Details about Todd Clark
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
- Forecasting US Inflation Using Bayesian Nonparametric Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (6) Papers, arXiv.org (2022) View citations (6)
- Shadow-rate VARs
Discussion Papers, Deutsche Bundesbank
2022
- Addressing COVID-19 outliers in BVARs with stochastic volatility
Discussion Papers, Deutsche Bundesbank View citations (6)
Also in Working Papers, Federal Reserve Bank of Cleveland (2021) View citations (16) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (22)
- Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Working Papers, Federal Reserve Bank of Cleveland (2020) View citations (16)
- Constructing Fan Charts from the Ragged Edge of SPF Forecasts
Working Papers, Federal Reserve Bank of Cleveland
- Macroeconomic Forecasting in a Multi-country Context
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (1)
See also Journal Article in Journal of Applied Econometrics (2022)
- Measuring Uncertainty and Its Effects in the COVID-19 Era
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
- Specification Choices in Quantile Regression for Empirical Macroeconomics
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
- Tail Forecasting with Multivariate Bayesian Additive Regression Trees
Working Papers, Federal Reserve Bank of Cleveland View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022) 
See also Journal Article in International Economic Review (2023)
- What is the Predictive Value of SPF Point and Density Forecasts?
Working Papers, Federal Reserve Bank of Cleveland
2021
- Forecasting with Shadow-Rate VARs
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
- Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model
Papers, arXiv.org View citations (5)
Also in Working Papers, University of Strathclyde Business School, Department of Economics (2021) View citations (3)
- Nowcasting Tail Risk to Economic Activity at a Weekly Frequency
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article in Journal of Applied Econometrics (2022)
- Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article in Journal of Econometrics (2021)
2020
- No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
Working Papers, Federal Reserve Bank of Cleveland 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (4)
See also Journal Article in Journal of Applied Econometrics (2021)
- Nowcasting Tail Risks to Economic Activity with Many Indicators
Working Papers, Federal Reserve Bank of Cleveland View citations (26)
2019
- Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
Working Papers, Federal Reserve Bank of Cleveland View citations (4)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (4) Working Papers (Old Series), Federal Reserve Bank of Cleveland (2018) View citations (3)
See also Journal Article in Journal of Applied Econometrics (2020)
2018
- Endogenous Uncertainty
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (4)
2017
- Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Working Papers, Federal Reserve Bank of St. Louis View citations (6)
Also in Working Papers, Federal Reserve Bank of Cleveland (2017) View citations (7) BIS Working Papers, Bank for International Settlements (2017) View citations (6) Working Papers (Old Series), Federal Reserve Bank of Cleveland (2017) View citations (7)
See also Journal Article in The Review of Economics and Statistics (2020)
2016
- Have Standard VARs Remained Stable Since the Crisis?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) View citations (9) Working Paper, Norges Bank (2014) View citations (14)
See also Journal Article in Journal of Applied Econometrics (2017)
- Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (12)
- Measuring Uncertainty and Its Impact on the Economy
Working Papers (Old Series), Federal Reserve Bank of Cleveland 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) View citations (27)
See also Journal Article in The Review of Economics and Statistics (2018)
2015
- A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (22)
See also Journal Article in Journal of Money, Credit and Banking (2018)
- Large Vector Autoregressions with Asymmetric Priors
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (22)
- Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (1)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2015) View citations (1) VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy, Verein für Socialpolitik / German Economic Association (2015) View citations (6)
See also Journal Article in Journal of Business & Economic Statistics (2017)
2014
- 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)
- Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (15)
2013
- Evaluating the accuracy of forecasts from vector autoregressions
Working Papers, Federal Reserve Bank of St. Louis View citations (7)
- Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (3)
See also Journal Article in Journal of the Royal Statistical Society Series A (2015)
2012
- Common Drifting Volatility in Large Bayesian VARs
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (24) Economics Working Papers, European University Institute (2012) View citations (36)
See also Journal Article in Journal of Business & Economic Statistics (2016)
- The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (6)
Also in Working Paper, Norges Bank (2012) View citations (17)
2011
- A Bayesian evaluation of alternative models of trend inflation
Research Working Paper, Federal Reserve Bank of Kansas City View citations (10)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (17)
- 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 (2013)
- Bayesian VARs: Specification Choices and Forecast Accuracy
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (45)
Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (10)
See also Journal Article in Journal of Applied Econometrics (2015)
- 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 in Journal of Applied Econometrics (2014)
2010
- Reality checks and nested forecast model comparisons
Working Papers, Federal Reserve Bank of St. Louis View citations (5)
- Testing for unconditional predictive ability
Working Papers, Federal Reserve Bank of St. Louis View citations (10)
2009
- Decomposing the declining volatility of long-term inflation expectations
Research Working Paper, Federal Reserve Bank of Kansas City View citations (2)
See also Journal Article in Journal of Economic Dynamics and Control (2011)
- In-sample tests of predictive ability: a new approach
Research Working Paper, Federal Reserve Bank of Kansas City 
Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (1)
See also Journal Article in Journal of Econometrics (2012)
- Nested forecast model comparisons: a new approach to testing equal accuracy
Research Working Paper, Federal Reserve Bank of Kansas City View citations (7)
Also in Working Papers, Federal Reserve Bank of St. Louis (2009) View citations (28)
See also Journal Article in Journal of Econometrics (2015)
- Real-time density forecasts from VARs with stochastic volatility
Research Working Paper, Federal Reserve Bank of Kansas City View citations (6)
- Time variation in the inflation passthrough of energy prices
Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)
See also Journal Article in Journal of Money, Credit and Banking (2010)
2008
- An empirical assessment of the relationships among inflation and short- and long-term expectations
Research Working Paper, Federal Reserve Bank of Kansas City View citations (14)
- Averaging forecasts from VARs with uncertain instabilities
Working Papers, Federal Reserve Bank of St. Louis View citations (10)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (1) Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (12)
See also Journal Article in Journal of Applied Econometrics (2010)
- Combining forecasts from nested models
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
Also in Research Working Paper, Federal Reserve Bank of Kansas City (2006) View citations (7) Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (4)
See also Journal Article in Oxford Bulletin of Economics and Statistics (2009)
- 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 in International Economic Review (2009)
- 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 in Journal of Business & Economic Statistics (2009)
2007
- 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
- Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (15)
Also in Research Working Paper, Federal Reserve Bank of Kansas City (2005) View citations (6)
See also Journal Article in Journal of Econometrics (2007)
- Forecasting of small macroeconomic VARs in the presence of instabilities
Research Working Paper, Federal Reserve Bank of Kansas City View citations (5)
2005
- Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (12)
2004
- Estimating equilibrium real interest rates in real time
Research Working Paper, Federal Reserve Bank of Kansas City View citations (13)
Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2004) View citations (21)
See also Journal Article in The North American Journal of Economics and Finance (2005)
- Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis
Research Working Paper, Federal Reserve Bank of Kansas City View citations (17)
See also Journal Article in Journal of Econometrics (2006)
2003
- Disaggregate evidence on the persistence of consumer price inflation
Research Working Paper, Federal Reserve Bank of Kansas City View citations (23)
See also Journal Article in Journal of Applied Econometrics (2006)
- 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 in Journal of Money, Credit and Banking (2006)
2002
- Forecast-based model selection in the presence of structural breaks
Research Working Paper, Federal Reserve Bank of Kansas City View citations (11)
2001
- Evaluating long-horizon forecasts
Research Working Paper, Federal Reserve Bank of Kansas City View citations (26)
2000
- Can out-of-sample forecast comparisons help prevent overfitting?
Research Working Paper, Federal Reserve Bank of Kansas City View citations (6)
See also Journal Article in Journal of Forecasting (2004)
- 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 in Journal of Econometrics (2001)
1999
- Borders and business cycles
Research Working Paper, Federal Reserve Bank of Kansas City View citations (21)
Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (6)
See also Journal Article in Journal of International Economics (2001)
1998
- The sources of fluctuations within and across countries
Research Working Paper, Federal Reserve Bank of Kansas City View citations (52)
1997
- Do producer prices help predict consumer prices?
Research Working Paper, Federal Reserve Bank of Kansas City View citations (4)
1996
- Finite-sample properties of tests for forecast equivalence
Research Working Paper, Federal Reserve Bank of Kansas City View citations (6)
- 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
- Forecasting an aggregate of cointegrated disaggregates
Research Working Paper, Federal Reserve Bank of Kansas City
- 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
- 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
- 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)
- 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
- 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
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
International Economic Review, 2023, 64, (3), 979-1022 
See also Working Paper (2022)
- The Impacts of Supply Chain Disruptions on Inflation
Economic Commentary, 2023, 2023, (08), 8 View citations (1)
2022
- Macroeconomic forecasting in a multi‐country context
Journal of Applied Econometrics, 2022, 37, (6), 1230-1255 View citations (1)
See also Working Paper (2022)
- Nowcasting tail risk to economic activity at a weekly frequency
Journal of Applied Econometrics, 2022, 37, (5), 843-866 View citations (3)
See also Working Paper (2021)
2021
- No‐arbitrage priors, drifting volatilities, and the term structure of interest rates
Journal of Applied Econometrics, 2021, 36, (5), 495-516 
See also Working Paper (2020)
- Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
Journal of Econometrics, 2021, 225, (1), 47-73 View citations (7)
See also Working Paper (2021)
2020
- Assessing international commonality in macroeconomic uncertainty and its effects
Journal of Applied Econometrics, 2020, 35, (3), 273-293 View citations (16)
See also Working Paper (2019)
- Credit Market Frictions, Business Cycles, and Monetary Policy: The Research Contributions of Charles Carlstrom and Timothy Fuerst
Economic Commentary, 2020, 2020, (07), 5
- Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
The Review of Economics and Statistics, 2020, 102, (1), 17-33 View citations (17)
See also Working Paper (2017)
2019
- Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Journal of Econometrics, 2019, 212, (1), 137-154 View citations (115)
2018
- A New Model of Inflation, Trend Inflation, and Long‐Run Inflation Expectations
Journal of Money, Credit and Banking, 2018, 50, (1), 5-53 View citations (44)
See also Working Paper (2015)
- Measuring Uncertainty and Its Impact on the Economy
The Review of Economics and Statistics, 2018, 100, (5), 799-815 View citations (116)
See also Working Paper (2016)
2017
- Have Standard VARS Remained Stable Since the Crisis?
Journal of Applied Econometrics, 2017, 32, (5), 931-951 View citations (28)
See also Working Paper (2016)
- Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting
Journal of Applied Econometrics, 2017, 32, (3), 533-553 View citations (8)
- Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
Journal of Business & Economic Statistics, 2017, 35, (3), 470-485 View citations (33)
See also Working Paper (2015)
2016
- Common Drifting Volatility in Large Bayesian VARs
Journal of Business & Economic Statistics, 2016, 34, (3), 375-390 View citations (122)
See also Working Paper (2012)
2015
- Bayesian VARs: Specification Choices and Forecast Accuracy
Journal of Applied Econometrics, 2015, 30, (1), 46-73 View citations (112)
See also Working Paper (2011)
- Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility
Journal of Applied Econometrics, 2015, 30, (4), 551-575 View citations (172)
- Measuring Inflation Forecast Uncertainty
Economic Commentary, 2015, 2015, (03), 6 View citations (3)
- Nested forecast model comparisons: A new approach to testing equal accuracy
Journal of Econometrics, 2015, 186, (1), 160-177 View citations (41)
See also Working Paper (2009)
- Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 View citations (70)
See also Working Paper (2013)
2014
- 2013 Annual Report Why Inflation Is Very Low, and Why It Matters
Annual Report, 2014, 1-42 View citations (1)
- Evaluating alternative models of trend inflation
International Journal of Forecasting, 2014, 30, (3), 426-448 View citations (63)
- 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
- TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS
Journal of Applied Econometrics, 2014, 29, (3), 415-430 View citations (5)
See also Working Paper (2011)
- The Importance of Trend Inflation in the Search for Missing Disinflation
Economic Commentary, 2014, (Aug) View citations (1)
2013
- Forecasting implications of the recent decline in inflation
Economic Commentary, 2013, (Nov) View citations (2)
2012
- In-sample tests of predictive ability: A new approach
Journal of Econometrics, 2012, 170, (1), 1-14 View citations (20)
See also Working Paper (2009)
- Policy rules in macroeconomic forecasting models
Economic Commentary, 2012, (Oct) View citations (1)
- Reality Checks and Comparisons of Nested Predictive Models
Journal of Business & Economic Statistics, 2012, 30, (1), 53-66 View citations (38)
Also in Journal of Business & Economic Statistics, 2011, 30, (1), 53-66 (2011) View citations (3)
2011
- Decomposing the declining volatility of long-term inflation expectations
Journal of Economic Dynamics and Control, 2011, 35, (7), 981-999 View citations (37)
See also Working Paper (2009)
- Food and energy price shocks: what other prices are affected?
Economic Commentary, 2011, (Aug)
- Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 View citations (287)
Also in Journal of Business & Economic Statistics, 2011, 29, (3), 327-341 (2011) View citations (344)
2010
- Averaging forecasts from VARs with uncertain instabilities
Journal of Applied Econometrics, 2010, 25, (1), 5-29 View citations (39)
Also in Journal of Applied Econometrics, 2010, 25, (1), 5-29 (2010) View citations (111)
See also Working Paper (2008)
- Time Variation in the Inflation Passthrough of Energy Prices
Journal of Money, Credit and Banking, 2010, 42, (7), 1419-1433 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
- Combining Forecasts from Nested Models*
Oxford Bulletin of Economics and Statistics, 2009, 71, (3), 303-329 View citations (12)
See also Working Paper (2008)
- 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)
- Is the Great Moderation over? an empirical analysis
Economic Review, 2009, 94, (Q IV), 5-42 View citations (36)
- Tests of Equal Predictive Ability With Real-Time Data
Journal of Business & Economic Statistics, 2009, 27, (4), 441-454 View citations (77)
See also Working Paper (2008)
2008
- Has the behavior of inflation and long-term inflation expectations changed?
Economic Review, 2008, 93, (Q I), 17-50 View citations (15)
2007
- Approximately normal tests for equal predictive accuracy in nested models
Journal of Econometrics, 2007, 138, (1), 291-311 View citations (1238)
See also Working Paper (2006)
2006
- Disaggregate evidence on the persistence of consumer price inflation
Journal of Applied Econometrics, 2006, 21, (5), 563-587 View citations (5)
Also in Journal of Applied Econometrics, 2006, 21, (5), 563-587 (2006) View citations (91)
See also Working Paper (2003)
- 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 (98)
See also Working Paper (2003)
- The trend growth rate of employment: past, present, and future
Economic Review, 2006, 91, (Q I), 43-85 View citations (3)
- Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis
Journal of Econometrics, 2006, 135, (1-2), 155-186 View citations (336)
See also Working Paper (2004)
2005
- Estimating equilibrium real interest rates in real time
The North American Journal of Economics and Finance, 2005, 16, (3), 395-413 View citations (113)
See also Working Paper (2004)
- Evaluating Direct Multistep Forecasts
Econometric Reviews, 2005, 24, (4), 369-404 View citations (154)
- The power of tests of predictive ability in the presence of structural breaks
Journal of Econometrics, 2005, 124, (1), 1-31 View citations (68)
2004
- An evaluation of the decline in goods inflation
Economic Review, 2004, 89, (Q II), 19-51 View citations (7)
- Can out-of-sample forecast comparisons help prevent overfitting?
Journal of Forecasting, 2004, 23, (2), 115-139 View citations (52)
See also Working Paper (2000)
2001
- Borders and business cycles
Journal of International Economics, 2001, 55, (1), 59-85 View citations (317)
See also Working Paper (1999)
- Comparing measures of core inflation
Economic Review, 2001, 86, (Q II), 5-31 View citations (47)
- Tests of equal forecast accuracy and encompassing for nested models
Journal of Econometrics, 2001, 105, (1), 85-110 View citations (709)
See also Working Paper (2000)
1999
- A comparison of the CPI and the PCE price index
Economic Review, 1999, 84, (Q III), 15-29 View citations (19)
- The Responses Of Prices At Different Stages Of Production To Monetary Policy Shocks
The Review of Economics and Statistics, 1999, 81, (3), 420-433 View citations (72)
See also Working Paper (1996)
1998
- Employment Fluctuations in U.S. Regions and Industries: The Roles of National, Region-Specific, and Industry-Specific Shocks
Journal of Labor Economics, 1998, 16, (1), 202-29 View citations (66)
- Progress toward price stability: a 1997 inflation report
Economic Review, 1998, 83, (Q I), 5-21
1997
- Cross-country Evidence on Long-Run Growth and Inflation
Economic Inquiry, 1997, 35, (1), 70-81 View citations (46)
See also Working Paper (1993)
- U.S. inflation developments in 1996
Economic Review, 1997, (Q I), 11-30
1996
- 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)
- U.S. inflation developments in 1995
Economic Review, 1996, 81, (Q I), 27-42
1995
- Do producer prices lead consumer prices?
Economic Review, 1995, 80, (Q III), 25-39 View citations (22)
- Rents and prices of housing across areas of the United States. A cross-section examination of the present value model
Regional Science and Urban Economics, 1995, 25, (2), 237-247 View citations (24)
1994
- Nominal GDP targeting rules: can they stabilize the economy?
Economic Review, 1994, 79, (Q III), 11-25 View citations (12)
Chapters
2013
- Advances in Forecast Evaluation
Elsevier View citations (107)
See also Working Paper (2011)
- 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
2008
- 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
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