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 - Bootstrapping out-of-sample predictability tests with real-time data (RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002677)
by Gonçalves, Sílvia & McCracken, Michael W. & Yao, Yongxu - 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 Cleveland, Federal Reserve Bank of St. Louis, Federal (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 Effects of a “Low-Fire, Low-Hire” Economy on Workers (RePEc:fip:l00001:102890)
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 - Reconsidering the Fed's Inflation Forecasting Advantage (RePEc:wly:jmoncb:v:57:y:2025:i:1:p:5-30)
by Amy Y. Guisinger & Michael W. Mccracken & Michael T. Owyang