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Details about Michael McCracken

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Homepage:http://research.stlouisfed.org/econ/mccracken
Workplace:Research Division, Federal Reserve Bank of St. Louis, (more information at EDIRC)

Access statistics for papers by Michael McCracken.

Last updated 2017-03-21. Update your information in the RePEc Author Service.

Short-id: pmc81


Jump to Journal Articles Chapters

Working Papers

2016

  1. Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
  2. Tests of Equal Accuracy for Nested Models with Estimated Factors
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)

2015

  1. FRED-MD: A Monthly Database for Macroeconomic Research
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (13)
  2. Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)

2014

  1. Evaluating Conditional Forecasts from Vector Autoregressions
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (5)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2014) Downloads View citations (6)

2013

  1. Evaluating the accuracy of forecasts from vector autoregressions
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)

2012

  1. Comment on "Taylor rule exchange rate forecasting during the financial crisis"
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    See also Chapter (2012)
  2. Consistent testing for structural change at the ends of the sample
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
  3. Multi-step ahead forecasting of vector time series
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)

2011

  1. Advances in forecast evaluation
    Working Paper, Federal Reserve Bank of Cleveland Downloads View citations (12)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2011) Downloads View citations (7)

    See also Chapter (2013)
  2. Tests of equal forecast accuracy for overlapping models
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in Working Paper, Federal Reserve Bank of Cleveland (2011) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2014)

2010

  1. Real-time forecast averaging with ALFRED
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    See also Journal Article in Review (2011)
  2. Reality checks and nested forecast model comparisons
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (4)
  3. Testing for unconditional predictive ability
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (9)

2009

  1. Forecast disagreement among FOMC members
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (19)
  2. In-sample tests of predictive ability: a new approach
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2009) Downloads

    See also Journal Article in Journal of Econometrics (2012)
  3. Nested forecast model comparisons: a new approach to testing equal accuracy
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (7)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads View citations (22)

    See also Journal Article in Journal of Econometrics (2015)

2008

  1. Averaging forecasts from VARs with uncertain instabilities
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (10)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) Downloads View citations (9)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2010)
  2. Combining forecasts from nested models
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) Downloads View citations (4)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (4)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2009)
  3. Improving forecast accuracy by combining recursive and rolling forecasts
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2004) Downloads View citations (19)

    See also Journal Article in International Economic Review (2009)
  4. Tests of equal predictive ability with real-time data
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2007) Downloads View citations (15)

    See also Journal Article in Journal of Business & Economic Statistics (2009)

2007

  1. 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.) Downloads View citations (15)

2006

  1. Forecasting of small macroeconomic VARs in the presence of instabilities
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (4)

2003

  1. 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 (11)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2003) Downloads View citations (16)

    See also Journal Article in Journal of Money, Credit and Banking (2006)

2002

  1. Forecast-based model selection in the presence of structural breaks
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (10)

2001

  1. Evaluating long-horizon forecasts
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (26)
  2. Inference about predictive ability
    Working papers, Wisconsin Madison - Social Systems Downloads View citations (11)
  3. 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) Downloads

2000

  1. Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (10)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (7)
    Research Working Paper, Federal Reserve Bank of Kansas City (1999) Downloads View citations (7)

    See also Journal Article in Journal of Econometrics (2001)

1998

  1. Regression-Based Tests of Predictive Ability
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (115)
    Also in Working papers, Wisconsin Madison - Social Systems (1997) Downloads View citations (15)

    See also Journal Article in International Economic Review (1998)

Journal Articles

2016

  1. A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth
    Review, 2016, 98, (4), 277-296 Downloads
  2. Tracking the U.S. Economy with Nowcasts
    The Regional Economist, 2016, (April) Downloads

2015

  1. Nested forecast model comparisons: A new approach to testing equal accuracy
    Journal of Econometrics, 2015, 186, (1), 160-177 Downloads View citations (9)
    See also Working Paper (2009)

2014

  1. Factor-based prediction of industry-wide bank stress
    Review, 2014, 96, (2), 173-194 Downloads View citations (2)
  2. TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
    Journal of Applied Econometrics, 2014, 29, (3), 415-430 Downloads View citations (1)
    See also Working Paper (2011)

2013

  1. Comment
    NBER International Seminar on Macroeconomics, 2013, 9, (1), 98 - 105 Downloads

2012

  1. Following the Fed with a news tracker
    Economic Synopses, 2012 Downloads
  2. In-sample tests of predictive ability: A new approach
    Journal of Econometrics, 2012, 170, (1), 1-14 Downloads View citations (8)
    See also Working Paper (2009)

2011

  1. Housing's role in a recovery
    Economic Synopses, 2011 Downloads View citations (1)
  2. Initial claims and employment growth: are we at the threshold?
    Economic Synopses, 2011 Downloads View citations (2)
  3. Real-time forecast averaging with ALFRED
    Review, 2011, (Jan), 49-66 Downloads
    See also Working Paper (2010)
  4. Reality Checks and Comparisons of Nested Predictive Models
    Journal of Business & Economic Statistics, 2011, 30, (1), 53-66 Downloads
  5. Should food be excluded from core CPI?
    Economic Synopses, 2011 Downloads

2010

  1. Averaging forecasts from VARs with uncertain instabilities
    Journal of Applied Econometrics, 2010, 25, (1), 5-29 Downloads View citations (63)
    See also Working Paper (2008)
  2. Disagreement at the FOMC: the dissenting votes are just part of the story
    The Regional Economist, 2010, (Oct), 10-16 Downloads View citations (9)
  3. Using FOMC forecasts to forecast the economy
    Economic Synopses, 2010 Downloads View citations (7)
  4. Using stock market liquidity to forecast recessions
    Economic Synopses, 2010 Downloads

2009

  1. Combining Forecasts from Nested Models
    Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 Downloads View citations (10)
    See also Working Paper (2008)
  2. How accurate are forecasts in a recession?
    National Economic Trends, 2009, (Feb) Downloads
  3. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
    International Economic Review, 2009, 50, (2), 363-395 Downloads View citations (33)
    See also Working Paper (2008)
  4. Tests of Equal Predictive Ability With Real-Time Data
    Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 Downloads View citations (44)
    See also Working Paper (2008)
  5. Uncertainty about when the Fed will raise interest rates
    Economic Synopses, 2009 Downloads

2007

  1. Asymptotics for out of sample tests of Granger causality
    Journal of Econometrics, 2007, 140, (2), 719-752 Downloads View citations (253)

2006

  1. Pairwise tests of equal forecast accuracy (in Russian)
    Quantile, 2006, (1), 53-62 Downloads
  2. 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 Downloads View citations (54)
    See also Working Paper (2003)

2005

  1. Evaluating Direct Multistep Forecasts
    Econometric Reviews, 2005, 24, (4), 369-404 Downloads View citations (114)
  2. Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p's and q's!
    Journal of Money, Credit and Banking, 2005, 37, (3), 473-94 View citations (23)
  3. The power of tests of predictive ability in the presence of structural breaks
    Journal of Econometrics, 2005, 124, (1), 1-31 Downloads View citations (51)

2004

  1. Parameter estimation and tests of equal forecast accuracy between non-nested models
    International Journal of Forecasting, 2004, 20, (3), 503-514 Downloads View citations (14)

2001

  1. Tests of equal forecast accuracy and encompassing for nested models
    Journal of Econometrics, 2001, 105, (1), 85-110 Downloads View citations (444)
    See also Working Paper (2000)

2000

  1. Robust out-of-sample inference
    Journal of Econometrics, 2000, 99, (2), 195-223 Downloads View citations (105)

1998

  1. Regression-Based Tests of Predictive Ability
    International Economic Review, 1998, 39, (4), 817-40 View citations (72)
    See also Working Paper (1998)

Chapters

2013

  1. Advances in Forecast Evaluation
    Elsevier Downloads View citations (13)
    See also Working Paper (2011)

2012

  1. Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"
    A chapter in NBER International Seminar on Macroeconomics 2012, 2012, pp 98-105 Downloads
    See also Working Paper (2012)
 
Page updated 2017-04-27