Michael McCracken
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Affiliations
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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
2001 Annual meeting, August 5-8, Chicago, IL, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) (2001)
by Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael
(ReDIF-paper, ags:aaea01:20686) - Inference about predictive ability
Working papers, Wisconsin Madison - Social Systems (2001)
by McCracken,M.W. & West,K.D.
(ReDIF-paper, att:wimass:200114) - Regression-Based Tests of Predictive Ability
Working papers, Wisconsin Madison - Social Systems (1997)
by West, K.D. & McCracken, M.W.
(ReDIF-paper, att:wimass:9710) - Tests of Equal Predictive Ability With Real-Time Data
Journal of Business & Economic Statistics, American Statistical Association (2009)
by Clark, Todd E. & McCracken, Michael W.
(ReDIF-article, bes:jnlbes:v:27:i:4:y:2009:p:441-454) - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
BIS Working Papers, Bank for International Settlements (2017)
by Todd E Clark & Michael W McCracken & Elmar Mertens
(ReDIF-paper, bis:biswps:667) - Combining Forecasts from Nested Models
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009)
by Todd E. Clark & Michael W. McCracken
(ReDIF-article, bla:obuest:v:71:y:2009:i:3:p:303-329) - Tests of Equal Forecast Accuracy and Encompassing for Nested Models
Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, ecm:wc2000:0319) - Advances in Forecast Evaluation
Handbook of Economic Forecasting, Elsevier (2013)
by Clark, Todd & McCracken, Michael
(ReDIF-chapter, eee:ecofch:2-1107) - Tests of equal forecast accuracy and encompassing for nested models
Journal of Econometrics, Elsevier (2001)
by Clark, Todd E. & McCracken, Michael W.
(ReDIF-article, eee:econom:v:105:y:2001:i:1:p:85-110) - The power of tests of predictive ability in the presence of structural breaks
Journal of Econometrics, Elsevier (2005)
by Clark, Todd E. & McCracken, Michael W.
(ReDIF-article, eee:econom:v:124:y:2005:i:1:p:1-31) - Asymptotics for out of sample tests of Granger causality
Journal of Econometrics, Elsevier (2007)
by McCracken, Michael W.
(ReDIF-article, eee:econom:v:140:y:2007:i:2:p:719-752) - In-sample tests of predictive ability: A new approach
Journal of Econometrics, Elsevier (2012)
by Clark, Todd E. & McCracken, Michael W.
(ReDIF-article, eee:econom:v:170:y:2012:i:1:p:1-14) - Nested forecast model comparisons: A new approach to testing equal accuracy
Journal of Econometrics, Elsevier (2015)
by Clark, Todd E. & McCracken, Michael W.
(ReDIF-article, eee:econom:v:186:y:2015:i:1:p:160-177) - Tests of equal accuracy for nested models with estimated factors
Journal of Econometrics, Elsevier (2017)
by Gonçalves, Sílvia & McCracken, Michael W. & Perron, Benoit
(ReDIF-article, eee:econom:v:198:y:2017:i:2:p:231-252) - Robust out-of-sample inference
Journal of Econometrics, Elsevier (2000)
by Mc Cracken, Michael W.
(ReDIF-article, eee:econom:v:99:y:2000:i:2:p:195-223) - Parameter estimation and tests of equal forecast accuracy between non-nested models
International Journal of Forecasting, Elsevier (2004)
by McCracken, Michael W.
(ReDIF-article, eee:intfor:v:20:y:2004:i:3:p:503-514) - Consistent Testing for Structural Change at the Ends of the Sample
Advances in Econometrics, Emerald Group Publishing Limited (2012)
by Michael W. McCracken
(ReDIF-chapter, eme:aecozz:s0731-9053(2012)0000030010) - 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
Advances in Econometrics, Emerald Group Publishing Limited (2013)
by Todd E. Clark & Michael W. McCracken
(ReDIF-chapter, eme:aecozz:s0731-9053(2013)0000031004) - Chapter 3 Forecasting with Small Macroeconomic VARs in the Presence of Instabilities
Frontiers of Economics and Globalization, Emerald Group Publishing Limited (2008)
by Todd E. Clark & Michael W. McCracken
(ReDIF-chapter, eme:fegzzz:s1574-8715(07)00203-5) - Advances in forecast evaluation
Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedcwp:1120) - Tests of equal forecast accuracy for overlapping models
Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedcwp:1121) - Evaluating Conditional Forecasts from Vector Autoregressions
Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedcwp:1413) - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Working Papers (Old Series), Federal Reserve Bank of Cleveland (2017)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens
(ReDIF-paper, fip:fedcwp:1715) - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Working Papers, Federal Reserve Bank of Cleveland (2017)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens
(ReDIF-paper, fip:fedcwq:171501) - Forecasting with small macroeconomic VARs in the presence of instabilities
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedgfe:2007-41) - Averaging forecasts from VARs with uncertain instabilities
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedgfe:2007-42) - Combining forecasts from nested models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedgfe:2007-43) - Tests of equal forecast accuracy and encompassing for nested models
Research Working Paper, Federal Reserve Bank of Kansas City (1999)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:99-11) - Evaluating long-horizon forecasts
Research Working Paper, Federal Reserve Bank of Kansas City (2001)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp01-14) - Forecast-based model selection in the presence of structural breaks
Research Working Paper, Federal Reserve Bank of Kansas City (2002)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp02-05) - The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence
Research Working Paper, Federal Reserve Bank of Kansas City (2003)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp03-06) - Improving forecast accuracy by combining recursive and rolling forecasts
Research Working Paper, Federal Reserve Bank of Kansas City (2004)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp04-10) - Combining forecasts from nested models
Research Working Paper, Federal Reserve Bank of Kansas City (2006)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp06-02) - Forecasting of small macroeconomic VARs in the presence of instabilities
Research Working Paper, Federal Reserve Bank of Kansas City (2006)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp06-09) - Averaging forecasts from VARs with uncertain instabilities
Research Working Paper, Federal Reserve Bank of Kansas City (2006)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp06-12) - Tests of equal predictive ability with real-time data
Research Working Paper, Federal Reserve Bank of Kansas City (2007)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp07-06) - In-sample tests of predictive ability: a new approach
Research Working Paper, Federal Reserve Bank of Kansas City (2009)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp09-10) - Nested forecast model comparisons: a new approach to testing equal accuracy
Research Working Paper, Federal Reserve Bank of Kansas City (2009)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedkrw:rwp09-11) - Uncertainty about when the Fed will raise interest rates
Economic Synopses, Federal Reserve Bank of St. Louis (2009)
by Michael W. McCracken
(ReDIF-article, fip:fedles:y:2009:n:29) - Using stock market liquidity to forecast recessions
Economic Synopses, Federal Reserve Bank of St. Louis (2010)
by Michael W. McCracken
(ReDIF-article, fip:fedles:y:2010:n:20) - Using FOMC forecasts to forecast the economy
Economic Synopses, Federal Reserve Bank of St. Louis (2010)
by Michael W. McCracken
(ReDIF-article, fip:fedles:y:2010:n:5) - Should food be excluded from core CPI?
Economic Synopses, Federal Reserve Bank of St. Louis (2011)
by Michael W. McCracken
(ReDIF-article, fip:fedles:y:2011:n:28) - Initial claims and employment growth: are we at the threshold?
Economic Synopses, Federal Reserve Bank of St. Louis (2011)
by Kevin L. Kliesen & Michael W. McCracken & Linpeng Zheng
(ReDIF-article, fip:fedles:y:2011:n:41) - Housing's role in a recovery
Economic Synopses, Federal Reserve Bank of St. Louis (2011)
by Michael W. McCracken
(ReDIF-article, fip:fedles:y:2011:n:6) - Following the Fed with a news tracker
Economic Synopses, Federal Reserve Bank of St. Louis (2012)
by Michael W. McCracken
(ReDIF-article, fip:fedles:y:2012:n:3) - How accurate are forecasts in a recession?
National Economic Trends, Federal Reserve Bank of St. Louis (2009)
by Michael W. McCracken
(ReDIF-article, fip:fedlne:y:2009:i:feb) - Tracking the U.S. Economy with Nowcasts
The Regional Economist, Federal Reserve Bank of St. Louis (2016)
by Kevin L. Kliesen & Michael W. McCracken
(ReDIF-article, fip:fedlre:00111) - Disagreement at the FOMC: the dissenting votes are just part of the story
The Regional Economist, Federal Reserve Bank of St. Louis (2010)
by Michael W. McCracken
(ReDIF-article, fip:fedlre:y:2010:i:oct:p:10-16) - Factor-based prediction of industry-wide bank stress
Review, Federal Reserve Bank of St. Louis (2014)
by Sean P. Grover & Michael W. McCracken
(ReDIF-article, fip:fedlrv:00022) - A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth
Review, Federal Reserve Bank of St. Louis (2016)
by Sean P. Grover & Kevin L. Kliesen & Michael W. McCracken
(ReDIF-article, fip:fedlrv:00065) - FRED-QD: A Quarterly Database for Macroeconomic Research
Review, Federal Reserve Bank of St. Louis (2021)
by Michael W. McCracken & Serena Ng
(ReDIF-article, fip:fedlrv:90588) - Real-time forecast averaging with ALFRED
Review, Federal Reserve Bank of St. Louis (2011)
by Chanont Banternghansa & Michael W. McCracken
(ReDIF-article, fip:fedlrv:y:2011:i:jan:p:49-66:n:v.93no.1) - Improving forecast accuracy by combining recursive and rolling forecasts
Working Papers, Federal Reserve Bank of St. Louis (2008)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2008-028) - Tests of equal predictive ability with real-time data
Working Papers, Federal Reserve Bank of St. Louis (2008)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2008-029) - Averaging forecasts from VARs with uncertain instabilities
Working Papers, Federal Reserve Bank of St. Louis (2008)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2008-030) - Combining forecasts from nested models
Working Papers, Federal Reserve Bank of St. Louis (2008)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2008-037) - Nested forecast model comparisons: a new approach to testing equal accuracy
Working Papers, Federal Reserve Bank of St. Louis (2009)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2009-050) - In-sample tests of predictive ability: a new approach
Working Papers, Federal Reserve Bank of St. Louis (2009)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2009-051) - Forecast disagreement among FOMC members
Working Papers, Federal Reserve Bank of St. Louis (2009)
by Chanont Banternghansa & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2009-059) - Testing for unconditional predictive ability
Working Papers, Federal Reserve Bank of St. Louis (2010)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2010-031) - Reality checks and nested forecast model comparisons
Working Papers, Federal Reserve Bank of St. Louis (2010)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2010-032) - Real-time forecast averaging with ALFRED
Working Papers, Federal Reserve Bank of St. Louis (2010)
by Chanont Banternghansa & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2010-033) - Tests of equal forecast accuracy for overlapping models
Working Papers, Federal Reserve Bank of St. Louis (2011)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2011-024) - Advances in forecast evaluation
Working Papers, Federal Reserve Bank of St. Louis (2011)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2011-025) - Consistent testing for structural change at the ends of the sample
Working Papers, Federal Reserve Bank of St. Louis (2012)
by Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2012-029) - Comment on \"Taylor rule exchange rate forecasting during the financial crisis\"
Working Papers, Federal Reserve Bank of St. Louis (2012)
by Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2012-030) - Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
Working Papers, Federal Reserve Bank of St. Louis (2012)
by Michael W. McCracken & Giorgio Valente
(ReDIF-paper, fip:fedlwp:2012-049) - Multi-step ahead forecasting of vector time series
Working Papers, Federal Reserve Bank of St. Louis (2012)
by Michael W. McCracken & Tucker S. McElroy
(ReDIF-paper, fip:fedlwp:2012-060) - Evaluating the accuracy of forecasts from vector autoregressions
Working Papers, Federal Reserve Bank of St. Louis (2013)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2013-010) - Evaluating Conditional Forecasts from Vector Autoregressions
Working Papers, Federal Reserve Bank of St. Louis (2014)
by Todd E. Clark & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2014-025) - FRED-MD: A Monthly Database for Macroeconomic Research
Working Papers, Federal Reserve Bank of St. Louis (2015)
by Michael W. McCracken & Serena Ng
(ReDIF-paper, fip:fedlwp:2015-012) - Tests of Equal Accuracy for Nested Models with Estimated Factors
Working Papers, Federal Reserve Bank of St. Louis (2015)
by Silvia Goncalves & Michael W. McCracken & Benoit Perron
(ReDIF-paper, fip:fedlwp:2015-025) - Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR
Working Papers, Federal Reserve Bank of St. Louis (2015)
by Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan
(ReDIF-paper, fip:fedlwp:2015-030) - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Working Papers, Federal Reserve Bank of St. Louis (2017)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens
(ReDIF-paper, fip:fedlwp:2017-026) - An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts
Working Papers, Federal Reserve Bank of St. Louis (2017)
by Michael W. McCracken & Joseph McGillicuddy
(ReDIF-paper, fip:fedlwp:2017-040) - Tests of Conditional Predictive Ability: Some Simulation Evidence
Working Papers, Federal Reserve Bank of St. Louis (2019)
by Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2019-011) - Diverging Tests of Equal Predictive Ability
Working Papers, Federal Reserve Bank of St. Louis (2019)
by Michael W. McCracken
(ReDIF-paper, fip:fedlwp:2019-018) - Binary Conditional Forecasts
Working Papers, Federal Reserve Bank of St. Louis (2019)
by Michael W. McCracken & Joseph McGillicuddy & Michael T. Owyang
(ReDIF-paper, fip:fedlwp:2019-029) - FRED-QD: A Quarterly Database for Macroeconomic Research
Working Papers, Federal Reserve Bank of St. Louis (2020)
by Michael W. McCracken & Serena Ng
(ReDIF-paper, fip:fedlwp:87608) - Tests of Conditional Predictive Ability: Existence, Size, and Power
Working Papers, Federal Reserve Bank of St. Louis (2020)
by Michael W. McCracken
(ReDIF-paper, fip:fedlwp:89216) - Reconsidering the Fed's Inflation Forecasting Advantage
Working Papers, Federal Reserve Bank of St. Louis (2022)
by Amy Y. Guisinger & Michael W. McCracken & Michael T. Owyang
(ReDIF-paper, fip:fedlwp:93609) - On the Real-Time Predictive Content of Financial Conditions Indices for Growth
Working Papers, Federal Reserve Bank of St. Louis (2022)
by Aaron Amburgey & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:93642) - Growth-at-Risk is Investment-at-Risk
Working Papers, Federal Reserve Bank of St. Louis (2023)
by Aaron Amburgey & Michael W. McCracken
(ReDIF-paper, fip:fedlwp:96594) - Bootstrapping out-of-sample predictability tests with real-time data
Working Papers, Federal Reserve Bank of St. Louis (2023)
by Silvia Goncalves & Michael W. McCracken & Yongxu Yao
(ReDIF-paper, fip:fedlwp:97409) - The St. Louis Fed's Financial Stress Index, Version 2.0
On the Economy, Federal Reserve Bank of St. Louis (2020)
by Aaron Amburgey & Kathryn Bokun & Kevin L. Kliesen & Michael W. McCracken
(ReDIF-paper, fip:l00001:87742) - COVID-19: Forecasting with Slow and Fast Data
On the Economy, Federal Reserve Bank of St. Louis (2020)
by Michael W. McCracken
(ReDIF-paper, fip:l00001:87752) - How COVID-19 May Be Affecting Inflation
On the Economy, Federal Reserve Bank of St. Louis (2021)
by Aaron Amburgey & Michael W. McCracken
(ReDIF-paper, fip:l00001:93953) - Market-Based Measures of Inflation Risks
On the Economy, Federal Reserve Bank of St. Louis (2021)
by Aaron Amburgey & Michael W. McCracken
(ReDIF-paper, fip:l00001:93965) - Inflation Expectations and the Fed’s New Monetary Framework
On the Economy, Federal Reserve Bank of St. Louis (2021)
by Aaron Amburgey & Michael W. McCracken
(ReDIF-paper, fip:l00001:94012) - Price Volatility and Headline Inflation
On the Economy, Federal Reserve Bank of St. Louis (2021)
by Aaron Amburgey & Michael W. McCracken
(ReDIF-paper, fip:l00001:94025) - What Are Financial Market Stress Indexes Showing?
On the Economy, Federal Reserve Bank of St. Louis (2022)
by Kevin L. Kliesen & Michael W. McCracken & Trần Khánh Ngân & Devin Werner
(ReDIF-paper, fip:l00001:94320) - Will High Inflation Persist?
On the Economy, Federal Reserve Bank of St. Louis (2023)
by Michael W. McCracken & Trần Khánh Ngân
(ReDIF-paper, fip:l00001:95505) - What Do Components of Key Inflation Measures Say about Future Inflation?
On the Economy, Federal Reserve Bank of St. Louis (2023)
by Michael W. McCracken & Trần Khánh Ngân
(ReDIF-paper, fip:l00001:96234) - Using Core Inflation to Predict Headline Inflation
On the Economy, Federal Reserve Bank of St. Louis (2023)
by Michael W. McCracken & Trần Khánh Ngân
(ReDIF-paper, fip:l00001:97414) - Core Inflation Revisited: Forecast Accuracy across Horizons
On the Economy, Federal Reserve Bank of St. Louis (2024)
by Michael W. McCracken & Trần Khánh Ngân
(ReDIF-paper, fip:l00001:97887) - Regression-Based Tests of Predictive Ability
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998)
by West, Kenneth D & McCracken, Michael W
(ReDIF-article, ier:iecrev:v:39:y:1998:i:4:p:817-40) - Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2009)
by Todd E. Clark & Michael W. McCracken
(ReDIF-article, ier:iecrev:v:50:y:2009:i:2:p:363-395) - Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR
International Journal of Central Banking, International Journal of Central Banking (2021)
by Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan
(ReDIF-article, ijc:ijcjou:y:2021:q:5:a:8) - Averaging forecasts from VARs with uncertain instabilities
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010)
by Todd E. Clark & Michael W. McCracken
(ReDIF-article, jae:japmet:v:25:y:2010:i:1:p:5-29) - Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p's and q's!
Journal of Money, Credit and Banking, Blackwell Publishing (2005)
by McCracken, Michael W & Sapp, Stephen G
(ReDIF-article, mcb:jmoncb:v:37:y:2005:i:3:p:473-94) - The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
Journal of Money, Credit and Banking, Blackwell Publishing (2006)
by Clark, Todd E. & McCracken, Michael W.
(ReDIF-article, mcb:jmoncb:v:38:y:2006:i:5:p:1127-1148) - Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"
NBER Chapters, National Bureau of Economic Research, Inc (2012)
by Michael W. McCracken
(ReDIF-chapter, nbr:nberch:12775) - Regression-Based Tests of Predictive Ability
NBER Technical Working Papers, National Bureau of Economic Research, Inc (1998)
by Kenneth D. West & Michael W. McCracken
(ReDIF-paper, nbr:nberte:0226) - FRED-QD: A Quarterly Database for Macroeconomic Research
NBER Working Papers, National Bureau of Economic Research, Inc (2020)
by Michael McCracken & Serena Ng
(ReDIF-paper, nbr:nberwo:26872) - Pairwise tests of equal forecast accuracy (in Russian)
Quantile, Quantile (2006)
by Michael McCracken
(ReDIF-article, qnt:quantl:y:2006:i:1:p:53-62) - The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
Computing in Economics and Finance 2003, Society for Computational Economics (2003)
by Michael W. McCracken & Todd E. Clark
(ReDIF-paper, sce:scecf3:183) - Tests of Equal Forecast Accuracy and Encompassing for Nested Models
Computing in Economics and Finance 1999, Society for Computational Economics (1999)
by Todd E. Clark & Michael McCracken
(ReDIF-paper, sce:scecf9:1241) - Evaluating Direct Multistep Forecasts
Econometric Reviews, Taylor & Francis Journals (2005)
by Todd Clark & Michael McCracken
(ReDIF-article, taf:emetrv:v:24:y:2005:i:4:p:369-404) - Multistep ahead forecasting of vector time series
Econometric Reviews, Taylor & Francis Journals (2017)
by Tucker McElroy & Michael W. McCracken
(ReDIF-article, taf:emetrv:v:36:y:2017:i:5:p:495-513) - Reality Checks and Comparisons of Nested Predictive Models
Journal of Business & Economic Statistics, Taylor & Francis Journals (2011)
by Todd E. Clark & Michael W. McCracken
(ReDIF-article, taf:jnlbes:v:30:y:2011:i:1:p:53-66) - Reality Checks and Comparisons of Nested Predictive Models
Journal of Business & Economic Statistics, Taylor & Francis Journals (2012)
by Todd Clark & Michael McCracken
(ReDIF-article, taf:jnlbes:v:30:y:2012:i:1:p:53-66) - FRED-MD: A Monthly Database for Macroeconomic Research
Journal of Business & Economic Statistics, Taylor & Francis Journals (2016)
by Michael W. McCracken & Serena Ng
(ReDIF-article, taf:jnlbes:v:34:y:2016:i:4:p:574-589) - Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
Journal of Business & Economic Statistics, Taylor & Francis Journals (2018)
by Michael W. McCracken & Giorgio Valente
(ReDIF-article, taf:jnlbes:v:36:y:2018:i:3:p:426-437) - Binary Conditional Forecasts
Journal of Business & Economic Statistics, Taylor & Francis Journals (2022)
by Michael W. McCracken & Joseph T. McGillicuddy & Michael T. Owyang
(ReDIF-article, taf:jnlbes:v:40:y:2022:i:3:p:1246-1258) - Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
The Review of Economics and Statistics, MIT Press (2020)
by Todd E. Clark & Michael W. McCracken & Elmar Mertens
(ReDIF-article, tpr:restat:v:102:y:2020:i:1:p:17-33) - Comment
NBER International Seminar on Macroeconomics, University of Chicago Press (2013)
by Michael W. McCracken
(ReDIF-article, ucp:intsma:doi:10.1086/669591) - Diverging Tests of Equal Predictive Ability
Econometrica, Econometric Society (2020)
by Michael W. McCracken
(ReDIF-article, wly:emetrp:v:88:y:2020:i:4:p:1753-1754) - Averaging forecasts from VARs with uncertain instabilities
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010)
by Todd E. Clark & Michael W. McCracken
(ReDIF-article, wly:japmet:v:25:y:2010:i:1:p:5-29) - Tests Of Equal Forecast Accuracy For Overlapping Models
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014)
by Todd E. Clark & Michael W. Mccracken
(ReDIF-article, wly:japmet:v:29:y:2014:i:3:p:415-430) - Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017)
by Todd E. Clark & Michael W. McCracken
(ReDIF-article, wly:japmet:v:32:y:2017:i:3:p:533-553) - An empirical investigation of direct and iterated multistep conditional forecasts
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019)
by Michael W. McCracken & Joseph T. McGillicuddy
(ReDIF-article, wly:japmet:v:34:y:2019:i:2:p:181-204) - On the real‐time predictive content of financial condition indices for growth
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023)
by Aaron J. Amburgey & Michael W. McCracken
(ReDIF-article, wly:japmet:v:38:y:2023:i:2:p:137-163)