Details about Todd Clark

Access statistics for papers by Todd Clark.

Last updated 2013-05-05. Update your information in the RePEc Author Service.

Short-id: pcl55

Working Papers

2013

1. Evaluating the accuracy of forecasts from vector autoregressions
   Working Papers, Federal Reserve Bank of St. Louis
2. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Paper, Federal Reserve Bank of Cleveland (2012)

2012

3. Common Drifting Volatility in Large Bayesian VARs
   Economics Working Papers, European University Institute View citations (1)
   Also in Working Paper, Federal Reserve Bank of Cleveland (2012) View citations (2)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (1)
4. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
   Working Paper, Federal Reserve Bank of Cleveland
   Also in Working Paper, Norges Bank (2012) View citations (1)

2011

5. A Bayesian evaluation of alternative models of trend inflation
   Working Paper, Federal Reserve Bank of Cleveland View citations (2)
6. Advances in forecast evaluation
   Working Papers, Federal Reserve Bank of St. Louis View citations (1)
   Also in Working Paper, Federal Reserve Bank of Cleveland (2011)
7. Bayesian VARs: Specification Choices and Forecast Accuracy
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
   Also in Working Paper, Federal Reserve Bank of Cleveland (2011) View citations (1)
8. Tests of equal forecast accuracy for overlapping models
   Working Paper, Federal Reserve Bank of Cleveland View citations (1)
   Also in Working Papers, Federal Reserve Bank of St. Louis (2011) View citations (1)

2010

9. Reality checks and nested forecast model comparisons
   Working Papers, Federal Reserve Bank of St. Louis View citations (4)
10. Testing for unconditional predictive ability
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)

2009

11. Decomposing the declining volatility of long-term inflation expectations
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2011)
12. In-sample tests of predictive ability: a new approach
    Research Working Paper, Federal Reserve Bank of Kansas City
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (1)
13. Nested forecast model comparisons: a new approach to testing equal accuracy
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (10)
14. Real-time density forecasts from VARs with stochastic volatility
    Research Working Paper, Federal Reserve Bank of Kansas City
15. Time variation in the inflation passthrough of energy prices
    Research Working Paper, Federal Reserve Bank of Kansas City
    See also Journal Article in Journal of Money, Credit and Banking (2010)

2008

16. An empirical assessment of the relationships among inflation and short- and long-term expectations
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (3)
17. Averaging forecasts from VARs with uncertain instabilities
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007)
    Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (6)
    See also Journal Article in Journal of Applied Econometrics (2010)
18. Combining forecasts from nested models
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (4)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (2)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2009)
19. Improving forecast accuracy by combining recursive and rolling forecasts
    Working Papers, Federal Reserve Bank of St. Louis
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2004) View citations (14)
    See also Journal Article in International Economic Review (2009)
20. Tests of equal predictive ability with real-time data
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2007) View citations (13)
    See also Journal Article in Journal of Business & Economic Statistics (2009)

2007

21. 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.) View citations (10)

2006

22. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (8)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) View citations (6)
    See also Journal Article in Journal of Econometrics (2007)
23. Forecasting of small macroeconomic VARs in the presence of instabilities
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)

2005

24. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc

2004

25. Estimating equilibrium real interest rates in real time
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (13)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2004) View citations (5)
    See also Journal Article in The North American Journal of Economics and Finance (2005)
26. Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (9)
    See also Journal Article in Journal of Econometrics (2006)

2003

27. Disaggregate evidence on the persistence of consumer price inflation
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (16)
    See also Journal Article in Journal of Applied Econometrics (2006)
28. 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 View citations (7)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2003) View citations (15)
    See also Journal Article in Journal of Money, Credit and Banking (2006)

2002

29. Forecast-based model selection in the presence of structural breaks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (7)

2001

30. Evaluating long-horizon forecasts
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (19)

2000

31. Can out-of-sample forecast comparisons help prevent overfitting?
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)
    See also Journal Article in Journal of Forecasting (2004)
32. Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (7)
    Research Working Paper, Federal Reserve Bank of Kansas City (1999) View citations (7)
    See also Journal Article in Journal of Econometrics (2001)

1999

33. Borders and business cycles
    Staff Reports, Federal Reserve Bank of New York View citations (6)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (1999) View citations (19)
    See also Journal Article in Journal of International Economics (2001)

1998

34. The sources of fluctuations within and across countries
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (45)

1997

35. Do producer prices help predict consumer prices?
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)

1996

36. Finite-sample properties of tests for forecast equivalence
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (7)
37. The responses of prices at different stages of production to monetary policy shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)
    See also Journal Article in The Review of Economics and Statistics (1999)

1995

38. Forecasting an aggregate of cointegrated disaggregates
    Research Working Paper, Federal Reserve Bank of Kansas City
39. Small sample properties of estimators of non-linear models of covariance structure
    Research Working Paper, Federal Reserve Bank of Kansas City
    See also Journal Article in Journal of Business & Economic Statistics (1996)

1994

40. A comparison of two approaches to measuring common and idiosyncratic components in sets of time series variables
    Research Working Paper, Federal Reserve Bank of Kansas City

1993

41. Cross-country evidence on long run growth and inflation
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (13)
    See also Journal Article in Economic Inquiry (1997)
42. Rents and prices of housing across areas of the U.S.: a cross-section examination of the present value model
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (1)

1992

43. Business cycle fluctuations in U.S. regions and industries: the roles of national, region-specific, and industry-specific shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (2)

Journal Articles

2012

1. Policy rules in macroeconomic forecasting models
   Economic Commentary, 2012, (Oct 12)
2. Reality Checks and Comparisons of Nested Predictive Models
   Journal of Business & Economic Statistics, 2012, 30, (1), 53-66

2011

3. Decomposing the declining volatility of long-term inflation expectations
   Journal of Economic Dynamics and Control, 2011, 35, (7), 981-999 View citations (5)
   See also Working Paper (2009)
4. Food and energy price shocks: what other prices are affected?
   Economic Commentary, 2011, (Aug 24)
5. Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
   Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 View citations (7)

2010

6. Averaging forecasts from VARs with uncertain instabilities
   Journal of Applied Econometrics, 2010, 25, (1), 5-29 View citations (27)
   See also Working Paper (2008)
7. Time Variation in the Inflation Passthrough of Energy Prices
   Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 View citations (1)
   See also Working Paper (2009)

2009

8. Combining Forecasts from Nested Models
   Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 View citations (3)
   See also Working Paper (2008)
9. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
   International Economic Review, 2009, 50, (2), 363-395 View citations (11)
   See also Working Paper (2008)
10. Is the Great Moderation over? an empirical analysis
    Economic Review, 2009, (Q IV), 5-42 View citations (2)
11. Tests of Equal Predictive Ability With Real-Time Data
    Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 View citations (9)
    See also Working Paper (2008)

2008

12. Has the behavior of inflation and long-term inflation expectations changed?
    Economic Review, 2008, (Q I), 17-50 View citations (8)

2007

13. Approximately normal tests for equal predictive accuracy in nested models
    Journal of Econometrics, 2007, 138, (1), 291-311 View citations (144)
    See also Working Paper (2006)

2006

14. Disaggregate evidence on the persistence of consumer price inflation
    Journal of Applied Econometrics, 2006, 21, (5), 563-587 View citations (23)
    See also Working Paper (2003)
15. The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence
    Journal of Money, Credit and Banking, 2006, 38, (5), 1127-1148 View citations (35)
    See also Working Paper (2003)
16. The trend growth rate of employment: past, present, and future
    Economic Review, 2006, (Q I), 43-85 View citations (2)
17. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
    Journal of Econometrics, 2006, 135, (1-2), 155-186 View citations (90)
    See also Working Paper (2004)

2005

18. Estimating equilibrium real interest rates in real time
    The North American Journal of Economics and Finance, 2005, 16, (3), 395-413 View citations (25)
    See also Working Paper (2004)
19. Evaluating Direct Multistep Forecasts
    Econometric Reviews, 2005, 24, (4), 369-404 View citations (62)
20. The power of tests of predictive ability in the presence of structural breaks
    Journal of Econometrics, 2005, 124, (1), 1-31 View citations (25)

2004

21. An evaluation of the decline in goods inflation
    Economic Review, 2004, (Q II), 19-51 View citations (3)
22. Can out-of-sample forecast comparisons help prevent overfitting?
    Journal of Forecasting, 2004, 23, (2), 115-139 View citations (4)
    See also Working Paper (2000)

2001

23. Borders and business cycles
    Journal of International Economics, 2001, 55, (1), 59-85 View citations (113)
    See also Working Paper (1999)
24. Comparing measures of core inflation
    Economic Review, 2001, (Q II), 5-31 View citations (25)
25. Tests of equal forecast accuracy and encompassing for nested models
    Journal of Econometrics, 2001, 105, (1), 85-110 View citations (270)
    See also Working Paper (2000)

1999

26. A comparison of the CPI and the PCE price index
    Economic Review, 1999, (Q III), 15-29 View citations (15)
27. The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks
    The Review of Economics and Statistics, 1999, 81, (3), 420-433 View citations (32)
    See also Working Paper (1996)

1998

28. Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region-Specific, and Industry-Specific Shocks
    Journal of Labor Economics, 1998, 16, (1), 202-29 View citations (32)
29. Progress toward price stability: a 1997 inflation report
    Economic Review, 1998, (Q I), 5-21

1997

30. Cross-country Evidence on Long-Run Growth and Inflation
    Economic Inquiry, 1997, 35, (1), 70-81 View citations (22)
    See also Working Paper (1993)
31. U.S. inflation developments in 1996
    Economic Review, 1997, (Q I), 11-30

1996

32. Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure
    Journal of Business & Economic Statistics, 1996, 14, (3), 367-73 View citations (19)
    See also Working Paper (1995)
33. U.S. inflation developments in 1995
    Economic Review, 1996, (Q I), 27-42

1995

34. Do producer prices lead consumer prices?
    Economic Review, 1995, (Q III), 25-39 View citations (6)
35. Rents and prices of housing across areas of the United States. A cross-section examination of the present value model
    Regional Science and Urban Economics, 1995, 25, (2), 237-247 View citations (7)

1994

36. Nominal GDP targeting rules: can they stabilize the economy?
    Economic Review, 1994, (Q III), 11-25 View citations (7)