Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

411 Locust St

Saint Louis, MO 63011

United States

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 17,503

SSRN RANKINGS

Top 17,503

in Total Papers Downloads

2,171

CITATIONS
Rank 1,135

SSRN RANKINGS

Top 1,135

in Total Papers Citations

476

Scholarly Papers (29)

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 260 (94,653)
Citation 18

Abstract:

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 (564,400)
Citation 18

Abstract:

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 197 (112,967)
Citation 160

Abstract:

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 171 (138,041)
Citation 19

Abstract:

Forecast Evaluation, Prediction, Causality

4.

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 148 (152,464)
Citation 23

Abstract:

Phillips Curve, Forecasts, Causality, Break Test

5.
Downloads 147 (163,069)
Citation 4

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 97 (224,623)
Citation 4

Abstract:

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 50 (327,615)
Citation 4

Abstract:

Prediction, equal accuracy

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 111 (200,380)
Citation 4

Abstract:

Power, Structural Breaks, Forecast Evaluation, Model Selection

7.
Downloads 93 (229,598)
Citation 8

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 90 (236,241)
Citation 8

Abstract:

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 (546,860)
Citation 8

Abstract:

8.

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 83 (229,598)
Citation 18

Abstract:

Forecast combination, real-time data, structural change

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 38 (367,640)
Citation 6

Abstract:

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 37 (371,428)
Citation 6

Abstract:

mean square error, prediction, reality check

10.

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 74 (244,873)
Citation 10

Abstract:

Real-time Data, Prediction, Structural Change

11.

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 69 (266,296)

Abstract:

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

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 55 (260,089)

Abstract:

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

13.

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 44 (319,489)
Citation 11

Abstract:

Forecasting, Prediction, mean square error, causality

14.

Regression-Based Tests of Predictive Ability

NBER Working Paper No. t0226
Number of pages: 60 Posted: 12 Jul 2000
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 44 (340,378)
Citation 52

Abstract:

15.

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 42 (334,214)
Citation 4

Abstract:

Prediction, forecast evaluation, equal accuracy

16.
Downloads 40 (353,310)
Citation 132

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 21 (447,576)
Citation 132

Abstract:

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 19 (459,206)
Citation 132

Abstract:

overlapping models, prediction, out-of-sample

17.

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 37 (277,025)
Citation 4

Abstract:

Predictability, Forecast Accuracy, Testing

18.

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 36 (367,098)

Abstract:

19.

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 29 (325,308)
Citation 3

Abstract:

FOMC, forecast accuracy, forecast disagreement

20.

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 27 (378,206)
Citation 2

Abstract:

predictability, forecast accuracy, in-sample

21.

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 23 (417,898)

Abstract:

forecasting, exchange rates, inference

22.

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 19 (403,453)

Abstract:

prediction, forecasting, out-of-sample

23.

Fred-Md: A Monthly Database for Macroeconomic Research

FRB St Louis Paper No. 2015-012
Number of pages: 31 Posted: 19 Aug 2015
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 17 (378,206)

Abstract:

diffusion index, forecasting, big data, factors.

24.

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 17 (417,898)

Abstract:

forecast averaging, real-time data, forecast accuracy

25.

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 15 (374,425)

Abstract:

prediction, forecasting, out-of-sample

26.

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 10 (484,564)

Abstract:

Structural change, Chow test, Predictive test, intercept correction

27.

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
Buckingham Asset Management, LLC, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 0 (428,000)

Abstract:

28.

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

FRB St Louis Paper No. 2015-030
Number of pages: 36 Posted: 14 Oct 2015
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 0 (340,378)
Citation 1

Abstract:

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

29.

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
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 0 (474,333)

Abstract:

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