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Details about Todd Clark

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Workplace:Economic Research, Federal Reserve Bank of Cleveland, (more information at EDIRC)

Access statistics for papers by Todd Clark.

Last updated 2023-08-04. Update your information in the RePEc Author Service.

Short-id: pcl55


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Working Papers

2023

  1. Forecasting US Inflation Using Bayesian Nonparametric Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) Downloads View citations (6)
    Papers, arXiv.org (2022) Downloads View citations (6)
  2. Shadow-rate VARs
    Discussion Papers, Deutsche Bundesbank Downloads

2022

  1. Addressing COVID-19 outliers in BVARs with stochastic volatility
    Discussion Papers, Deutsche Bundesbank Downloads View citations (6)
    Also in Working Papers, Federal Reserve Bank of Cleveland (2021) Downloads View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads View citations (22)
  2. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Federal Reserve Bank of Cleveland (2020) Downloads View citations (16)
  3. Constructing Fan Charts from the Ragged Edge of SPF Forecasts
    Working Papers, Federal Reserve Bank of Cleveland Downloads
  4. Macroeconomic Forecasting in a Multi-country Context
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Working Papers, Federal Reserve Bank of Cleveland (2022) Downloads View citations (1)

    See also Journal Article in Journal of Applied Econometrics (2022)
  5. Measuring Uncertainty and Its Effects in the COVID-19 Era
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) Downloads
  6. Specification Choices in Quantile Regression for Empirical Macroeconomics
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)
  7. Tail Forecasting with Multivariate Bayesian Additive Regression Trees
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022) Downloads

    See also Journal Article in International Economic Review (2023)
  8. What is the Predictive Value of SPF Point and Density Forecasts?
    Working Papers, Federal Reserve Bank of Cleveland Downloads

2021

  1. Forecasting with Shadow-Rate VARs
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)
  2. Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
    Papers, arXiv.org Downloads View citations (5)
    Also in Working Papers, University of Strathclyde Business School, Department of Economics (2021) Downloads View citations (3)
  3. Nowcasting Tail Risk to Economic Activity at a Weekly Frequency
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Applied Econometrics (2022)
  4. Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Journal of Econometrics (2021)

2020

  1. No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    Working Papers, Federal Reserve Bank of Cleveland Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (4)

    See also Journal Article in Journal of Applied Econometrics (2021)
  2. Nowcasting Tail Risks to Economic Activity with Many Indicators
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (26)

2019

  1. Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (4)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2018) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2020)

2018

  1. Endogenous Uncertainty
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (4)

2017

  1. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (6)
    Also in Working Papers, Federal Reserve Bank of Cleveland (2017) Downloads View citations (7)
    BIS Working Papers, Bank for International Settlements (2017) Downloads View citations (6)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2017) Downloads View citations (7)

    See also Journal Article in The Review of Economics and Statistics (2020)

2016

  1. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) Downloads View citations (9)
    Working Paper, Norges Bank (2014) Downloads View citations (14)

    See also Journal Article in Journal of Applied Econometrics (2017)
  2. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (12)
  3. Measuring Uncertainty and Its Impact on the Economy
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (10)
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2016) Downloads View citations (27)

    See also Journal Article in The Review of Economics and Statistics (2018)

2015

  1. A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (22)
    See also Journal Article in Journal of Money, Credit and Banking (2018)
  2. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (22)
  3. Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (1)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2015) Downloads View citations (1)
    VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association (2015) Downloads View citations (6)

    See also Journal Article in Journal of Business & Economic Statistics (2017)

2014

  1. Evaluating Conditional Forecasts from Vector Autoregressions
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (11)
    Also in Working Papers, Federal Reserve Bank of St. Louis (2014) Downloads View citations (12)
  2. Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (15)

2013

  1. Evaluating the accuracy of forecasts from vector autoregressions
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (7)
  2. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) Downloads View citations (3)

    See also Journal Article in Journal of the Royal Statistical Society Series A (2015)

2012

  1. Common Drifting Volatility in Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (36)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) Downloads View citations (24)
    Economics Working Papers, European University Institute (2012) Downloads View citations (36)

    See also Journal Article in Journal of Business & Economic Statistics (2016)
  2. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (6)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (17)

2011

  1. A Bayesian evaluation of alternative models of trend inflation
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (10)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) Downloads View citations (17)
  2. Advances in forecast evaluation
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (9)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) Downloads View citations (13)

    See also Chapter (2013)
  3. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (45)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) Downloads View citations (10)

    See also Journal Article in Journal of Applied Econometrics (2015)
  4. Tests of equal forecast accuracy for overlapping models
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (2)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) Downloads View citations (2)

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

2010

  1. Reality checks and nested forecast model comparisons
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
  2. Testing for unconditional predictive ability
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (10)

2009

  1. Decomposing the declining volatility of long-term inflation expectations
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  2. In-sample tests of predictive ability: a new approach
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads View citations (1)

    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 (28)

    See also Journal Article in Journal of Econometrics (2015)
  4. Real-time density forecasts from VARs with stochastic volatility
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (6)
  5. Time variation in the inflation passthrough of energy prices
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (5)
    See also Journal Article in Journal of Money, Credit and Banking (2010)

2008

  1. An empirical assessment of the relationships among inflation and short- and long-term expectations
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (14)
  2. Averaging forecasts from VARs with uncertain instabilities
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (10)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (1)
    Research Working Paper, Federal Reserve Bank of Kansas City (2006) Downloads View citations (12)

    See also Journal Article in Journal of Applied Econometrics (2010)
  3. 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 (7)
    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)
  4. Improving forecast accuracy by combining recursive and rolling forecasts
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2004) Downloads View citations (21)

    See also Journal Article in International Economic Review (2009)
  5. Tests of equal predictive ability with real-time data
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2007) Downloads View citations (19)

    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 (16)

2006

  1. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) Downloads View citations (6)

    See also Journal Article in Journal of Econometrics (2007)
  2. Forecasting of small macroeconomic VARs in the presence of instabilities
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (5)

2005

  1. Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)

2004

  1. Estimating equilibrium real interest rates in real time
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (13)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2004) Downloads View citations (21)

    See also Journal Article in The North American Journal of Economics and Finance (2005)
  2. Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (17)
    See also Journal Article in Journal of Econometrics (2006)

2003

  1. Disaggregate evidence on the persistence of consumer price inflation
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (23)
    See also Journal Article in Journal of Applied Econometrics (2006)
  2. 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) Downloads View citations (23)

    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 (11)

2001

  1. Evaluating long-horizon forecasts
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (26)

2000

  1. Can out-of-sample forecast comparisons help prevent overfitting?
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (6)
    See also Journal Article in Journal of Forecasting (2004)
  2. Tests of Equal Forecast Accuracy and Encompassing for Nested Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (26)
    Also in Research Working Paper, Federal Reserve Bank of Kansas City (1999) Downloads View citations (8)
    Computing in Economics and Finance 1999, Society for Computational Economics (1999) Downloads View citations (13)

    See also Journal Article in Journal of Econometrics (2001)

1999

  1. Borders and business cycles
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (21)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) Downloads View citations (6)

    See also Journal Article in Journal of International Economics (2001)

1998

  1. The sources of fluctuations within and across countries
    Research Working Paper, Federal Reserve Bank of Kansas City Downloads View citations (52)

1997

  1. Do producer prices help predict consumer prices?
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (4)

1996

  1. Finite-sample properties of tests for forecast equivalence
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (6)
  2. The responses of prices at different stages of production to monetary policy shocks
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (2)
    See also Journal Article in The Review of Economics and Statistics (1999)

1995

  1. Forecasting an aggregate of cointegrated disaggregates
    Research Working Paper, Federal Reserve Bank of Kansas City
  2. 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

  1. 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

  1. Cross-country evidence on long run growth and inflation
    Research Working Paper, Federal Reserve Bank of Kansas City View citations (16)
    See also Journal Article in Economic Inquiry (1997)
  2. 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 (2)

1992

  1. 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 (7)

Journal Articles

2023

  1. TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
    International Economic Review, 2023, 64, (3), 979-1022 Downloads
    See also Working Paper (2022)
  2. The Impacts of Supply Chain Disruptions on Inflation
    Economic Commentary, 2023, 2023, (08), 8 Downloads View citations (1)

2022

  1. Macroeconomic forecasting in a multi‐country context
    Journal of Applied Econometrics, 2022, 37, (6), 1230-1255 Downloads View citations (1)
    See also Working Paper (2022)
  2. Nowcasting tail risk to economic activity at a weekly frequency
    Journal of Applied Econometrics, 2022, 37, (5), 843-866 Downloads View citations (3)
    See also Working Paper (2021)

2021

  1. No‐arbitrage priors, drifting volatilities, and the term structure of interest rates
    Journal of Applied Econometrics, 2021, 36, (5), 495-516 Downloads
    See also Working Paper (2020)
  2. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
    Journal of Econometrics, 2021, 225, (1), 47-73 Downloads View citations (7)
    See also Working Paper (2021)

2020

  1. Assessing international commonality in macroeconomic uncertainty and its effects
    Journal of Applied Econometrics, 2020, 35, (3), 273-293 Downloads View citations (16)
    See also Working Paper (2019)
  2. Credit Market Frictions, Business Cycles, and Monetary Policy: The Research Contributions of Charles Carlstrom and Timothy Fuerst
    Economic Commentary, 2020, 2020, (07), 5 Downloads
  3. Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
    The Review of Economics and Statistics, 2020, 102, (1), 17-33 Downloads View citations (17)
    See also Working Paper (2017)

2019

  1. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
    Journal of Econometrics, 2019, 212, (1), 137-154 Downloads View citations (115)

2018

  1. A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
    Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 Downloads View citations (44)
    See also Working Paper (2015)
  2. Measuring Uncertainty and Its Impact on the Economy
    The Review of Economics and Statistics, 2018, 100, (5), 799-815 Downloads View citations (116)
    See also Working Paper (2016)

2017

  1. Have Standard VARS Remained Stable Since the Crisis?
    Journal of Applied Econometrics, 2017, 32, (5), 931-951 Downloads View citations (28)
    See also Working Paper (2016)
  2. Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting
    Journal of Applied Econometrics, 2017, 32, (3), 533-553 Downloads View citations (8)
  3. Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
    Journal of Business & Economic Statistics, 2017, 35, (3), 470-485 Downloads View citations (33)
    See also Working Paper (2015)

2016

  1. Common Drifting Volatility in Large Bayesian VARs
    Journal of Business & Economic Statistics, 2016, 34, (3), 375-390 Downloads View citations (122)
    See also Working Paper (2012)

2015

  1. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 Downloads View citations (112)
    See also Working Paper (2011)
  2. Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility
    Journal of Applied Econometrics, 2015, 30, (4), 551-575 Downloads View citations (172)
  3. Measuring Inflation Forecast Uncertainty
    Economic Commentary, 2015, 2015, (03), 6 Downloads View citations (3)
  4. Nested forecast model comparisons: A new approach to testing equal accuracy
    Journal of Econometrics, 2015, 186, (1), 160-177 Downloads View citations (41)
    See also Working Paper (2009)
  5. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 Downloads View citations (70)
    See also Working Paper (2013)

2014

  1. 2013 Annual Report Why Inflation Is Very Low, and Why It Matters
    Annual Report, 2014, 1-42 Downloads View citations (1)
  2. Evaluating alternative models of trend inflation
    International Journal of Forecasting, 2014, 30, (3), 426-448 Downloads View citations (63)
  3. HOW THE ECONOMY WORKS: CONFIDENCE, CRASHES, AND SELF-FULFILLING PROPHECIES BY ROGER E. A. FARMERRoger E. A. Farmer Oxford University Press, New York, 2010
    Macroeconomic Dynamics, 2014, 18, (3), 721-725 Downloads
  4. TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
    Journal of Applied Econometrics, 2014, 29, (3), 415-430 Downloads View citations (5)
    See also Working Paper (2011)
  5. The Importance of Trend Inflation in the Search for Missing Disinflation
    Economic Commentary, 2014, (Aug) Downloads View citations (1)

2013

  1. Forecasting implications of the recent decline in inflation
    Economic Commentary, 2013, (Nov) Downloads View citations (2)

2012

  1. In-sample tests of predictive ability: A new approach
    Journal of Econometrics, 2012, 170, (1), 1-14 Downloads View citations (20)
    See also Working Paper (2009)
  2. Policy rules in macroeconomic forecasting models
    Economic Commentary, 2012, (Oct) Downloads View citations (1)
  3. Reality Checks and Comparisons of Nested Predictive Models
    Journal of Business & Economic Statistics, 2012, 30, (1), 53-66 Downloads View citations (38)
    Also in Journal of Business & Economic Statistics, 2011, 30, (1), 53-66 (2011) Downloads View citations (3)

2011

  1. Decomposing the declining volatility of long-term inflation expectations
    Journal of Economic Dynamics and Control, 2011, 35, (7), 981-999 Downloads View citations (37)
    See also Working Paper (2009)
  2. Food and energy price shocks: what other prices are affected?
    Economic Commentary, 2011, (Aug) Downloads
  3. Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
    Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 Downloads View citations (287)
    Also in Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 (2011) Downloads View citations (344)

2010

  1. Averaging forecasts from VARs with uncertain instabilities
    Journal of Applied Econometrics, 2010, 25, (1), 5-29 Downloads View citations (39)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 5-29 (2010) Downloads View citations (111)

    See also Working Paper (2008)
  2. Time Variation in the Inflation Passthrough of Energy Prices
    Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 Downloads View citations (41)
    Also in Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 (2010) View citations (68)

    See also Working Paper (2009)

2009

  1. Combining Forecasts from Nested Models*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 Downloads View citations (12)
    See also Working Paper (2008)
  2. IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS
    International Economic Review, 2009, 50, (2), 363-395 View citations (81)
    See also Working Paper (2008)
  3. Is the Great Moderation over? an empirical analysis
    Economic Review, 2009, 94, (Q IV), 5-42 Downloads View citations (36)
  4. Tests of Equal Predictive Ability With Real-Time Data
    Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 Downloads View citations (77)
    See also Working Paper (2008)

2008

  1. Has the behavior of inflation and long-term inflation expectations changed?
    Economic Review, 2008, 93, (Q I), 17-50 Downloads View citations (15)

2007

  1. Approximately normal tests for equal predictive accuracy in nested models
    Journal of Econometrics, 2007, 138, (1), 291-311 Downloads View citations (1238)
    See also Working Paper (2006)

2006

  1. Disaggregate evidence on the persistence of consumer price inflation
    Journal of Applied Econometrics, 2006, 21, (5), 563-587 Downloads View citations (5)
    Also in Journal of Applied Econometrics, 2006, 21, (5), 563-587 (2006) Downloads View citations (91)

    See also Working Paper (2003)
  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 (98)
    See also Working Paper (2003)
  3. The trend growth rate of employment: past, present, and future
    Economic Review, 2006, 91, (Q I), 43-85 Downloads View citations (3)
  4. Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
    Journal of Econometrics, 2006, 135, (1-2), 155-186 Downloads View citations (336)
    See also Working Paper (2004)

2005

  1. Estimating equilibrium real interest rates in real time
    The North American Journal of Economics and Finance, 2005, 16, (3), 395-413 Downloads View citations (113)
    See also Working Paper (2004)
  2. Evaluating Direct Multistep Forecasts
    Econometric Reviews, 2005, 24, (4), 369-404 Downloads View citations (154)
  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 (68)

2004

  1. An evaluation of the decline in goods inflation
    Economic Review, 2004, 89, (Q II), 19-51 Downloads View citations (7)
  2. Can out-of-sample forecast comparisons help prevent overfitting?
    Journal of Forecasting, 2004, 23, (2), 115-139 Downloads View citations (52)
    See also Working Paper (2000)

2001

  1. Borders and business cycles
    Journal of International Economics, 2001, 55, (1), 59-85 Downloads View citations (317)
    See also Working Paper (1999)
  2. Comparing measures of core inflation
    Economic Review, 2001, 86, (Q II), 5-31 Downloads View citations (47)
  3. Tests of equal forecast accuracy and encompassing for nested models
    Journal of Econometrics, 2001, 105, (1), 85-110 Downloads View citations (709)
    See also Working Paper (2000)

1999

  1. A comparison of the CPI and the PCE price index
    Economic Review, 1999, 84, (Q III), 15-29 Downloads View citations (19)
  2. The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks
    The Review of Economics and Statistics, 1999, 81, (3), 420-433 Downloads View citations (72)
    See also Working Paper (1996)

1998

  1. 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 Downloads View citations (66)
  2. Progress toward price stability: a 1997 inflation report
    Economic Review, 1998, 83, (Q I), 5-21 Downloads

1997

  1. Cross-country Evidence on Long-Run Growth and Inflation
    Economic Inquiry, 1997, 35, (1), 70-81 View citations (46)
    See also Working Paper (1993)
  2. U.S. inflation developments in 1996
    Economic Review, 1997, (Q I), 11-30 Downloads

1996

  1. Small-Sample Properties of Estimators of Nonlinear Models of Covariance Structure
    Journal of Business & Economic Statistics, 1996, 14, (3), 367-73 View citations (48)
    See also Working Paper (1995)
  2. U.S. inflation developments in 1995
    Economic Review, 1996, 81, (Q I), 27-42 Downloads

1995

  1. Do producer prices lead consumer prices?
    Economic Review, 1995, 80, (Q III), 25-39 Downloads View citations (22)
  2. 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 Downloads View citations (24)

1994

  1. Nominal GDP targeting rules: can they stabilize the economy?
    Economic Review, 1994, 79, (Q III), 11-25 Downloads View citations (12)

Chapters

2013

  1. Advances in Forecast Evaluation
    Elsevier Downloads View citations (107)
    See also Working Paper (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 Downloads

2008

  1. 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 Downloads
 
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