Michael P. Clements

University of Reading - Henley Business School

Whiteknights

Reading, RG6 6BA

United Kingdom

  • University of Reading - Henley Business School

SCHOLARLY PAPERS

22

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29

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217

Scholarly Papers (22)

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1.

Did Quantitative Easing Only Inflate Stock Prices? Macroeconomic Evidence from the US and UK

Number of pages: 48 Posted: 14 Sep 2016 Last Revised: 23 Feb 2018
Mirco Balatti, Chris Brooks, Michael P. Clements and Konstantina Kappou
Henley Business School - ICMA Centre, University of Reading - ICMA Centre, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads 1,138 (21,015)
Citation 3

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Quantitative Easing, Monetary Policy, Stock Market, Vector Autoregression

2.

Economic Forecasting: Some Lessons from Recent Research

Number of pages: 38 Posted: 22 Sep 2003
David F. Hendry and Michael P. Clements
University of Oxford - Department of Economics and University of Reading - Henley Business School
Downloads 246 (143,268)

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Forecasting; structural breaks; model selection; forecast-error taxonomy

3.

Measuring Macroeconomic Uncertainty: US Inflation and Output Growth

Number of pages: 36 Posted: 15 May 2014
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 199 (175,276)
Citation 5

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Ex ante and ex post uncertainty, Macro and stock market uncertainty, MIDAS models.

4.

Economic Forecasting in a Changing World

Capitalism and Society, Vol. 3, Issue 2, Article 1, 2008
Number of pages: 20 Posted: 30 Jan 2013
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 178 (193,701)

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5.

Real-Time Factor Model Forecasting and the Effects of Instability

The ICMA Centre, Henley Business School, University or Reading Discussion Paper Number: 2014-05
Number of pages: 31 Posted: 02 Jun 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 75 (360,786)
Citation 1

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Factor Models, Robust Approaches, Financial Crisis

6.

Do US Macroeconomic Forecasters Exaggerate Their Differences?

Number of pages: 25 Posted: 16 Sep 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 49 (445,041)

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Macro-forecasting, imitative behaviour, histogram forecasts, point predictions.

7.

Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets

Number of pages: 39 Posted: 20 Aug 2014
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 49 (445,041)
Citation 2

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Survey forecasts, data revisions, economic indicators, stock returns, macro announcements

8.

Assessing the Evidence of Macro-Forecaster Herding: Forecasts of Inflation and Output Growth

Number of pages: 40 Posted: 05 Nov 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 47 (452,876)
Citation 1

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macro-forecasting, imitative behaviour, private information, idiosyncratic errors

9.

Assessing Macro Uncertainty in Real-Time When Data are Subject to Revision

Number of pages: 27 Posted: 11 Jan 2015
Michael P. Clements
University of Reading - Henley Business School
Downloads 43 (469,314)
Citation 5

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in-sample uncertainty, out-of-sample uncertainty, real-time-vintage estimation

10.

Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment

Number of pages: 40 Posted: 23 Mar 2014
Michael P. Clements
University of Reading - Henley Business School
Downloads 36 (500,509)

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11.

Modelling Methodology and Forecast Failure

Number of pages: 26 Posted: 05 Feb 2003
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 31 (525,554)
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12.

Data Revisions and Real-Time Probabilistic Forecasting of Macroeconomic Variables.

Number of pages: 37 Posted: 24 Jul 2017
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 30 (530,875)
Citation 1

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real-time forecasting, inflation and output growth predictive densities, real- time-vintages, time-varying heteroscedasticity.

13.

Forecasting Quarterly Aggregate Crime Series

Manchester School, Vol. 73, No. 6, pp. 709-727, December 2005
Number of pages: 19 Posted: 23 Dec 2005
Michael P. Clements and Robert Witt
University of Reading - Henley Business School and University of Surrey
Downloads 27 (547,945)
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14.

Guest Editors' Introduction: Information in Economic Forecasting

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 713-753, December 2005
Number of pages: 41 Posted: 03 Feb 2006
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 21 (585,814)
Citation 2
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15.

Are Macroeconomic Density Forecasts Informative?

ICMA Centre, Henley Business School Discussion Paper April 2017
Number of pages: 42 Posted: 24 Jul 2017
Michael P. Clements
University of Reading - Henley Business School
Downloads 16 (619,013)
Citation 6

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probability distribution forecasts, aggregation, Kullback-Leibler information criterion

16.

Forecasters' Disagreement About How the Economy Operates, and the Role of Long-Run Relationships

Number of pages: 48 Posted: 27 Nov 2015
Michael P. Clements
University of Reading - Henley Business School
Downloads 15 (625,974)

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Expectations formation, Equilibrium, Multivariate Disagreement.

17.

Evaluating the Bank of England Density Forecasts of Inflation

Number of pages: 23 Posted: 07 Oct 2004
Michael P. Clements
University of Reading - Henley Business School
Downloads 14 (633,137)
Citation 6
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18.

Pooling of Forecasts

Number of pages: 31 Posted: 21 Jul 2004
David F. Hendry and Michael P. Clements
University of Oxford - Department of Economics and University of Reading - Henley Business School
Downloads 14 (633,137)
Citation 6
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Forecast combination, structural breaks, density forecasts

19.

Evaluating a Model by Forecast Performance

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 931-956, December 2005
Number of pages: 26 Posted: 03 Feb 2006
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics
Downloads 13 (640,299)
Citation 1
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20.

Rounding Behaviour of Professional Macro-Forecasters

Number of pages: 43 Posted: 28 Jul 2020
Michael P. Clements
University of Reading - Henley Business School
Downloads 7 (683,749)

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Rounding, survey expectations, uncertainty, forecast accuracy, histograms.

21.

Forecasting with Difference-Stationary and Trend-Stationary Models

Posted: 27 Sep 2001
Michael P. Clements and David F. Hendry
University of Reading - Henley Business School and University of Oxford - Department of Economics

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Forecasting, Trend Stationarity, Difference Stationarity

22.

A Comparison of the Forecast Performance of Markov‐Switching and Threshold Autoregressive Models of Us Gnp

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Citation 2

A Comparison of the Forecast Performance of Markov‐Switching and Threshold Autoregressive Models of Us Gnp

The Econometrics Journal, Vol. 1, Issue 1, pp. 47-75, 1998
Number of pages: 29 Posted: 24 Sep 2014
Michael P. Clements and Hans‐Martin Krolzig
University of Reading - Henley Business School and University of Kent - School of Economics
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Business cycles, Monte Carlo simulation, Nonlinear time series, Prediction, Regime shifts

A Comparison of the Forecast Performance of Markov-Switching and Threshold Autoregressive Models of Us Gnp

Posted: 09 Apr 1999
Michael P. Clements and Hans-Martin Krolzig
University of Reading - Henley Business School and Humboldt University of Berlin - Institute for Statistics and Econometrics

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Other Papers (1)

Total Downloads: 163
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1.

Macroeconomic Forecasting with Mixed Frequency Data: Forecasting Us Output Growth and Inflation

Number of pages: 35 Posted: 27 Jan 2006
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Downloads 163

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Data frequency, multiple predictors, combination, real time forecasting