Details about Michael Peter Clements

Homepage:	http://www.warwick.ac.uk/fac/soc/Economics/Clements
Workplace:	Department of Economics, University of Warwick, (more information at EDIRC)

Access statistics for papers by Michael Peter Clements.

Last updated 2009-11-05. Update your information in the RePEc Author Service.

Short-id: pcl24

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Working Papers

2009

1. First Announcements and Real Economic Activity
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics

2008

2. Explanations of the inconsistencies in survey respondents'forecasts
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
3. Rounding of probability forecasts: The SPF forecast probabilities of negative output growth
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics

2007

4. Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth
   Working Papers, Queen Mary, University of London, Department of Economics

2006

5. Forecast Encompassing Tests and Probability Forecasts
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
6. Internal consistency of survey respondents.forecasts: Evidence based on the Survey of Professional Forecasters
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
7. Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
8. Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility
   The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
   See also Journal Article in Journal of Empirical Finance (2008)

2003

9. Forecasting economic and financial time-series with non-linear models
   Departmental Working Papers, Rutgers University, Department of Economics View citations
   See also Journal Article in International Journal of Forecasting (2004)

2002

10. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations
    Economics Series Working Papers, University of Oxford, Department of Economics (2001) View citations
    Working Paper Series, European Central Bank (2001) View citations
    See also Journal Article in Economic Modelling (2003)

2001

11. MODELLING BUSINESS CYCLE FEATURES USING SWITCHING REGIME MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2001) View citations
12. Pooling of Forecasts
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations
    See also Journal Article in Econometrics Journal (2004)

2000

13. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998)
    See also Journal Article in Econometrics Journal (2001)

1999

14. Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
15. On SETAR non- linearity and forecasting
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999) View citations
    See also Journal Article in Journal of Forecasting (2003)

1998

16. Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
17. Non-Linearities in Exchange Rates
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations

1997

18. A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
19. Forecasting Seasonal UK Consumption Components
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997)
20. Seasonality, Cointegration, and the Forecasting of Energy Demand
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics

1996

21. A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
    See also Journal Article in Journal of Applied Econometrics (1999)
22. Evaluating the Rationality of Fixed-Event Forecasts
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
23. Multi-Step Estimation for Forecasting
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
24. Performance of Alternative Forecasting Methods for Setar Models
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations

1992

25. Forecasting in Cointegrated Systems
    Economics Series Working Papers, University of Oxford, Department of Economics View citations
26. On the Limitations of Comparing Mean Square Forecast Errors
    Economics Series Working Papers, University of Oxford, Department of Economics View citations

1991

27. Testing Structural Hypotheses by Encompassing: Us Wages and Prices is the Mark-Up Pricing Hypothesis Dead?
    Economics Series Working Papers, University of Oxford, Department of Economics

1990

28. THE MATHEMATICAL STRUCTURE OF MODELS THAT EXHIBIT COINTEGRATION: A SURVEY OF RECENT APPROACHES
    Economics Series Working Papers, University of Oxford, Department of Economics

1989

29. THE ESTIMATION AND TESTING OF COINTEGRATING VECTORS: A SURVEY OF RECENT APPROACHES AND AN APPLICATION TO THE U.K. NON-DURABLE CONSUMPTION FUNCTION
    Economics Series Working Papers, University of Oxford, Department of Economics

Journal Articles

2009

1. Forecasting US output growth using leading indicators: an appraisal using MIDAS models
   Journal of Applied Econometrics, 2009, 24, (7), 1187-1206
2. Forecasting returns and risk in financial markets using linear and nonlinear models
   International Journal of Forecasting, 2009, 25, (2), 215-217

2008

3. Consensus and uncertainty: Using forecast probabilities of output declines
   International Journal of Forecasting, 2008, 24, (1), 76-86 View citations
4. Economic Forecasting in a Changing World
   Capitalism and Society, 2008, 3, (2), 1
   Also in Capitalism and Society, 2008, 3, (2) (2008)
5. Macroeconomic Forecasting With Mixed-Frequency Data
   Journal of Business & Economic Statistics, 2008, 26, 546-554
6. Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
   Journal of Empirical Finance, 2008, 15, (4), 729-750 View citations
   See also Working Paper (2006)

2007

7. An evaluation of the forecasts of the federal reserve: a pooled approach
   Journal of Applied Econometrics, 2007, 22, (1), 121-136 View citations
8. Bootstrap prediction intervals for autoregressive time series
   Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594

2006

9. Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts
   Empirical Economics, 2006, 31, (1), 49-64 View citations

2005

10. Evaluating a Model by Forecast Performance
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956
11. FORECASTING QUARTERLY AGGREGATE CRIME SERIES
    Manchester School, 2005, 73, (6), 709-727
12. Guest Editors' Introduction: Information in Economic Forecasting
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 713-753 View citations

2004

13. A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure
    International Journal of Forecasting, 2004, 20, (2), 219-236 View citations
14. Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?
    International Journal of Finance & Economics, 2004, 9, (1), 1-14 View citations
15. Evaluating the Bank of England Density Forecasts of Inflation
    Economic Journal, 2004, 114, (498), 844-866 View citations
16. Forecasting economic and financial time-series with non-linear models
    International Journal of Forecasting, 2004, 20, (2), 169-183 View citations
    See also Working Paper (2003)
17. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 View citations
    See also Working Paper (2001)

2003

18. Asymmetric output-gap effects in Phillips Curve and mark-up pricing models: Evidence for the US and the UK
    Scottish Journal of Political Economy, 2003, 50, (4), 359-374 View citations
19. Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions
    Journal of Business & Economic Statistics, 2003, 21, (1), 196-211 View citations
20. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 View citations
    See also Working Paper (2002)
21. Evaluating interval forecasts of high-frequency financial data
    Journal of Applied Econometrics, 2003, 18, (4), 445-456 View citations
22. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 View citations
    See also Working Paper (1999)
23. Some possible directions for future research
    International Journal of Forecasting, 2003, 19, (1), 1-3
24. TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
    Macroeconomic Dynamics, 2003, 7, (04), 567-585 View citations

2002

25. Can oil shocks explain asymmetries in the US Business Cycle?
    Empirical Economics, 2002, 27, (2), 185-204 View citations
26. Comments on 'The state of macroeconomic forecasting'
    Journal of Macroeconomics, 2002, 24, (4), 469-482
27. Conditional mean functions of non-linear models of US output
    Empirical Economics, 2002, 27, (4), 569-586
28. Evaluating multivariate forecast densities: a comparison of two approaches
    International Journal of Forecasting, 2002, 18, (3), 397-407 View citations
29. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 View citations

2001

30. Bootstrapping prediction intervals for autoregressive models
    International Journal of Forecasting, 2001, 17, (2), 247-267 View citations
31. Evaluating forecasts from SETAR models of exchange rates
    Journal of International Money and Finance, 2001, 20, (1), 133-148 View citations
32. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations
    See also Working Paper (2000)
33. Robust Evaluation of Fixed-Event Forecast Rationality
    Journal of Forecasting, 2001, 20, (4), 285-95 View citations

1999

34. A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models
    Journal of Applied Econometrics, 1999, 14, (2), 123-41 View citations
    See also Working Paper (1996)
35. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 View citations
36. Seasonality, Cointegration, and Forecasting UK Residential Energy Demand
    Scottish Journal of Political Economy, 1999, 46, (2), 185-206 View citations

1998

37. A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP
    Econometrics Journal, 1998, 1, (ConferenceIssue), C47-C75 View citations
38. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 View citations

1997

39. An empirical study of seasonal unit roots in forecasting
    International Journal of Forecasting, 1997, 13, (3), 341-355 View citations
40. The performance of alternative forecasting methods for SETAR models
    International Journal of Forecasting, 1997, 13, (4), 463-475 View citations

1996

41. Intercept Corrections and Structural Change
    Journal of Applied Econometrics, 1996, 11, (5), 475-94 View citations
42. Multi-step Estimation for Forecasting
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations
    See also Working Paper (1996)

1995

43. Forecasting in Cointegration Systems
    Journal of Applied Econometrics, 1995, 10, (2), 127-46 View citations
44. Macro-economic Forecasting and Modelling
    Economic Journal, 1995, 105, (431), 1001-13 View citations
45. Rationality and the Role of Judgement in Macroeconomic Forecasting
    Economic Journal, 1995, 105, (429), 410-20 View citations

1994

46. Can Econometrics Improve Economic Forecasting?
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298

1991

47. Empirical analysis of macroeconomic time series: VAR and structural models
    European Economic Review, 1991, 35, (4), 887-917 View citations

1987

48. The UK Economy: Analysis and Prospects
    Oxford Review of Economic Policy, 1987, 3, (2), xxii-xxxii
    Also in Oxford Review of Economic Policy, 1986, 2, (2), xxv-xliii (1986)
    Oxford Review of Economic Policy, 1986, 2, (4), xx-xxxii (1986)
    Oxford Review of Economic Policy, 1986, 2, (3), xxvii-xxxix (1986)
49. The World and UK Economy: Analysis and Prospects
    Oxford Review of Economic Policy, 1987, 3, (1), xx-xxxiii

1986

50. The World Economy: Analysis and Prospects
    Oxford Review of Economic Policy, 1986, 2, (1), xxxiv-li

Books

2001

1. Forecasting Non-Stationary Economic Time Series, vol 1
   MIT Press Books, The MIT Press View citations

Chapters

2006

1. Forecasting with Breaks
   Elsevier View citations