Michael P. Clements

University of Reading - Henley Business School

Whiteknights

Reading, RG6 6BA

United Kingdom

SCHOLARLY PAPERS

22

DOWNLOADS
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Top 24,586

in Total Papers Downloads

2,248

SSRN CITATIONS
Rank 5,207

SSRN RANKINGS

Top 5,207

in Total Papers Citations

29

CROSSREF CITATIONS

217

Scholarly Papers (22)

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

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
Downloads 0
Citation 2
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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
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

Abstract:

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Data frequency, multiple predictors, combination, real time forecasting