EconPapers    
Economics at your fingertips  
 

Details about Michael Peter Clements

E-mail:
Workplace:ICMA Centre for Financial Markets, Henley Business School, University of Reading, (more information at EDIRC)

Access statistics for papers by Michael Peter Clements.

Last updated 2017-03-10. Update your information in the RePEc Author Service.

Short-id: pcl24


Jump to Journal Articles Books Edited books Chapters

Working Papers

2017

  1. Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2016

  1. An Overview of Forecasting Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  2. Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Are Macroeconomic Density Forecasts Informative?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  4. Sir Clive W.J. Granger?s Contributions to Forecasting
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2015

  1. Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)
  2. Forecasters’ Disagreement about How the Economy Operates, and the Role of Long-run Relationships
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University

2014

  1. Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Do US Macroeconomic Forecasters Exaggerate Their Differences?
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Forecasting (2015)
  4. Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in International Journal of Forecasting (2016)
  5. Measuring Macroeconomic Uncertainty: US Inflation and Output Growth
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
  6. Real-Time Factor Model Forecasting and the Effects of Instability
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2016)
  7. Robust Approaches to Forecasting
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    See also Journal Article in International Journal of Forecasting (2015)

2012

  1. Forecasting by factors, by variables, or both?
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (2)
  2. Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (3)
    See also Journal Article in International Journal of Forecasting (2014)
  3. Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
  4. US inflation expectations and heterogeneous loss functions, 1968–2010
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    See also Journal Article in Journal of Forecasting (2014)

2011

  1. Do Professional Forecasters Pay Attention to Data Releases?
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    See also Journal Article in International Journal of Forecasting (2012)
  2. Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)

2010

  1. Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  2. Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (5)
  3. Why are survey forecasts superior to model forecasts?
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads

2009

  1. First Announcements and Real Economic Activity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    See also Journal Article in European Economic Review (2010)

2008

  1. Explanations of the inconsistencies in survey respondents'forecasts
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (1)
    See also Journal Article in European Economic Review (2010)
  2. 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 Downloads

2007

  1. Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (5)

2006

  1. Forecast Encompassing Tests and Probability Forecasts
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2010)
  2. 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 Downloads View citations (2)
  3. 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 Downloads View citations (6)
  4. 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 Downloads View citations (5)
    See also Journal Article in Journal of Empirical Finance (2008)

2003

  1. Forecasting economic and financial time-series with non-linear models
    Departmental Working Papers, Rutgers University, Department of Economics Downloads View citations (8)
    See also Journal Article in International Journal of Forecasting (2004)

2002

  1. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (8)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) Downloads View citations (15)
    Economics Series Working Papers, University of Oxford, Department of Economics (2001) Downloads View citations (5)
    Working Paper Series, European Central Bank (2001) Downloads View citations (14)

    See also Journal Article in Economic Modelling (2003)

2001

  1. MODELLING BUSINESS CYCLE FEATURES USING SWITCHING REGIME MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2001) Downloads View citations (1)
  2. Pooling of Forecasts
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
    See also Journal Article in Econometrics Journal (2004)

2000

  1. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) Downloads

    See also Journal Article in Econometrics Journal (2001)

1999

  1. Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (9)
  2. On SETAR non- linearity and forecasting
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (15)
    See also Journal Article in Journal of Forecasting (2003)

1998

  1. 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 Downloads View citations (37)
  2. Non-Linearities in Exchange Rates
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (4)

1997

  1. 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 Downloads View citations (4)
  2. Forecasting Seasonal UK Consumption Components
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
  3. Seasonality, Cointegration, and the Forecasting of Energy Demand
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads

1996

  1. 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 Downloads View citations (3)
    See also Journal Article in Journal of Applied Econometrics (1999)
  2. Evaluating the Rationality of Fixed-Event Forecasts
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (5)
  3. Multi-Step Estimation for Forecasting
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (68)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
  4. Performance of Alternative Forecasting Methods for Setar Models
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (4)

1992

  1. Forecasting in Cointegrated Systems
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (27)
  2. On the Limitations of Comparing Mean Square Forecast Errors
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (50)

1991

  1. 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

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

1989

  1. 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 View citations (3)

Journal Articles

2016

  1. Long-run restrictions and survey forecasts of output, consumption and investment
    International Journal of Forecasting, 2016, 32, (3), 614-628 Downloads View citations (1)
    See also Working Paper (2014)
  2. Real-time factor model forecasting and the effects of instability
    Computational Statistics & Data Analysis, 2016, 100, (C), 661-675 Downloads
    See also Working Paper (2014)

2015

  1. Are Professional Macroeconomic Forecasters Able To Do Better Than Forecasting Trends?
    Journal of Money, Credit and Banking, 2015, 47, (2-3), 349-382 Downloads View citations (2)
  2. Do US Macroeconomic Forecasters Exaggerate their Differences?
    Journal of Forecasting, 2015, 34, (8), 649-660 Downloads
    See also Working Paper (2014)
  3. Forecasting with Bayesian multivariate vintage-based VARs
    International Journal of Forecasting, 2015, 31, (3), 757-768 Downloads View citations (2)
  4. Robust approaches to forecasting
    International Journal of Forecasting, 2015, 31, (1), 99-112 Downloads View citations (9)
    See also Working Paper (2014)

2014

  1. Forecast Uncertainty- Ex Ante and Ex Post: U.S. Inflation and Output Growth
    Journal of Business & Economic Statistics, 2014, 32, (2), 206-216 Downloads View citations (13)
  2. Probability distributions or point predictions? Survey forecasts of US output growth and inflation
    International Journal of Forecasting, 2014, 30, (1), 99-117 Downloads View citations (2)
    See also Working Paper (2012)
  3. US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010
    Journal of Forecasting, 2014, 33, (1), 1-14 Downloads
    See also Working Paper (2012)

2013

  1. Forecasting by factors, by variables, by both or neither?
    Journal of Econometrics, 2013, 177, (2), 305-319 Downloads View citations (16)
  2. Forecasting with vector autoregressive models of data vintages: US output growth and inflation
    International Journal of Forecasting, 2013, 29, (4), 698-714 Downloads View citations (11)
  3. REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS
    Journal of Applied Econometrics, 2013, 28, (3), 458-477 View citations (21)

2012

  1. Do professional forecasters pay attention to data releases?
    International Journal of Forecasting, 2012, 28, (2), 297-308 Downloads View citations (2)
    See also Working Paper (2011)
  2. Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 1-27 Downloads
  3. Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models
    Journal of Business & Economic Statistics, 2012, 30, (4), 554-562 Downloads View citations (6)

2011

  1. An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms
    Journal of Money, Credit and Banking, 2011, 43, (1), 207-220 View citations (3)
  2. Combining probability forecasts
    International Journal of Forecasting, 2011, 27, (2), 208-223 Downloads View citations (18)
    Also in International Journal of Forecasting, 2011, 27, (2), 208-223 (2011) Downloads View citations (17)

2010

  1. Explanations of the inconsistencies in survey respondents' forecasts
    European Economic Review, 2010, 54, (4), 536-549 Downloads View citations (13)
    See also Working Paper (2008)
  2. First announcements and real economic activity
    European Economic Review, 2010, 54, (6), 803-817 Downloads View citations (4)
    See also Working Paper (2009)
  3. Forecast encompassing tests and probability forecasts
    Journal of Applied Econometrics, 2010, 25, (6), 1028-1062 Downloads View citations (7)
    See also Working Paper (2006)

2009

  1. Comments on "Forecasting economic and financial variables with global VARs"
    International Journal of Forecasting, 2009, 25, (4), 680-683 Downloads View citations (1)
  2. Forecasting US output growth using leading indicators: an appraisal using MIDAS models
    Journal of Applied Econometrics, 2009, 24, (7), 1187-1206 Downloads View citations (71)
  3. Forecasting returns and risk in financial markets using linear and nonlinear models
    International Journal of Forecasting, 2009, 25, (2), 215-217 Downloads

2008

  1. Consensus and uncertainty: Using forecast probabilities of output declines
    International Journal of Forecasting, 2008, 24, (1), 76-86 Downloads View citations (12)
  2. Economic Forecasting in a Changing World
    Capitalism and Society, 2008, 3, (2), 1-20 Downloads View citations (16)
  3. Macroeconomic Forecasting With Mixed-Frequency Data
    Journal of Business & Economic Statistics, 2008, 26, 546-554 Downloads View citations (62)
  4. Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
    Journal of Empirical Finance, 2008, 15, (4), 729-750 Downloads View citations (40)
    See also Working Paper (2006)

2007

  1. An evaluation of the forecasts of the federal reserve: a pooled approach
    Journal of Applied Econometrics, 2007, 22, (1), 121-136 Downloads View citations (42)
  2. Bootstrap prediction intervals for autoregressive time series
    Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594 Downloads View citations (11)

2006

  1. Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts
    Empirical Economics, 2006, 31, (1), 49-64 Downloads View citations (16)

2005

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

2004

  1. 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 Downloads View citations (17)
  2. 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 Downloads View citations (6)
  3. Evaluating the Bank of England Density Forecasts of Inflation
    Economic Journal, 2004, 114, (498), 844-866 Downloads View citations (53)
  4. Forecasting economic and financial time-series with non-linear models
    International Journal of Forecasting, 2004, 20, (2), 169-183 Downloads View citations (39)
    See also Working Paper (2003)
  5. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 Downloads View citations (139)
    See also Working Paper (2001)

2003

  1. 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 Downloads View citations (12)
  2. Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions
    Journal of Business & Economic Statistics, 2003, 21, (1), 196-211 View citations (61)
  3. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 Downloads View citations (35)
    See also Working Paper (2002)
  4. Evaluating interval forecasts of high-frequency financial data
    Journal of Applied Econometrics, 2003, 18, (4), 445-456 Downloads View citations (25)
  5. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 Downloads View citations (18)
    See also Working Paper (1999)
  6. Some possible directions for future research
    International Journal of Forecasting, 2003, 19, (1), 1-3 Downloads View citations (6)
  7. TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
    Macroeconomic Dynamics, 2003, 7, (04), 567-585 Downloads View citations (10)

2002

  1. Can oil shocks explain asymmetries in the US Business Cycle?
    Empirical Economics, 2002, 27, (2), 185-204 Downloads View citations (26)
  2. Comments on 'The state of macroeconomic forecasting'
    Journal of Macroeconomics, 2002, 24, (4), 469-482 Downloads View citations (1)
  3. Conditional mean functions of non-linear models of US output
    Empirical Economics, 2002, 27, (4), 569-586 Downloads View citations (1)
  4. Evaluating multivariate forecast densities: a comparison of two approaches
    International Journal of Forecasting, 2002, 18, (3), 397-407 Downloads View citations (32)
  5. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 Downloads View citations (30)

2001

  1. An Historical Perspective on Forecast Errors
    National Institute Economic Review, 2001, 177, (1), 100-112 Downloads View citations (1)
  2. Bootstrapping prediction intervals for autoregressive models
    International Journal of Forecasting, 2001, 17, (2), 247-267 Downloads View citations (33)
  3. Evaluating forecasts from SETAR models of exchange rates
    Journal of International Money and Finance, 2001, 20, (1), 133-148 Downloads View citations (34)
  4. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations (37)
    See also Working Paper (2000)
  5. Robust Evaluation of Fixed-Event Forecast Rationality
    Journal of Forecasting, 2001, 20, (4), 285-95 View citations (6)

1999

  1. A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models
    Journal of Applied Econometrics, 1999, 14, (2), 123-41 Downloads View citations (78)
    See also Working Paper (1996)
  2. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 Downloads View citations (22)
  3. Seasonality, Cointegration, and Forecasting UK Residential Energy Demand
    Scottish Journal of Political Economy, 1999, 46, (2), 185-206 Downloads View citations (14)

1998

  1. 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 (88)
  2. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 Downloads View citations (45)

1997

  1. An empirical study of seasonal unit roots in forecasting
    International Journal of Forecasting, 1997, 13, (3), 341-355 Downloads View citations (40)
  2. The performance of alternative forecasting methods for SETAR models
    International Journal of Forecasting, 1997, 13, (4), 463-475 Downloads View citations (56)

1996

  1. Intercept Corrections and Structural Change
    Journal of Applied Econometrics, 1996, 11, (5), 475-94 Downloads View citations (75)
  2. Multi-step Estimation for Forecasting
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations (41)
    See also Working Paper (1996)

1995

  1. Forecasting in Cointegration Systems
    Journal of Applied Econometrics, 1995, 10, (2), 127-46 Downloads View citations (37)
  2. Macro-economic Forecasting and Modelling
    Economic Journal, 1995, 105, (431), 1001-13 Downloads View citations (18)
  3. Rationality and the Role of Judgement in Macroeconomic Forecasting
    Economic Journal, 1995, 105, (429), 410-20 Downloads View citations (21)

1994

  1. Can Econometrics Improve Economic Forecasting?
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298 Downloads View citations (9)

1991

  1. Empirical analysis of macroeconomic time series: VAR and structural models
    European Economic Review, 1991, 35, (4), 887-917 Downloads View citations (49)

1987

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

1986

  1. 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 (142)

1998

  1. Forecasting Economic Time Series
    Cambridge Books, Cambridge University Press View citations (118)
    Also in Cambridge Books, Cambridge University Press (1998) View citations (108)

Edited books

2011

  1. The Oxford Handbook of Economic Forecasting
    OUP Catalogue, Oxford University Press View citations (17)

Chapters

2006

  1. Forecasting with Breaks
    Elsevier Downloads View citations (49)
 
Page updated 2017-03-29