Details about Michael McCracken

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 2023-08-11. Update your information in the RePEc Author Service.

Short-id: pmc81

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Working Papers

2025

1. Are Continued Jobless Claims a Useful Gauge of Labor Market Conditions?
   On the Economy, Federal Reserve Bank of St. Louis
2. Are Initial Jobless Claims a Useful Gauge of Labor Market Conditions?
   On the Economy, Federal Reserve Bank of St. Louis

2024

3. Bootstrapping out-of-sample predictability tests with real-time data
   Working Papers, Federal Reserve Bank of St. Louis
4. Core Inflation Revisited: Forecast Accuracy across Horizons
   On the Economy, Federal Reserve Bank of St. Louis
5. Growth-at-Risk is Investment-at-Risk
   Working Papers, Federal Reserve Bank of St. Louis View citations (1)

2023

6. Reconsidering the Fed's Inflation Forecasting Advantage
   Working Papers, Federal Reserve Bank of St. Louis
7. Using Core Inflation to Predict Headline Inflation
   On the Economy, Federal Reserve Bank of St. Louis
8. What Do Components of Key Inflation Measures Say about Future Inflation?
   On the Economy, Federal Reserve Bank of St. Louis
9. Will High Inflation Persist?
   On the Economy, Federal Reserve Bank of St. Louis

2022

10. On the Real-Time Predictive Content of Financial Conditions Indices for Growth
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article On the real‐time predictive content of financial condition indices for growth, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2023) View citations (4) (2023)
11. What Are Financial Market Stress Indexes Showing?
    On the Economy, Federal Reserve Bank of St. Louis

2021

12. Binary Conditional Forecasts
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article Binary Conditional Forecasts, Journal of Business & Economic Statistics, Taylor & Francis Journals (2022) (2022)
13. How COVID-19 May Be Affecting Inflation
    On the Economy, Federal Reserve Bank of St. Louis
14. Inflation Expectations and the Fed’s New Monetary Framework
    On the Economy, Federal Reserve Bank of St. Louis
15. Market-Based Measures of Inflation Risks
    On the Economy, Federal Reserve Bank of St. Louis
16. Price Volatility and Headline Inflation
    On the Economy, Federal Reserve Bank of St. Louis

2020

17. COVID-19: Forecasting with Slow and Fast Data
    On the Economy, Federal Reserve Bank of St. Louis
18. Diverging Tests of Equal Predictive Ability
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Diverging Tests of Equal Predictive Ability, Econometrica, Econometric Society (2020) View citations (8) (2020)
19. FRED-QD: A Quarterly Database for Macroeconomic Research
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (77)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2020) View citations (49)
    See also Journal Article FRED-QD: A Quarterly Database for Macroeconomic Research, Review, Federal Reserve Bank of St. Louis (2021) View citations (14) (2021)
20. Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    See also Journal Article Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR, International Journal of Central Banking, International Journal of Central Banking (2021) View citations (6) (2021)
21. Tests of Conditional Predictive Ability: Existence, Size, and Power
    Working Papers, Federal Reserve Bank of St. Louis
22. The St. Louis Fed's Financial Stress Index, Version 2.0
    On the Economy, Federal Reserve Bank of St. Louis

2019

23. Tests of Conditional Predictive Ability: Some Simulation Evidence
    Working Papers, Federal Reserve Bank of St. Louis View citations (6)

2017

24. An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts
    Working Papers, Federal Reserve Bank of St. Louis
    See also Journal Article An empirical investigation of direct and iterated multistep conditional forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (10) (2019)
25. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
    Working Papers, Federal Reserve Bank of Cleveland View citations (7)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2017) View citations (6)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2017) View citations (7)
    BIS Working Papers, Bank for International Settlements (2017) View citations (6)
    See also Journal Article Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, The Review of Economics and Statistics, MIT Press (2020) View citations (21) (2020)

2015

26. FRED-MD: A Monthly Database for Macroeconomic Research
    Working Papers, Federal Reserve Bank of St. Louis View citations (51)
    See also Journal Article FRED-MD: A Monthly Database for Macroeconomic Research, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (430) (2016)
27. Tests of Equal Accuracy for Nested Models with Estimated Factors
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    See also Journal Article Tests of equal accuracy for nested models with estimated factors, Journal of Econometrics, Elsevier (2017) View citations (19) (2017)

2014

28. Evaluating Conditional Forecasts from Vector Autoregressions
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (11)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2014) View citations (12)

2013

29. Evaluating the accuracy of forecasts from vector autoregressions
    Working Papers, Federal Reserve Bank of St. Louis View citations (7)

2012

30. Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Asymptotic Inference for Performance Fees and the Predictability of Asset Returns, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (5) (2018)
31. Comment on \"Taylor rule exchange rate forecasting during the financial crisis\"
    Working Papers, Federal Reserve Bank of St. Louis
    See also Chapter Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis", NBER Chapters, National Bureau of Economic Research, Inc (2012) (2012)
32. Consistent testing for structural change at the ends of the sample
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Chapter Consistent Testing for Structural Change at the Ends of the Sample, Advances in Econometrics, Emerald Group Publishing Limited (2012) (2012)
33. Multi-step ahead forecasting of vector time series
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    See also Journal Article Multistep ahead forecasting of vector time series, Econometric Reviews, Taylor & Francis Journals (2017) View citations (2) (2017)

2011

34. Advances in forecast evaluation
    Working Papers, Federal Reserve Bank of St. Louis View citations (9)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (13)
    See also Chapter Advances in Forecast Evaluation, Handbook of Economic Forecasting, Elsevier (2013) View citations (113) (2013)
35. Tests of equal forecast accuracy for overlapping models
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (2)
    See also Journal Article TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (9) (2014)

2010

36. Real-time forecast averaging with ALFRED
    Working Papers, Federal Reserve Bank of St. Louis View citations (4)
    See also Journal Article Real-time forecast averaging with ALFRED, Review, Federal Reserve Bank of St. Louis (2011) View citations (1) (2011)
37. Reality checks and nested forecast model comparisons
    Working Papers, Federal Reserve Bank of St. Louis View citations (5)
38. Testing for unconditional predictive ability
    Working Papers, Federal Reserve Bank of St. Louis View citations (10)

2009

39. Forecast disagreement among FOMC members
    Working Papers, Federal Reserve Bank of St. Louis View citations (23)
40. In-sample tests of predictive ability: a new approach
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2009)
    See also Journal Article In-sample tests of predictive ability: A new approach, Journal of Econometrics, Elsevier (2012) View citations (20) (2012)
41. Nested forecast model comparisons: a new approach to testing equal accuracy
    Working Papers, Federal Reserve Bank of St. Louis View citations (28)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2009) View citations (7)
    See also Journal Article Nested forecast model comparisons: A new approach to testing equal accuracy, Journal of Econometrics, Elsevier (2015) View citations (49) (2015)

2008

42. Averaging forecasts from VARs with uncertain instabilities
    Working Papers, Federal Reserve Bank of St. Louis View citations (11)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (12)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (1)
    See also Journal Article Averaging forecasts from VARs with uncertain instabilities, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (45) (2010)
43. Combining forecasts from nested models
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (4)
    Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (7)
    See also Journal Article Combining Forecasts from Nested Models*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009) View citations (13) (2009)
44. Improving forecast accuracy by combining recursive and rolling forecasts
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2004) View citations (21)
    See also Journal Article IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2009) View citations (90) (2009)
45. Tests of equal predictive ability with real-time data
    Working Papers, Federal Reserve Bank of St. Louis View citations (3)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2007) View citations (19)
    See also Journal Article Tests of Equal Predictive Ability With Real-Time Data, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (78) (2009)

2007

46. 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 (16)

2006

47. Forecasting of small macroeconomic VARs in the presence of instabilities
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)

2003

48. 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 (22)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2003) View citations (23)
    See also Journal Article The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (100) (2006)

2002

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

2001

50. Evaluating long-horizon forecasts
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (26)
51. Inference about predictive ability
    Working papers, Wisconsin Madison - Social Systems View citations (12)
52. 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)

2000

53. Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (26)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (1999) View citations (8)
    Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (13)
    See also Journal Article Tests of equal forecast accuracy and encompassing for nested models, Journal of Econometrics, Elsevier (2001) View citations (750) (2001)

1998

54. Regression-Based Tests of Predictive Ability
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (168)
    Also in Working papers, Wisconsin Madison - Social Systems (1997) View citations (15)
    See also Journal Article Regression-Based Tests of Predictive Ability, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (168) (1998)

Journal Articles

2023

1. On the real‐time predictive content of financial condition indices for growth
   Journal of Applied Econometrics, 2023, 38, (2), 137-163 View citations (4)
   See also Working Paper On the Real-Time Predictive Content of Financial Conditions Indices for Growth, Working Papers (2022) View citations (4) (2022)

2022

2. Binary Conditional Forecasts
   Journal of Business & Economic Statistics, 2022, 40, (3), 1246-1258
   See also Working Paper Binary Conditional Forecasts, Working Papers (2021) (2021)

2021

3. FRED-QD: A Quarterly Database for Macroeconomic Research
   Review, 2021, 103, (1), 1-44 View citations (14)
   See also Working Paper FRED-QD: A Quarterly Database for Macroeconomic Research, NBER Working Papers (2020) View citations (77) (2020)
4. Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR
   International Journal of Central Banking, 2021, 17, (71), 41 View citations (6)
   See also Working Paper Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR, Working Papers (2020) View citations (9) (2020)

2020

5. Diverging Tests of Equal Predictive Ability
   Econometrica, 2020, 88, (4), 1753-1754 View citations (8)
   See also Working Paper Diverging Tests of Equal Predictive Ability, Working Papers (2020) View citations (4) (2020)
6. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
   The Review of Economics and Statistics, 2020, 102, (1), 17-33 View citations (21)
   See also Working Paper Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, Working Papers (2017) View citations (7) (2017)

2019

7. An empirical investigation of direct and iterated multistep conditional forecasts
   Journal of Applied Econometrics, 2019, 34, (2), 181-204 View citations (10)
   See also Working Paper An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts, Working Papers (2017) (2017)

2018

8. Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
   Journal of Business & Economic Statistics, 2018, 36, (3), 426-437 View citations (5)
   See also Working Paper Asymptotic Inference for Performance Fees and the Predictability of Asset Returns, Working Papers (2012) View citations (4) (2012)

2017

9. Multistep ahead forecasting of vector time series
   Econometric Reviews, 2017, 36, (5), 495-513 View citations (2)
   See also Working Paper Multi-step ahead forecasting of vector time series, Working Papers (2012) View citations (3) (2012)
10. Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting
    Journal of Applied Econometrics, 2017, 32, (3), 533-553 View citations (8)
11. Tests of equal accuracy for nested models with estimated factors
    Journal of Econometrics, 2017, 198, (2), 231-252 View citations (19)
    See also Working Paper Tests of Equal Accuracy for Nested Models with Estimated Factors, Working Papers (2015) View citations (2) (2015)

2016

12. A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth
    Review, 2016, 98, (4), 277-296 View citations (2)
13. FRED-MD: A Monthly Database for Macroeconomic Research
    Journal of Business & Economic Statistics, 2016, 34, (4), 574-589 View citations (430)
    See also Working Paper FRED-MD: A Monthly Database for Macroeconomic Research, Working Papers (2015) View citations (51) (2015)
14. Tracking the U.S. Economy with Nowcasts
    The Regional Economist, 2016, (April)

2015

15. Nested forecast model comparisons: A new approach to testing equal accuracy
    Journal of Econometrics, 2015, 186, (1), 160-177 View citations (49)
    See also Working Paper Nested forecast model comparisons: a new approach to testing equal accuracy, Working Papers (2009) View citations (28) (2009)

2014

16. Factor-based prediction of industry-wide bank stress
    Review, 2014, 96, (2), 173-194 View citations (7)
17. TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
    Journal of Applied Econometrics, 2014, 29, (3), 415-430 View citations (9)
    See also Working Paper Tests of equal forecast accuracy for overlapping models, Working Papers (2011) View citations (2) (2011)

2013

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

2012

19. Following the Fed with a news tracker
    Economic Synopses, 2012
20. In-sample tests of predictive ability: A new approach
    Journal of Econometrics, 2012, 170, (1), 1-14 View citations (20)
    See also Working Paper In-sample tests of predictive ability: a new approach, Working Papers (2009) View citations (1) (2009)
21. Reality Checks and Comparisons of Nested Predictive Models
    Journal of Business & Economic Statistics, 2012, 30, (1), 53-66 View citations (42)
    Also in Journal of Business & Economic Statistics, 2011, 30, (1), 53-66 (2011) View citations (3)

2011

22. Housing's role in a recovery
    Economic Synopses, 2011 View citations (1)
23. Initial claims and employment growth: are we at the threshold?
    Economic Synopses, 2011 View citations (2)
24. Real-time forecast averaging with ALFRED
    Review, 2011, 93, (Jan), 49-66 View citations (1)
    See also Working Paper Real-time forecast averaging with ALFRED, Working Papers (2010) View citations (4) (2010)
25. Should food be excluded from core CPI?
    Economic Synopses, 2011

2010

26. Averaging forecasts from VARs with uncertain instabilities
    Journal of Applied Econometrics, 2010, 25, (1), 5-29 View citations (45)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 5-29 (2010) View citations (116)
    See also Working Paper Averaging forecasts from VARs with uncertain instabilities, Working Papers (2008) View citations (11) (2008)
27. Disagreement at the FOMC: the dissenting votes are just part of the story
    The Regional Economist, 2010, (Oct), 10-16 View citations (12)
28. Using FOMC forecasts to forecast the economy
    Economic Synopses, 2010 View citations (10)
29. Using stock market liquidity to forecast recessions
    Economic Synopses, 2010 View citations (1)

2009

30. Combining Forecasts from Nested Models*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 View citations (13)
    See also Working Paper Combining forecasts from nested models, Working Papers (2008) View citations (2) (2008)
31. How accurate are forecasts in a recession?
    National Economic Trends, 2009, (Feb) View citations (1)
32. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
    International Economic Review, 2009, 50, (2), 363-395 View citations (90)
    See also Working Paper Improving forecast accuracy by combining recursive and rolling forecasts, Working Papers (2008) View citations (3) (2008)
33. Tests of Equal Predictive Ability With Real-Time Data
    Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 View citations (78)
    See also Working Paper Tests of equal predictive ability with real-time data, Working Papers (2008) View citations (3) (2008)
34. Uncertainty about when the Fed will raise interest rates
    Economic Synopses, 2009

2007

35. Asymptotics for out of sample tests of Granger causality
    Journal of Econometrics, 2007, 140, (2), 719-752 View citations (445)

2006

36. Pairwise tests of equal forecast accuracy (in Russian)
    Quantile, 2006, (1), 53-62
37. 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 (100)
    See also Working Paper The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence, Computing in Economics and Finance 2003 (2003) View citations (22) (2003)

2005

38. Evaluating Direct Multistep Forecasts
    Econometric Reviews, 2005, 24, (4), 369-404 View citations (162)
39. 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 (25)
40. The power of tests of predictive ability in the presence of structural breaks
    Journal of Econometrics, 2005, 124, (1), 1-31 View citations (72)

2004

41. Parameter estimation and tests of equal forecast accuracy between non-nested models
    International Journal of Forecasting, 2004, 20, (3), 503-514 View citations (27)

2001

42. Tests of equal forecast accuracy and encompassing for nested models
    Journal of Econometrics, 2001, 105, (1), 85-110 View citations (750)
    See also Working Paper Tests of Equal Forecast Accuracy and Encompassing for Nested Models, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (26) (2000)

2000

43. Robust out-of-sample inference
    Journal of Econometrics, 2000, 99, (2), 195-223 View citations (138)

1998

44. Regression-Based Tests of Predictive Ability
    International Economic Review, 1998, 39, (4), 817-40 View citations (168)
    See also Working Paper Regression-Based Tests of Predictive Ability, NBER Technical Working Papers (1998) View citations (168) (1998)

Chapters

2013

1. Advances in Forecast Evaluation
   Elsevier View citations (113)
   See also Working Paper Advances in forecast evaluation, Federal Reserve Bank of St. Louis (2011) View citations (9) (2011)
2. 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 Reserve System, or any of its staff
   A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 117-168

2012

3. Comment on "Taylor Rule Exchange Rate Forecasting during the Financial Crisis"
   A chapter in NBER International Seminar on Macroeconomics 2012, 2012, pp 98-105
   See also Working Paper Comment on \"Taylor rule exchange rate forecasting during the financial crisis\", Federal Reserve Bank of St. Louis (2012) (2012)
4. Consistent Testing for Structural Change at the Ends of the Sample
   A chapter in 30th Anniversary Edition, 2012, pp 133-169
   See also Working Paper Consistent testing for structural change at the ends of the sample, Federal Reserve Bank of St. Louis (2012) View citations (1) (2012)

2008

5. Chapter 3 Forecasting with Small Macroeconomic VARs in the Presence of Instabilities
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 93-147 View citations (1)