Tucker McElroy

U.S. Census Bureau - Center for Statistical Research and Methodology

4600 Silver Hill Road

Washington, DC 20233-9100

United States

SCHOLARLY PAPERS

14

DOWNLOADS

312

SSRN CITATIONS
Rank 25,330

SSRN RANKINGS

Top 25,330

in Total Papers Citations

8

CROSSREF CITATIONS

24

Scholarly Papers (14)

1.

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 88 (310,748)
Citation 1

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

2.

Expectation Formation Following Large Unexpected Shocks

Review of Economics and Statistics, Forthcoming
Number of pages: 56 Posted: 19 Mar 2018 Last Revised: 16 Apr 2020
Scott R. Baker, Tucker McElroy and Xuguang Simon Sheng
Northwestern University, Kellogg School of Management, Department of Finance, U.S. Census Bureau - Center for Statistical Research and Methodology and American University
Downloads 58 (390,989)
Citation 2

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Expectation Formation, Heterogeneous Agents, Information Rigidity, Learning, Natural Disasters, Uncertainty Shock

3.

Continuous Time Extraction of a Nonstationary Signal with Illustrations in Continuous Low-Pass and Band-Pass Filtering

FEDS Working Paper No. 2007-68
Number of pages: 34 Posted: 17 Jul 2008
Tucker McElroy and Thomas M. Trimbur
U.S. Census Bureau - Center for Statistical Research and Methodology and University of Cambridge - Faculty of Economics and Politics
Downloads 45 (437,062)

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Continuous time processes, cycles, Hodrick-Prescott filter, linear filtering, signal extraction, turning points

4.

The Term Structure of Uncertainty: New Evidence from Survey Expectations

Number of pages: 49 Posted: 06 Aug 2019 Last Revised: 07 May 2020
Carola Binder, Tucker McElroy and Xuguang Simon Sheng
Haverford College - Department of Economics, U.S. Census Bureau - Center for Statistical Research and Methodology and American University
Downloads 34 (483,911)

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Density Forecasts, Perceived Persistence, Term Structure, Subjective Uncertainty

5.

Signal Extraction for Nonstationary Multivariate Time Series with Illustrations for Trend Inflation

FEDS Working Paper No. 2012-45
Number of pages: 45 Posted: 20 Dec 2012
Tucker McElroy and Thomas M. Trimbur
U.S. Census Bureau - Center for Statistical Research and Methodology and University of Cambridge - Faculty of Economics and Politics
Downloads 30 (503,625)
Citation 4

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co-integration, common trends, filters, multivariate models, stochastic trends, unobserved components

6.

The Multivariate Bullwhip Effect

Gabelli School of Business, Fordham University Research Paper No. 2865975
Number of pages: 38 Posted: 08 Nov 2016
Chaitra Nagaraja and Tucker McElroy
Fordham University - Gabelli School of Business and U.S. Census Bureau - Center for Statistical Research and Methodology
Downloads 25 (531,382)

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Supply Chain Management, Multivariate Time Series, Cross-Correlated Demand

7.

Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence

US Census Bureau Center for Economic Studies Paper No. CES-WP-17-11
Number of pages: 72 Posted: 27 Jan 2017
Henry R. Hyatt and Tucker McElroy
U.S. Census Bureau - Center for Economic Studies and U.S. Census Bureau - Center for Statistical Research and Methodology
Downloads 20 (562,167)

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8.

Exact Formulas for the Hodrick-Prescott Filter

Econometrics Journal, Vol. 11, Issue 1, pp. 209-217, February 2008
Number of pages: 9 Posted: 29 Feb 2008
Tucker McElroy
U.S. Census Bureau - Center for Statistical Research and Methodology
Downloads 8 (642,070)
Citation 3
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9.

Subsampling Inference for the Mean of Heavy‐Tailed Long‐Memory Time Series

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 96-111, 2012
Number of pages: 16 Posted: 28 Dec 2011
Agnieszka Jach, Tucker McElroy and Dimitris N. Politis
Hanken School of Economics, U.S. Census Bureau - Center for Statistical Research and Methodology and University of California, San Diego (UCSD) - Department of Mathematics
Downloads 3 (678,654)
Citation 2
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Infinite variance, self‐normalization, subsampling, weak dependence, adaptive block size

10.

The Inverse Kullback–Leibler Method for Fitting Vector Moving Averages

Journal of Time Series Analysis, Vol. 39, Issue 2, pp. 172-191, 2018
Number of pages: 20 Posted: 14 Feb 2018
Tucker McElroy and Anindya Roy
U.S. Census Bureau - Center for Statistical Research and Methodology and U.S. Census Bureau
Downloads 1 (700,911)
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Spectral factorization, stability, vector autoregression

11.

Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence

LABOUR, Vol. 33, Issue 4, pp. 463-487, 2019
Number of pages: 25 Posted: 28 May 2020
Henry Hyatt and Tucker McElroy
U.S. Census Bureau and U.S. Census Bureau - Center for Statistical Research and Methodology
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12.

Recursive Computation for Block‐Nested Covariance Matrices

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 299-312, 2018
Number of pages: 14 Posted: 16 Apr 2018
Tucker McElroy
U.S. Census Bureau - Center for Statistical Research and Methodology
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Innovations algorithm, Levinson–Durbin algorithm, likelihood evaluation, spectral factorization, Whittle likelihood

13.

Signal Extraction for Non‐Stationary Multivariate Time Series with Illustrations for Trend Inflation

Journal of Time Series Analysis, Vol. 36, Issue 2, pp. 209-227, 2015
Number of pages: 19 Posted: 13 Feb 2015
Tucker McElroy
U.S. Census Bureau - Center for Statistical Research and Methodology
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co‐integration, common trends, filters, multivariate models, stochastic trends, unobserved components

14.

Subsampling Inference for the Autocovariances and Autocorrelations of Long‐Memory Heavy‐Tailed Linear Time Series

Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 935-953, 2012
Number of pages: 19 Posted: 17 Oct 2012
Tucker McElroy and Agnieszka Jach
U.S. Census Bureau - Center for Statistical Research and Methodology and Hanken School of Economics
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Linear time series, parameter‐dependent convergence rates, self‐normalization, subsampling confidence intervals