Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

411 Locust St

Saint Louis, MO 63011

United States

  • Federal Reserve Banks - Federal Reserve Bank of St. Louis

SCHOLARLY PAPERS

39

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Top 17,782

in Total Papers Downloads

6,043

TOTAL CITATIONS
Rank 2,307

SSRN RANKINGS

Top 2,307

in Total Papers Citations

517

Scholarly Papers (39)

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1.

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 443 (142,550)
Citation 242

Abstract:

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diffusion index, forecasting, big data, factors

2.

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 410 (155,509)

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Structural breaks, forecasting, model averaging

3.

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 373 (172,912)
Citation 84

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4.

Advances in Forecast Evaluation

Downloads 328 (198,994)
Citation 27

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 208 (314,366)
Citation 15

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 120 (507,062)
Citation 12

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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 314 (208,593)
Citation 16

Abstract:

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Forecast Evaluation, Prediction, Causality

6.

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

Downloads 281 (234,722)
Citation 15

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 143 (439,620)
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 138 (452,535)
Citation 1

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mean square error, prediction, reality check

7.

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 269 (245,411)

Abstract:

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

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 220 (299,328)
Citation 34

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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 203 (323,162)
Citation 3

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Predictability, Forecast Accuracy, Testing

10.

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 202 (324,568)

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

11.

Tests of Equal Forecast Accuracy for Overlapping Models

Downloads 180 (360,709)
Citation 4

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 127 (484,737)
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 53 (841,742)

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overlapping models, prediction, out-of-sample

12.

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 162 (397,857)

Abstract:

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13.

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 157 (406,519)
Citation 6

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Power, Structural Breaks, Forecast Evaluation, Model Selection

14.

Fred-Qd: A Quarterly Database for Macroeconomic Research

Downloads 151 (419,953)
Citation 4

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 110 (542,436)
Citation 4

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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 41 (947,725)

Abstract:

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big data, factors, forecasting

15.

Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Downloads 147 (429,259)
Citation 14

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 European Central Bank (ECB) - Directorate General Research
Downloads 69 (732,311)
Citation 14

Abstract:

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Stochastic volatility, survey forecasts, prediction

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 European Central Bank (ECB) - Directorate General Research
Downloads 51 (857,909)

Abstract:

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stochastic volatility, survey forecasts, fan charts

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 European Central Bank (ECB) - Directorate General Research
Downloads 27 (1,102,852)

Abstract:

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Stochastic Volatility, Survey Forecasts, Fan Charts

16.

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 137 (454,227)
Citation 11

Abstract:

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Real-time Data, Prediction, Structural Change

17.

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 136 (456,961)
Citation 13

Abstract:

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Forecast combination, real-time data, structural change

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 132 (468,182)
Citation 3

Abstract:

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FOMC, forecast accuracy, forecast disagreement

19.

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 127 (482,764)
Citation 2

Abstract:

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Forecast Combination, Predictability, Forecast Evaluation

20.

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 125 (488,786)
Citation 1

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

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 119 (507,647)
Citation 3

Abstract:

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prediction, forecasting, out-of-sample

22.

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 112 (531,524)

Abstract:

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

23.

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 103 (565,584)
Citation 2

Abstract:

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Prediction, forecast evaluation, equal accuracy

24.

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 96 (593,334)

Abstract:

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25.

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 96 (593,334)
Citation 2

Abstract:

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inference, out-of-sample, prediction

26.

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 95 (597,240)
Citation 1

Abstract:

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prediction, out-of-sample, inference

27.

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 93 (605,338)
Citation 1

Abstract:

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prediction, forecasting, out-of-sample

28.

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 91 (613,630)
Citation 7

Abstract:

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29.

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 88 (626,492)
Citation 7

Abstract:

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Forecasting, Prediction, mean square error, causality

30.

Binary Conditional Forecasts

Downloads 86 (635,467)
Citation 1

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 63 (769,761)

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 23 (1,154,281)
Citation 1

Abstract:

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31.

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 77 (677,783)
Citation 7

Abstract:

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predictability, forecast accuracy, in-sample

32.

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 75 (687,924)
Citation 6

Abstract:

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Prediction, forecasting, out-of-sample

33.

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 75 (687,924)

Abstract:

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forecast averaging, real-time data, forecast accuracy

34.

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 71 (709,283)

Abstract:

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35.

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 65 (743,754)

Abstract:

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prediction, out-of-sample, inference

36.

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 65 (743,754)
Citation 1

Abstract:

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

37.

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 50 (847,581)

Abstract:

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forecasting, exchange rates, 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 46 (880,427)

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 43 (906,757)

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Structural change, Chow test, Predictive test, intercept correction