Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

411 Locust St

Saint Louis, MO 63011

United States

SCHOLARLY PAPERS

32

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Scholarly Papers (32)

Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

FRB of Kansas City Working Paper No. RWP 04-10, FRB of St. Louis Working Paper No. 2008-028A
Number of pages: 53 Posted: 08 Nov 2004
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 266 (111,938)

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Structural breaks, forecasting, model averaging

Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts

International Economic Review, Vol. 50, Issue 2, pp. 363-395, May 2009
Number of pages: 33 Posted: 27 Apr 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 1 (669,933)
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2.

Tests of Equal Forecast Accuracy and Encompassing for Nested Models

Federal Reserve Bank of Kansas City, Research Working Paper No. 99-11
Number of pages: 54 Posted: 09 Nov 1999
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 249 (120,505)

Abstract:

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3.

Evaluating Long-Horizon Forecasts

FRB of Kansas City Research Working Paper No. 01-14
Number of pages: 35 Posted: 16 Apr 2002
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 196 (151,938)

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Forecast Evaluation, Prediction, Causality

4.
Downloads 186 (159,374)

Advances in Forecast Evaluation

FRB of Cleveland Working Paper No. 11-20
Number of pages: 83 Posted: 08 Sep 2011
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 125 (222,911)

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Prediction, equal accuracy

Advances in Forecast Evaluation

Federal Reserve Bank of St. Louis Working Paper No. 2011-025B
Number of pages: 105 Posted: 13 Jun 2012 Last Revised: 24 Oct 2012
Michael W. McCracken and Todd E. Clark
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of Cleveland
Downloads 61 (352,189)

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Prediction, equal accuracy

5.

The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence

FRB of Kansas City Working Paper No. 03-06
Number of pages: 54 Posted: 15 Jun 2004
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 168 (174,522)

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Phillips Curve, Forecasts, Causality, Break Test

6.

Forecast-Based Model Selection in the Presence of Structural Breaks

FRB of Kansas City Working Paper No. 02-05
Number of pages: 52 Posted: 23 Nov 2002
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 116 (234,834)

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Power, Structural Breaks, Forecast Evaluation, Model Selection

7.

Testing for Unconditional Predictive Ability

Federal Reserve Bank of St. Louis Working Paper No. 2010-031A
Number of pages: 32 Posted: 05 Oct 2010
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 97 (265,770)

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Predictability, Forecast Accuracy, Testing

Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy

FRB of St. Louis Working Paper No. 2009-050B
Number of pages: 61 Posted: 24 Oct 2012
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 58 (361,311)

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mean square error, prediction, reality check

Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy

Federal Reserve Bank of Kansas City Economic Research Working Paper No. 09-11, Federal Reserve Bank of St. Louis Working Paper No. 2009-050A
Number of pages: 56 Posted: 20 Aug 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 38 (433,855)

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mean square error, prediction, reality check

9.
Downloads 95 (269,407)

Combining Forecasts from Nested Models

FRB of Kansas City Research Working Paper No. 06-02, FRB of St. Louis Working Paper No. 2008-037A, FEDS Working Paper No. 2007-43
Number of pages: 34 Posted: 22 Mar 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 92 (277,076)

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Forecast Combination, Predictability, Forecast Evaluation

Combining Forecasts from Nested Models

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 3, pp. 303-329, June 2009
Number of pages: 27 Posted: 27 Apr 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 3 (644,606)
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10.

Averaging Forecasts from Vars with Uncertain Instabilities

FRB of Kansas City Working Paper No. 06-12, FEDS Working Paper No. 2007-42, FRB of St. Louis Working Paper 2008-030B
Number of pages: 25 Posted: 28 Dec 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 94 (271,193)

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Forecast combination, real-time data, structural change

11.

Forecasting with Small Macroeconomic VARs in the Presence of Instabilities

FEDS Working Paper No. 2007-41, FRB of Kansas City Economic Research Paper No. 06-09
Number of pages: 66 Posted: 18 Jul 2006
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 89 (280,819)

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Real-time Data, Prediction, Structural Change

12.

Testing the Economic Value of Asset Return Predictability

FRB of St. Louis Working Paper No. 2012-049A
Number of pages: 38 Posted: 24 Oct 2012
Michael W. McCracken and Giorgio Valente
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR)
Downloads 85 (288,998)

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Utility-based comparisons, economic value, out-of-sample forecasting, predictability

13.

Multi-Step Ahead Forecasting of Vector Time Series

FRB of St. Louis Working Paper No. 2012-060B
Number of pages: 29 Posted: 08 Dec 2012 Last Revised: 26 Sep 2014
Tucker McElroy and Michael W. McCracken
U.S. Census Bureau - Center for Statistical Research and Methodology and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 84 (291,091)

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Euro Area, Fertility Rates, Frequency Domain, Housing Starts, Multivariate Time Series, VAR Models

14.

Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR

FRB St. Louis Working Paper No. 2015-30
Number of pages: 36 Posted: 14 Oct 2015 Last Revised: 03 Jan 2019
Michael W. McCracken, Michael Owyang and Tatevik Sekhposyan
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis - Research Division and Texas A&M University - Department of Economics
Downloads 83 (293,181)

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Vector autoregression, Blocking model, Stacked vector autoregression, Mixed-frequency estimation, Bayesian methods, Nowcasting, Forecasting

15.

Fred-Md: A Monthly Database for Macroeconomic Research

FRB St. Louis Working Paper No. 2015-12
Number of pages: 31 Posted: 19 Aug 2015 Last Revised: 06 Mar 2019
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 62 (344,664)

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diffusion index, forecasting, big data, factors.

16.

Forecast Disagreement Among FOMC Members

Federal Reserve Bank of St. Louis Working Paper No. 2009-059A
Number of pages: 43 Posted: 08 Dec 2009
Chanont Banternghansa and Michael W. McCracken
Federal Reserve Bank of St. Louis and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 62 (344,664)

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FOMC, forecast accuracy, forecast disagreement

17.

Reality Checks and Nested Forecast Model Comparisons

Number of pages: 42 Posted: 05 Oct 2010
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 59 (353,214)

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Prediction, forecast evaluation, equal accuracy

18.

A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth

Review, Vol. 98, Issue 4, pp. 277-296, 2016
Number of pages: 20 Posted: 07 Dec 2016
Sean Grover, Kevin L. Kliesen and Michael W. McCracken
Georgetown University McDonough School of Business, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 53 (371,626)

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19.

Tests of Equal Predictive Ability With Real-Time Data

FRB of St. Louis Working Paper No. 2008-029
Number of pages: 32 Posted: 10 Aug 2007
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 53 (371,626)

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Forecasting, Prediction, mean square error, causality

20.

Regression-Based Tests of Predictive Ability

NBER Working Paper No. t0226
Number of pages: 60 Posted: 12 Jul 2000 Last Revised: 16 Aug 2010
Kenneth D. West and Michael W. McCracken
University of Wisconsin - Madison - Department of Economics and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 50 (381,271)

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21.

Evaluating Conditional Forecasts from Vector Autoregressions

FRB of Cleveland Working Paper No. 14-13
Number of pages: 52 Posted: 04 Oct 2014
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 47 (391,493)

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prediction, forecasting, out-of-sample

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

BIS Working Paper No. 667
Number of pages: 58 Posted: 10 Nov 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 25 (498,522)

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stochastic volatility, survey forecasts, fan charts

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB St. Louis Working Paper No. 2017-26
Number of pages: 44 Posted: 07 Sep 2017 Last Revised: 05 Jan 2019
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 10 (594,461)

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Stochastic volatility, survey forecasts, prediction

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

FRB of Cleveland Working Paper No. 17-15
Number of pages: 57 Posted: 27 Sep 2017
Todd E. Clark, Michael W. McCracken and Elmar Mertens
Federal Reserve Bank of Cleveland, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Deutsche Bundesbank
Downloads 7 (614,600)

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Stochastic Volatility, Survey Forecasts, Fan Charts

23.
Downloads 42 (409,248)

Tests of Equal Forecast Accuracy for Overlapping Models

FRB of Cleveland Working Paper No. 11-21
Number of pages: 32 Posted: 08 Sep 2011
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 22 (516,852)

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overlapping models, prediction, out-of-sample

Tests of Equal Forecast Accuracy for Overlapping Models

Number of pages: 31 Posted: 12 Apr 2012
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 20 (529,388)

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overlapping models, prediction, out-of-sample

24.

Pairwise Tests of Equal Forecast Accuracy

Quantile Journal, Vol. 1, pp. 53-62, 2006
Posted: 20 Oct 2006
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 37 (428,700)

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25.

In-Sample Tests of Predictive Ability: A New Approach

Federal Reserve Bank of Kansas City, Economic Research Department Research Working Paper No. 2009-051A
Number of pages: 36 Posted: 20 Aug 2009
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 36 (432,718)

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predictability, forecast accuracy, in-sample

26.

Evaluating the Accuracy of Forecasts from Vector Autoregressions

FRB of St. Louis Working Paper No. 2013-010A
Number of pages: 47 Posted: 01 Mar 2013
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 30 (458,745)

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prediction, forecasting, out-of-sample

27.

Real-Time Forecast Averaging with ALFRED

FRB of St. Louis Working Paper No. 2010-033A
Number of pages: 27 Posted: 05 Oct 2010 Last Revised: 10 Oct 2010
Chanont Banternghansa and Michael W. McCracken
Federal Reserve Bank of St. Louis and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 27 (473,469)

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forecast averaging, real-time data, forecast accuracy

28.

Comment on 'Taylor Rule Exchange Rate Forecasting During the Financial Crisis'

FRB of St. Louis Working Paper No. 2012-030A
Number of pages: 10 Posted: 19 Sep 2012
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 26 (478,670)

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forecasting, exchange rates, inference

29.

An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts

FRB St. Louis Working Paper No. 2017-40
Number of pages: 38 Posted: 28 Nov 2017
Michael W. McCracken and Joseph McGillicuddy
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 19 (517,789)

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Prediction, forecasting, out-of-sample

30.

Tests of Equal Accuracy for Nested Models with Estimated Factors

FRB St. Louis Working Paper No. 2015-25
Number of pages: 51 Posted: 06 Oct 2015 Last Revised: 06 Mar 2019
Sílvia Gonçalves, Michael W. McCracken and Benoit Perron
University of Montreal - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of St. Louis and University of Montreal - Department of Economics
Downloads 18 (523,548)

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factor model, out-of-sample forecasts, recursive estimation

31.

Consistent Testing for Structural Change at the Ends of the Sample

FRB of St. Louis Working Paper No. 2012-029A
Number of pages: 47 Posted: 30 Aug 2012
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 13 (552,588)

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Structural change, Chow test, Predictive test, intercept correction

32.

Tests of Conditional Predictive Ability: Some Simulation Evidence

FRB St. Louis Working Paper No. 2019-11
Number of pages: 21 Posted: 11 Apr 2019 Last Revised: 07 May 2019
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 8 (582,734)

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prediction, out-of-sample, inference