Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

411 Locust St

Saint Louis, MO 63011

United States

SCHOLARLY PAPERS

39

DOWNLOADS
Rank 18,727

SSRN RANKINGS

Top 18,727

in Total Papers Downloads

5,082

SSRN CITATIONS
Rank 2,354

SSRN RANKINGS

Top 2,354

in Total Papers Citations

566

CROSSREF CITATIONS

183

Scholarly Papers (39)

1.

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 360 (155,843)

Abstract:

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Structural breaks, forecasting, model averaging

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 345 (163,238)
Citation 84

Abstract:

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3.

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 University - Columbia Business School, Economics
Downloads 307 (184,690)
Citation 194

Abstract:

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diffusion index, forecasting, big data, factors

4.
Downloads 288 (197,559)
Citation 21

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 175 (316,572)
Citation 12

Abstract:

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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 113 (451,358)
Citation 12

Abstract:

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Prediction, equal accuracy

5.

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 286 (198,983)
Citation 16

Abstract:

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Forecast Evaluation, Prediction, Causality

6.

Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR

FRB St. Louis Working Paper No. 2015-30
Number of pages: 35 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 236 (240,949)

Abstract:

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Stacked vector autoregression, Mixed-frequency estimation, Vector autoregression, Bayesian methods, Forecasting, Nowcasting, conditional forecasts

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 125 (417,928)
Citation 14

Abstract:

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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 88 (537,110)
Citation 1

Abstract:

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mean square error, prediction, reality check

8.

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 207 (272,512)
Citation 34

Abstract:

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Phillips Curve, Forecasts, Causality, Break Test

9.

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 162 (338,634)
Citation 3

Abstract:

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Predictability, Forecast Accuracy, Testing

10.

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 150 (361,083)
Citation 6

Abstract:

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Power, Structural Breaks, Forecast Evaluation, Model Selection

11.

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

Number of pages: 20 Posted: 07 Dec 2016 Last Revised: 08 Mar 2017
Sean Grover, Kevin L. Kliesen and Michael W. McCracken
ProShares, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 148 (365,023)

Abstract:

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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 Institute for Monetary and Financial Research (HKIMR)
Downloads 146 (369,130)

Abstract:

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

13.

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 129 (406,719)
Citation 10

Abstract:

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Real-time Data, Prediction, Structural Change

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 76 (588,122)
Citation 4

Abstract:

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overlapping models, prediction, out-of-sample

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 49 (737,786)

Abstract:

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overlapping models, prediction, out-of-sample

15.

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 124 (418,909)
Citation 13

Abstract:

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Forecast combination, real-time data, structural change

Fred-Qd: A Quarterly Database for Macroeconomic Research

Number of pages: 129 Posted: 14 May 2021
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia University - Columbia Business School, Economics
Downloads 90 (529,354)
Citation 4

Abstract:

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Fred-Qd: A Quarterly Database for Macroeconomic Research

FRB St. Louis Working Paper No. 2020-5
Number of pages: 52 Posted: 29 Apr 2020
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 33 (860,583)

Abstract:

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big data, factors, forecasting

17.

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 121 (426,658)
Citation 2

Abstract:

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Forecast Combination, Predictability, Forecast Evaluation

18.

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 120 (429,330)
Citation 3

Abstract:

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FOMC, forecast accuracy, forecast disagreement

19.

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 116 (440,366)
Citation 1

Abstract:

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

20.

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 108 (464,172)
Citation 3

Abstract:

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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 43 (780,146)

Abstract:

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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 36 (834,962)
Citation 13

Abstract:

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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 24 (944,960)

Abstract:

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Stochastic Volatility, Survey Forecasts, Fan Charts

22.

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 99 (493,285)
Citation 2

Abstract:

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Prediction, forecast evaluation, equal accuracy

23.

On the Real-Time Predictive Content of Financial Conditions Indices for Growth

FRB St. Louis Working Paper No. 2022-3
Number of pages: 49 Posted: 21 Jan 2022
Aaron Amburgey and Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 87 (535,516)

Abstract:

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out-of-sample forecasts, real-time data, quantiles

24.

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 82 (555,243)
Citation 7

Abstract:

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Forecasting, Prediction, mean square error, causality

25.

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 81 (559,363)
Citation 1

Abstract:

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prediction, out-of-sample, inference

26.

Regression-Based Tests of Predictive Ability

NBER Working Paper No. t0226
Number of pages: 60 Posted: 12 Jul 2000 Last Revised: 13 Feb 2023
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 80 (563,502)
Citation 7

Abstract:

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27.

Fred-Qd: A Quarterly Database for Macroeconomic Research

NBER Working Paper No. w26872
Number of pages: 52 Posted: 23 Mar 2020 Last Revised: 05 Jun 2022
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia University - Columbia Business School, Economics
Downloads 73 (593,555)

Abstract:

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28.

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 71 (602,678)
Citation 1

Abstract:

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prediction, forecasting, out-of-sample

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 66 (626,465)
Citation 6

Abstract:

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Prediction, forecasting, out-of-sample

30.
Downloads 64 (636,526)

Binary Conditional Forecasts

FRB St. Louis Working Paper No. 2019-29
Number of pages: 33 Posted: 24 Oct 2019
Michael W. McCracken, Joseph McGillicuddy and Michael Owyang
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of St. Louis - Research Division
Downloads 49 (737,786)

Abstract:

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Qual-VAR, recession, monetary policy, oil shocks

Binary Conditional Forecasts

FRB St. Louis Working Paper No. 2019-029
Number of pages: 33 Posted: 14 May 2021
Michael W. McCracken, Joseph McGillicuddy and Michael Owyang
Federal Reserve Banks - Federal Reserve Bank of St. Louis, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Federal Reserve Bank of St. Louis - Research Division
Downloads 15 (1,042,101)

Abstract:

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31.

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 64 (636,526)

Abstract:

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forecast averaging, real-time data, forecast accuracy

32.

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 64 (636,526)

Abstract:

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33.

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 59 (662,734)
Citation 6

Abstract:

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predictability, forecast accuracy, in-sample

34.

Diverging Tests of Equal Predictive Ability

FRB St. Louis Working Paper No. 2019-18
Number of pages: 4 Posted: 22 Oct 2019 Last Revised: 14 Mar 2020
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 58 (668,190)
Citation 2

Abstract:

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inference, out-of-sample, prediction

35.

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 57 (673,652)
Citation 1

Abstract:

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

36.

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 46 (740,562)

Abstract:

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forecasting, exchange rates, inference

37.

Tests of Conditional Predictive Ability: Existence, Size, and Power

FRB St. Louis Working Paper No. 2020-50
Number of pages: 16 Posted: 23 Dec 2020
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 44 (754,181)

Abstract:

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prediction, out-of-sample, inference

38.

Factor-Based Prediction of Industry-Wide Bank Stress

Sean Grover & Michael W. McCracken. "Factor-Based Prediction of Industry-Wide Bank Stress." Review, Vol. 96, Issue 2, pp. 173-193, 2014.
Number of pages: 22 Posted: 15 Mar 2021
Sean Grover and Michael W. McCracken
ProShares and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 37 (805,020)

Abstract:

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39.

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 33 (836,867)

Abstract:

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Structural change, Chow test, Predictive test, intercept correction