EconPapers    
Economics at your fingertips  
 

Details about Michael Peter Clements

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 2024-01-04. Update your information in the RePEc Author Service.

Short-id: pcl24


Jump to Journal Articles Books Edited books Chapters

Working Papers

2023

  1. Do Professional Forecasters' Phillips Curves Incorporate the Beliefs of Others?
    Economics Discussion Papers, Department of Economics, University of Reading Downloads

2022

  1. Forecasting: theory and practice
    Papers, arXiv.org Downloads View citations (39)
    See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) Downloads View citations (24) (2022)
  2. Surveys of Professionals
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)

2021

  1. How Local is the Local Inflation Factor? Evidence from Emerging European Countries
    Working Papers, Copenhagen Business School, Department of Economics Downloads
    See also Journal Article How local is the local inflation factor? Evidence from emerging European countries, International Journal of Forecasting, Elsevier (2024) Downloads (2024)

2020

  1. Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (2)
  2. Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads View citations (2)
    See also Journal Article Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts, International Journal of Forecasting, Elsevier (2021) Downloads View citations (4) (2021)
  3. Individual Forecaster Perceptions of the Persistence of Shocks to GDP
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
    See also Journal Article Individual forecaster perceptions of the persistence of shocks to GDP, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) Downloads View citations (3) (2022)

2019

  1. Measuring the Effects of Expectations Shocks
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (2)
    See also Journal Article Measuring the effects of expectations shocks, Journal of Economic Dynamics and Control, Elsevier (2021) Downloads View citations (7) (2021)

2018

  1. Assessing Macro-Forecaster Herding: Modelling versus Testing
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads

2017

  1. Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads View citations (2)
  2. Do forecasters target first or later releases of national accounts data?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads View citations (2)
    See also Journal Article Do forecasters target first or later releases of national accounts data?, International Journal of Forecasting, Elsevier (2019) Downloads View citations (6) (2019)

2016

  1. An Overview of Forecasting Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (20)
    See also Journal Article An Overview of Forecasting Facing Breaks, Journal of Business Cycle Research, Springer (2016) Downloads View citations (20) (2016)
  2. Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
  3. Are Macroeconomic Density Forecasts Informative?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads View citations (6)
    See also Journal Article Are macroeconomic density forecasts informative?, International Journal of Forecasting, Elsevier (2018) Downloads View citations (29) (2018)
  4. Sir Clive W.J. Granger's Contributions to Forecasting
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads

2015

  1. Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads View citations (4)
    See also Journal Article Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) Downloads View citations (9) (2017)
  2. Forecasters' Disagreement about How the Economy Operates, and the Role of Long-run Relationships
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

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, University of Reading Downloads
  2. Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
  3. Do US Macroeconomic Forecasters Exaggerate Their Differences?
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
    See also Journal Article Do US Macroeconomic Forecasters Exaggerate their Differences?, Journal of Forecasting, John Wiley & Sons, Ltd. (2015) Downloads View citations (8) (2015)
  4. Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
    See also Journal Article Long-run restrictions and survey forecasts of output, consumption and investment, International Journal of Forecasting, Elsevier (2016) Downloads View citations (6) (2016)
  5. Measuring Macroeconomic Uncertainty: US Inflation and Output Growth
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads View citations (9)
  6. Real-Time Factor Model Forecasting and the Effects of Instability
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
    See also Journal Article Real-time factor model forecasting and the effects of instability, Computational Statistics & Data Analysis, Elsevier (2016) Downloads View citations (7) (2016)
  7. Robust Approaches to Forecasting
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
    See also Journal Article Robust approaches to forecasting, International Journal of Forecasting, Elsevier (2015) Downloads View citations (35) (2015)

2012

  1. Forecasting by factors, by variables, or both?
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
  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 (4)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2012) Downloads View citations (4)

    See also Journal Article Probability distributions or point predictions? Survey forecasts of US output growth and inflation, International Journal of Forecasting, Elsevier (2014) Downloads View citations (17) (2014)
  3. Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (1)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2012) Downloads View citations (1)
  4. US inflation expectations and heterogeneous loss functions, 1968–2010
    Economic Research Papers, University of Warwick - Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2012) Downloads

    See also Journal Article US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) Downloads View citations (6) (2014)

2011

  1. Do Professional Forecasters Pay Attention to Data Releases?
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (1)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2011) Downloads View citations (1)

    See also Journal Article Do professional forecasters pay attention to data releases?, International Journal of Forecasting, Elsevier (2012) Downloads View citations (13) (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 (4)

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 (2)
  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 (10)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2010) Downloads View citations (8)
  3. Why are survey forecasts superior to model forecasts?
    Economic Research Papers, University of Warwick - Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2010) Downloads

2009

  1. First Announcements and Real Economic Activity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    Also in Economic Research Papers, University of Warwick - Department of Economics (2008) Downloads

    See also Journal Article First announcements and real economic activity, European Economic Review, Elsevier (2010) Downloads View citations (18) (2010)

2008

  1. Explanations of the inconsistencies in survey respondents' forecasts
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (2)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2008) Downloads View citations (2)

    See also Journal Article Explanations of the inconsistencies in survey respondents' forecasts, European Economic Review, Elsevier (2010) Downloads View citations (47) (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
    Also in Economic Research Papers, University of Warwick - Department of Economics (2008) 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 (11)

2006

  1. Forecast Encompassing Tests and Probability Forecasts
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (6)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2006) Downloads View citations (6)

    See also Journal Article Forecast encompassing tests and probability forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (19) (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)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2006) Downloads
  3. Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (7)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2006) Downloads View citations (9)
  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)
    Also in Economic Research Papers, University of Warwick - Department of Economics (2006) Downloads View citations (1)

    See also Journal Article Quantile forecasts of daily exchange rate returns from forecasts of realized volatility, Journal of Empirical Finance, Elsevier (2008) Downloads View citations (76) (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 Forecasting economic and financial time-series with non-linear models, International Journal of Forecasting, Elsevier (2004) Downloads View citations (63) (2004)

2002

  1. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (10)
    Also in Working Paper Series, European Central Bank (2001) Downloads View citations (25)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) Downloads View citations (21)
    Economics Series Working Papers, University of Oxford, Department of Economics (2001) Downloads View citations (20)

    See also Journal Article Economic forecasting: some lessons from recent research, Economic Modelling, Elsevier (2003) Downloads View citations (64) (2003)

2001

  1. MODELLING BUSINESS CYCLE FEATURES USING SWITCHING REGIME MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2001) Downloads View citations (3)
  2. Pooling of Forecasts
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
    See also Journal Article Pooling of forecasts, Econometrics Journal, Royal Economic Society (2004) View citations (225) (2004)

2000

  1. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) Downloads
    Economic Research Papers, University of Warwick - Department of Economics (1998) Downloads

    See also Journal Article Forecasting with difference-stationary and trend-stationary models, Econometrics Journal, Royal Economic Society (2001) View citations (42) (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)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1998) Downloads View citations (1)

    See also Journal Article Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (103) (2003)
  2. On SETAR non- linearity and forecasting
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (18)
    See also Journal Article On SETAR non-linearity and forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2003) Downloads View citations (31) (2003)

1998

  1. EVALUATING THE FORECAST DENSITIES OF LINEAR AND NON-LINEAR MODELS: APPLICATIONS TO OUTPUT GROWTH AND UNEMPLOYMENT
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (5)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) Downloads View citations (38)
  2. NON-LINEARITIES IN EXCHANGE RATES
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (3)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) Downloads View citations (4)

1997

  1. A COMPARISON OF THE FORECAST PERFORMANCE OF MARKOV-SWITCHING AND THRESHOLD AUTOREGRESSIVE MODELS OF US GNP
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (1)
    See also Journal Article A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP, Econometrics Journal, Royal Economic Society (1998) View citations (133) (1998)
  2. 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 (5)
  3. FORECASTING SEASONAL UK CONSUMPTION COMPONENTS
    Economic Research Papers, University of Warwick - Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997) Downloads
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997) Downloads
    Economic Research Papers, University of Warwick - Department of Economics (1997) Downloads
  4. SEASONALITY, COINTEGRATION, AND THE FORECASTING OF ENERGY DEMAND
    Economic Research Papers, University of Warwick - Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997) 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 (5)
    See also Journal Article A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) Downloads View citations (91) (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)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1996) Downloads View citations (2)
  3. MULTI-STEP ESTIMATION FOR FORECASTING
    Economic Research Papers, University of Warwick - Department of Economics Downloads View citations (83)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1996) Downloads View citations (84)

    See also Journal Article Multi-step Estimation for Forecasting, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (83) (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)
    Also in Economic Research Papers, University of Warwick - Department of Economics (1996) Downloads View citations (3)

    See also Journal Article The performance of alternative forecasting methods for SETAR models, International Journal of Forecasting, Elsevier (1997) Downloads View citations (74) (1997)

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 (51)

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 (5)

Journal Articles

2024

  1. How local is the local inflation factor? Evidence from emerging European countries
    International Journal of Forecasting, 2024, 40, (1), 160-183 Downloads
    See also Working Paper How Local is the Local Inflation Factor? Evidence from Emerging European Countries, Working Papers (2021) Downloads (2021)

2023

  1. Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
    Journal of Applied Econometrics, 2023, 38, (2), 164-185 Downloads
  2. Forecasting GDP growth rates in the United States and Brazil using Google Trends
    International Journal of Forecasting, 2023, 39, (4), 1909-1924 Downloads
  3. The choice of performance measures, target setting and vesting levels in UK firms' Chief Executive Officer equity‐based compensation
    International Journal of Finance & Economics, 2023, 28, (4), 4246-4270 Downloads

2022

  1. Forecaster Efficiency, Accuracy, and Disagreement: Evidence Using Individual‐Level Survey Data
    Journal of Money, Credit and Banking, 2022, 54, (2-3), 537-568 Downloads View citations (1)
  2. Forecasting: theory and practice
    International Journal of Forecasting, 2022, 38, (3), 705-871 Downloads View citations (24)
    See also Working Paper Forecasting: theory and practice, Papers (2022) Downloads View citations (39) (2022)
  3. Individual forecaster perceptions of the persistence of shocks to GDP
    Journal of Applied Econometrics, 2022, 37, (3), 640-656 Downloads View citations (3)
    See also Working Paper Individual Forecaster Perceptions of the Persistence of Shocks to GDP, ICMA Centre Discussion Papers in Finance (2020) Downloads (2020)

2021

  1. Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts
    International Journal of Forecasting, 2021, 37, (2), 634-646 Downloads View citations (4)
    See also Working Paper Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts, ICMA Centre Discussion Papers in Finance (2020) Downloads View citations (2) (2020)
  2. Measuring the effects of expectations shocks
    Journal of Economic Dynamics and Control, 2021, 124, (C) Downloads View citations (7)
    See also Working Paper Measuring the Effects of Expectations Shocks, EMF Research Papers (2019) Downloads View citations (2) (2019)
  3. Rounding behaviour of professional macro-forecasters
    International Journal of Forecasting, 2021, 37, (4), 1614-1631 Downloads View citations (11)

2020

  1. Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others?
    Econometrics, 2020, 8, (2), 1-16 Downloads View citations (6)
  2. Forecasting and forecast narratives: The Bank of England Inflation Reports
    International Journal of Forecasting, 2020, 36, (4), 1488-1500 Downloads View citations (14)

2019

  1. Do forecasters target first or later releases of national accounts data?
    International Journal of Forecasting, 2019, 35, (4), 1240-1249 Downloads View citations (6)
    See also Working Paper Do forecasters target first or later releases of national accounts data?, ICMA Centre Discussion Papers in Finance (2017) Downloads View citations (2) (2017)

2018

  1. Are macroeconomic density forecasts informative?
    International Journal of Forecasting, 2018, 34, (2), 181-198 Downloads View citations (29)
    See also Working Paper Are Macroeconomic Density Forecasts Informative?, ICMA Centre Discussion Papers in Finance (2016) Downloads View citations (6) (2016)
  2. Do Macroforecasters Herd?
    Journal of Money, Credit and Banking, 2018, 50, (2-3), 265-292 Downloads View citations (6)
  3. Independent directors, information costs and foreign ownership in Chinese companies
    Journal of International Financial Markets, Institutions and Money, 2018, 53, (C), 139-157 Downloads View citations (10)

2017

  1. Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision
    Journal of Business & Economic Statistics, 2017, 35, (3), 420-433 Downloads View citations (9)
    See also Working Paper Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision, ICMA Centre Discussion Papers in Finance (2015) Downloads View citations (4) (2015)
  2. Model and survey estimates of the term structure of US macroeconomic uncertainty
    International Journal of Forecasting, 2017, 33, (3), 591-604 Downloads View citations (21)
  3. Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
    Journal of Business & Economic Statistics, 2017, 35, (3), 389-406 Downloads View citations (17)

2016

  1. An Overview of Forecasting Facing Breaks
    Journal of Business Cycle Research, 2016, 12, (1), 3-23 Downloads View citations (20)
    See also Working Paper An Overview of Forecasting Facing Breaks, Economics Series Working Papers (2016) Downloads View citations (20) (2016)
  2. Long-run restrictions and survey forecasts of output, consumption and investment
    International Journal of Forecasting, 2016, 32, (3), 614-628 Downloads View citations (6)
    See also Working Paper Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment, ICMA Centre Discussion Papers in Finance (2014) Downloads (2014)
  3. Real-time factor model forecasting and the effects of instability
    Computational Statistics & Data Analysis, 2016, 100, (C), 661-675 Downloads View citations (7)
    See also Working Paper Real-Time Factor Model Forecasting and the Effects of Instability, ICMA Centre Discussion Papers in Finance (2014) Downloads (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 (13)
  2. Do US Macroeconomic Forecasters Exaggerate their Differences?
    Journal of Forecasting, 2015, 34, (8), 649-660 Downloads View citations (8)
    See also Working Paper Do US Macroeconomic Forecasters Exaggerate Their Differences?, ICMA Centre Discussion Papers in Finance (2014) Downloads (2014)
  3. Forecasting with Bayesian multivariate vintage-based VARs
    International Journal of Forecasting, 2015, 31, (3), 757-768 Downloads View citations (11)
  4. Robust approaches to forecasting
    International Journal of Forecasting, 2015, 31, (1), 99-112 Downloads View citations (35)
    See also Working Paper Robust Approaches to Forecasting, Economics Series Working Papers (2014) Downloads View citations (1) (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 (84)
  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 (17)
    See also Working Paper Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation, The Warwick Economics Research Paper Series (TWERPS) (2012) Downloads View citations (4) (2012)
  3. US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010
    Journal of Forecasting, 2014, 33, (1), 1-14 Downloads View citations (6)
    See also Working Paper US inflation expectations and heterogeneous loss functions, 1968–2010, Economic Research Papers (2012) Downloads (2012)

2013

  1. Forecasting by factors, by variables, by both or neither?
    Journal of Econometrics, 2013, 177, (2), 305-319 Downloads View citations (36)
  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 (22)
  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 (39)

2012

  1. Do professional forecasters pay attention to data releases?
    International Journal of Forecasting, 2012, 28, (2), 297-308 Downloads View citations (13)
    See also Working Paper Do Professional Forecasters Pay Attention to Data Releases?, Economic Research Papers (2011) Downloads View citations (1) (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 View citations (2)
  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 (13)

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 Downloads View citations (4)
    Also in Journal of Money, Credit and Banking, 2011, 43, (1), 207-220 (2011) View citations (9)
  2. Combining probability forecasts
    International Journal of Forecasting, 2011, 27, (2), 208-223 Downloads View citations (31)
    Also in International Journal of Forecasting, 2011, 27, (2), 208-223 (2011) Downloads View citations (31)

2010

  1. Explanations of the inconsistencies in survey respondents' forecasts
    European Economic Review, 2010, 54, (4), 536-549 Downloads View citations (47)
    See also Working Paper Explanations of the inconsistencies in survey respondents' forecasts, Economic Research Papers (2008) Downloads View citations (2) (2008)
  2. First announcements and real economic activity
    European Economic Review, 2010, 54, (6), 803-817 Downloads View citations (18)
    See also Working Paper First Announcements and Real Economic Activity, The Warwick Economics Research Paper Series (TWERPS) (2009) Downloads (2009)
  3. Forecast encompassing tests and probability forecasts
    Journal of Applied Econometrics, 2010, 25, (6), 1028-1062 Downloads View citations (19)
    See also Working Paper Forecast Encompassing Tests and Probability Forecasts, The Warwick Economics Research Paper Series (TWERPS) (2006) Downloads View citations (6) (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 (163)
    Also in Journal of Applied Econometrics, 2009, 24, (7), 1187-1206 (2009) Downloads View citations (46)
  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 (25)
  2. Economic Forecasting in a Changing World
    Capitalism and Society, 2008, 3, (2), 1-20 Downloads View citations (22)
  3. Macroeconomic Forecasting With Mixed-Frequency Data
    Journal of Business & Economic Statistics, 2008, 26, 546-554 Downloads View citations (245)
  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 (76)
    See also Working Paper Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility, The Warwick Economics Research Paper Series (TWERPS) (2006) Downloads View citations (5) (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 (64)
  2. Bootstrap prediction intervals for autoregressive time series
    Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594 Downloads View citations (20)

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 (28)

2005

  1. Evaluating a Model by Forecast Performance*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956 Downloads View citations (12)
  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 (19)

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 (25)
  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 (9)
  3. Evaluating the Bank of England Density Forecasts of Inflation
    Economic Journal, 2004, 114, (498), 844-866 View citations (95)
  4. Forecasting economic and financial time-series with non-linear models
    International Journal of Forecasting, 2004, 20, (2), 169-183 Downloads View citations (63)
    See also Working Paper Forecasting economic and financial time-series with non-linear models, Departmental Working Papers (2003) Downloads View citations (8) (2003)
  5. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 View citations (225)
    See also Working Paper Pooling of Forecasts, Economics Papers (2001) Downloads View citations (12) (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 (17)
  2. Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions
    Journal of Business & Economic Statistics, 2003, 21, (1), 196-211 View citations (103)
    See also Working Paper Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression, The Warwick Economics Research Paper Series (TWERPS) (1999) Downloads View citations (9) (1999)
  3. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 Downloads View citations (64)
    See also Working Paper Economic Forecasting: Some Lessons from Recent Research, Royal Economic Society Annual Conference 2002 (2002) Downloads View citations (10) (2002)
  4. Evaluating interval forecasts of high-frequency financial data
    Journal of Applied Econometrics, 2003, 18, (4), 445-456 Downloads View citations (31)
  5. On SETAR non-linearity and forecasting
    Journal of Forecasting, 2003, 22, (5), 359-375 Downloads View citations (31)
    See also Working Paper On SETAR non- linearity and forecasting, Econometric Institute Research Papers (1999) Downloads View citations (18) (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, (4), 567-585 Downloads View citations (14)

2002

  1. Can oil shocks explain asymmetries in the US Business Cycle?
    Empirical Economics, 2002, 27, (2), 185-204 Downloads View citations (42)
  2. Comments on 'The state of macroeconomic forecasting'
    Journal of Macroeconomics, 2002, 24, (4), 469-482 Downloads View citations (2)
  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 (41)
  5. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 View citations (38)

2001

  1. An Historical Perspective on Forecast Errors
    National Institute Economic Review, 2001, 177, 100-112 Downloads
    Also in National Institute Economic Review, 2001, 177, (1), 100-112 (2001) Downloads View citations (5)
  2. Bootstrapping prediction intervals for autoregressive models
    International Journal of Forecasting, 2001, 17, (2), 247-267 Downloads View citations (46)
  3. Evaluating forecasts from SETAR models of exchange rates
    Journal of International Money and Finance, 2001, 20, (1), 133-148 Downloads View citations (46)
  4. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations (42)
    See also Working Paper Forecasting with Difference-Stationary and Trend-Stationary Models, Economics Series Working Papers (2000) Downloads View citations (4) (2000)
  5. Robust Evaluation of Fixed-Event Forecast Rationality
    Journal of Forecasting, 2001, 20, (4), 285-95 View citations (9)

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 (91)
    See also Working Paper A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models, The Warwick Economics Research Paper Series (TWERPS) (1996) Downloads View citations (5) (1996)
  2. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 Downloads View citations (27)
  3. Seasonality, Cointegration, and Forecasting UK Residential Energy Demand
    Scottish Journal of Political Economy, 1999, 46, (2), 185-206 Downloads View citations (18)

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 (133)
    See also Working Paper A COMPARISON OF THE FORECAST PERFORMANCE OF MARKOV-SWITCHING AND THRESHOLD AUTOREGRESSIVE MODELS OF US GNP, Economic Research Papers (1997) Downloads View citations (1) (1997)
  2. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 Downloads View citations (54)

1997

  1. An empirical study of seasonal unit roots in forecasting
    International Journal of Forecasting, 1997, 13, (3), 341-355 Downloads View citations (49)
  2. The performance of alternative forecasting methods for SETAR models
    International Journal of Forecasting, 1997, 13, (4), 463-475 Downloads View citations (74)
    See also Working Paper Performance of Alternative Forecasting Methods for Setar Models, The Warwick Economics Research Paper Series (TWERPS) (1996) Downloads View citations (4) (1996)

1996

  1. Intercept Corrections and Structural Change
    Journal of Applied Econometrics, 1996, 11, (5), 475-94 Downloads View citations (115)
  2. Multi-step Estimation for Forecasting
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations (83)
    See also Working Paper MULTI-STEP ESTIMATION FOR FORECASTING, Economic Research Papers (1996) Downloads View citations (83) (1996)

1995

  1. Forecasting in Cointegration Systems
    Journal of Applied Econometrics, 1995, 10, (2), 127-46 Downloads View citations (61)
  2. Macro-economic Forecasting and Modelling
    Economic Journal, 1995, 105, (431), 1001-13 Downloads View citations (27)
  3. Rationality and the Role of Judgement in Macroeconomic Forecasting
    Economic Journal, 1995, 105, (429), 410-20 Downloads View citations (35)

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 (65)

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, (3), xxvii-xxxix (1986)
    Oxford Review of Economic Policy, 1986, 2, (2), xxv-xliii (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 (157)

1998

  1. Forecasting Economic Time Series
    Cambridge Books, Cambridge University Press View citations (560)
    Also in Cambridge Books, Cambridge University Press (1998) View citations (568)

Edited books

2011

  1. The Oxford Handbook of Economic Forecasting
    OUP Catalogue, Oxford University Press View citations (152)

Chapters

2009

  1. Forecast Combination and Encompassing
    Palgrave Macmillan View citations (15)

2008

  1. Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991
    A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 3-39 Downloads

2006

  1. Combining Predictors and Combining Information in Modelling: Forecasting US Recession Probabilities and Output Growth
    A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 55-73 Downloads
  2. Forecasting with Breaks
    Elsevier Downloads View citations (103)
 
Page updated 2024-04-20