by Aaron Amburgey & Michael W. McCracken - Price Volatility and Headline Inflation (RePEc:fip:l00001:94025)
by Aaron Amburgey & Michael W. McCracken - What Are Financial Market Stress Indexes Showing? (RePEc:fip:l00001:94320)
by Kevin L. Kliesen & Michael W. McCracken & Trần Khánh Ngân & Devin Werner - Will High Inflation Persist? (RePEc:fip:l00001:95505)
by Michael W. McCracken & Trần Khánh Ngân - What Do Components of Key Inflation Measures Say about Future Inflation? (RePEc:fip:l00001:96234)
by Michael W. McCracken & Trần Khánh Ngân - Using Core Inflation to Predict Headline Inflation (RePEc:fip:l00001:97414)
by Michael W. McCracken & Trần Khánh Ngân - Core Inflation Revisited: Forecast Accuracy across Horizons (RePEc:fip:l00001:97887)
by Michael W. McCracken & Trần Khánh Ngân - Are Initial Jobless Claims a Useful Gauge of Labor Market Conditions? (RePEc:fip:l00001:99449)
by Michael W. McCracken & Trần Khánh Ngân - Are Continued Jobless Claims a Useful Gauge of Labor Market Conditions? (RePEc:fip:l00001:99729)
by Anna Cole & Michael W. McCracken - A Historical and Geographical Look at Federal Employment Levels (RePEc:fip:l00001:99881)
by Anna Cole & Michael W. McCracken - Regression-Based Tests of Predictive Ability (RePEc:ier:iecrev:v:39:y:1998:i:4:p:817-40)
by West, Kenneth D & McCracken, Michael W - Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts (RePEc:ier:iecrev:v:50:y:2009:i:2:p:363-395)
by Todd E. Clark & Michael W. McCracken - Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR (RePEc:ijc:ijcjou:y:2021:q:5:a:8)
by Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan - Averaging forecasts from VARs with uncertain instabilities (RePEc:jae:japmet:v:25:y:2010:i:1:p:5-29)
by Todd E. Clark & Michael W. McCracken - Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p's and q's! (RePEc:mcb:jmoncb:v:37:y:2005:i:3:p:473-94)
by McCracken, Michael W & Sapp, Stephen G - The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence (RePEc:mcb:jmoncb:v:38:y:2006:i:5:p:1127-1148)
by Clark, Todd E. & McCracken, Michael W. - Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis" (RePEc:nbr:nberch:12775)
by Michael W. McCracken - Regression-Based Tests of Predictive Ability (RePEc:nbr:nberte:0226)
by Kenneth D. West & Michael W. McCracken - FRED-QD: A Quarterly Database for Macroeconomic Research (RePEc:nbr:nberwo:26872)
by Michael McCracken & Serena Ng - Pairwise tests of equal forecast accuracy (in Russian) (RePEc:qnt:quantl:y:2006:i:1:p:53-62)
by Michael McCracken - The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence (RePEc:sce:scecf3:183)
by Michael W. McCracken & Todd E. Clark - Tests of Equal Forecast Accuracy and Encompassing for Nested Models (RePEc:sce:scecf9:1241)
by Todd E. Clark & Michael McCracken - Evaluating Direct Multistep Forecasts (RePEc:taf:emetrv:v:24:y:2005:i:4:p:369-404)
by Todd Clark & Michael McCracken - Multistep ahead forecasting of vector time series (RePEc:taf:emetrv:v:36:y:2017:i:5:p:495-513)
by Tucker McElroy & Michael W. McCracken - Reality Checks and Comparisons of Nested Predictive Models (RePEc:taf:jnlbes:v:30:y:2011:i:1:p:53-66)
by Todd E. Clark & Michael W. McCracken - Reality Checks and Comparisons of Nested Predictive Models (RePEc:taf:jnlbes:v:30:y:2012:i:1:p:53-66)
by Todd Clark & Michael McCracken - FRED-MD: A Monthly Database for Macroeconomic Research (RePEc:taf:jnlbes:v:34:y:2016:i:4:p:574-589)
by Michael W. McCracken & Serena Ng - Asymptotic Inference for Performance Fees and the Predictability of Asset Returns (RePEc:taf:jnlbes:v:36:y:2018:i:3:p:426-437)
by Michael W. McCracken & Giorgio Valente - Binary Conditional Forecasts (RePEc:taf:jnlbes:v:40:y:2022:i:3:p:1246-1258)
by Michael W. McCracken & Joseph T. McGillicuddy & Michael T. Owyang - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (RePEc:tpr:restat:v:102:y:2020:i:1:p:17-33)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens - Comment (RePEc:ucp:intsma:doi:10.1086/669591)
by Michael W. McCracken - Diverging Tests of Equal Predictive Ability (RePEc:wly:emetrp:v:88:y:2020:i:4:p:1753-1754)
by Michael W. McCracken - Averaging forecasts from VARs with uncertain instabilities (RePEc:wly:japmet:v:25:y:2010:i:1:p:5-29)
by Todd E. Clark & Michael W. McCracken - Tests Of Equal Forecast Accuracy For Overlapping Models (RePEc:wly:japmet:v:29:y:2014:i:3:p:415-430)
by Todd E. Clark & Michael W. Mccracken - Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting (RePEc:wly:japmet:v:32:y:2017:i:3:p:533-553)
by Todd E. Clark & Michael W. McCracken - An empirical investigation of direct and iterated multistep conditional forecasts (RePEc:wly:japmet:v:34:y:2019:i:2:p:181-204)
by Michael W. McCracken & Joseph T. McGillicuddy - On the real‐time predictive content of financial condition indices for growth (RePEc:wly:japmet:v:38:y:2023:i:2:p:137-163)
by Aaron J. Amburgey & Michael W. McCracken