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Michael McCracken

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Personal Details

First Name: Michael
Middle Name:
Last Name: McCracken
Suffix:

RePEc Short-ID: pmc81

Email:
Homepage: http://research.stlouisfed.org/econ/mccracken/index.html
Postal Address:
Phone:

Affiliation

Research Division
Federal Reserve Bank of St. Louis
Location: St. Louis, Missouri (United States)
Homepage: http://research.stlouisfed.org/
Email:
Phone:
Fax: (314)444-8753
Postal: P.O. Box 442, St. Louis, MO 63166
Handle: RePEc:edi:efrblus (more details at EDIRC)

Works

as in new window

Working papers

  1. Todd E. Clark & Michael W. McCracken, 2013. "Evaluating the accuracy of forecasts from vector autoregressions," Working Papers 2013-010, Federal Reserve Bank of St. Louis.
  2. Michael W. McCracken, 2012. "Consistent testing for structural change at the ends of the sample," Working Papers 2012-029, Federal Reserve Bank of St. Louis.
  3. Michael W. McCracken, 2012. "Comment on "Taylor rule exchange rate forecasting during the financial crisis"," Working Papers 2012-030, Federal Reserve Bank of St. Louis.
  4. Michael W. McCracken & Giorgio Valente, 2012. "Testing the economic value of asset return predictability," Working Papers 2012-049, Federal Reserve Bank of St. Louis.
  5. Tucker McElroy & Michael W. McCracken, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
  6. Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
  7. Todd E. Clark & Michael W. McCracken, 2011. "Tests of equal forecast accuracy for overlapping models," Working Papers 2011-024, Federal Reserve Bank of St. Louis.
  8. Todd E. Clark & Michael W. McCracken, 2010. "Testing for unconditional predictive ability," Working Papers 2010-031, Federal Reserve Bank of St. Louis.
  9. Chanont Banternghansa & Michael W. McCracken, 2010. "Real-time forecast averaging with ALFRED," Working Papers 2010-033, Federal Reserve Bank of St. Louis.
  10. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
  11. Chanont Banternghansa & Michael W. McCracken, 2009. "Forecast disagreement among FOMC members," Working Papers 2009-059, Federal Reserve Bank of St. Louis.
  12. Todd E. Clark & Michael W. McCracken, 2009. "Nested forecast model comparisons: a new approach to testing equal accuracy," Research Working Paper RWP 09-11, Federal Reserve Bank of Kansas City.
  13. Todd E. Clark & Michael W. McCracken, 2009. "In-sample tests of predictive ability: a new approach," Research Working Paper RWP 09-10, Federal Reserve Bank of Kansas City.
  14. Todd E. Clark & Michael W. McCracken, 2007. "Forecasting with small macroeconomic VARs in the presence of instabilities," Finance and Economics Discussion Series 2007-41, Board of Governors of the Federal Reserve System (U.S.).
  15. Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
  16. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
  17. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City.
  18. Todd E. Clark & Michael W. McCracken, 2006. "Averaging forecasts from VARs with uncertain instabilities," Research Working Paper RWP 06-12, Federal Reserve Bank of Kansas City.
  19. Todd E. Clark & Michael W. McCracken, 2004. "Improving forecast accuracy by combining recursive and rolling forecasts," Research Working Paper RWP 04-10, Federal Reserve Bank of Kansas City.
  20. Michael W. McCracken & Todd E. Clark, 2003. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Computing in Economics and Finance 2003 183, Society for Computational Economics.
  21. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
  22. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  23. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems.
  24. Robledo, Carlos W. & Zapata, Hector O. & McCracken, Michael, 2001. "New Mse Tests For Evaluating Forecasting Performance: Empirics And Bootstrap," 2001 Annual meeting, August 5-8, Chicago, IL 20686, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  25. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
  26. West, K.D. & McCracken, M.W., 1997. "Regression-Based Tests of Predictive Ability," Working papers 9710, Wisconsin Madison - Social Systems.

Articles

  1. Michael W. McCracken, 2012. "Following the Fed with a news tracker," Economic Synopses, Federal Reserve Bank of St. Louis.
  2. Todd E. Clark & Michael W. McCracken, 2012. "Reality Checks and Comparisons of Nested Predictive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 30(1), pages 53-66, January.
  3. Michael W. McCracken, 2011. "Housing's role in a recovery," Economic Synopses, Federal Reserve Bank of St. Louis.
  4. Kevin L. Kliesen & Michael W. McCracken & Linpeng Zheng, 2011. "Initial claims and employment growth: are we at the threshold?," Economic Synopses, Federal Reserve Bank of St. Louis.
  5. Chanont Banternghansa & Michael W. McCracken, 2011. "Real-time forecast averaging with ALFRED," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 49-66.
  6. Michael W. McCracken, 2011. "Should food be excluded from core CPI?," Economic Synopses, Federal Reserve Bank of St. Louis.
  7. Michael W. McCracken, 2010. "Using FOMC forecasts to forecast the economy," Economic Synopses, Federal Reserve Bank of St. Louis.
  8. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
  9. Michael W. McCracken, 2010. "Using stock market liquidity to forecast recessions," Economic Synopses, Federal Reserve Bank of St. Louis.
  10. Michael W. McCracken, 2010. "Disagreement at the FOMC: the dissenting votes are just part of the story," The Regional Economist, Federal Reserve Bank of St. Louis, issue Oct, pages 10-16.
  11. Clark, Todd E. & McCracken, Michael W., 2009. "Tests of Equal Predictive Ability With Real-Time Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 441-454.
  12. Michael W. McCracken, 2009. "Uncertainty about when the Fed will raise interest rates," Economic Synopses, Federal Reserve Bank of St. Louis.
  13. Michael W. McCracken, 2009. "How accurate are forecasts in a recession?," National Economic Trends, Federal Reserve Bank of St. Louis, issue Feb.
  14. Todd E. Clark & Michael W. McCracken, 2009. "Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 363-395, 05.
  15. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, 06.
  16. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  17. Clark, Todd E. & McCracken, Michael W., 2006. "The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1127-1148, August.
  18. Michael McCracken, 2006. "Pairwise tests of equal forecast accuracy (in Russian)," Quantile, Quantile, issue 1, pages 53-62, September.
  19. Clark, Todd E. & McCracken, Michael W., 2005. "The power of tests of predictive ability in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 124(1), pages 1-31, January.
  20. Todd Clark & Michael McCracken, 2005. "Evaluating Direct Multistep Forecasts," Econometric Reviews, Taylor and Francis Journals, vol. 24(4), pages 369-404.
  21. McCracken, Michael W & Sapp, Stephen G, 2005. "Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your p's and q's!," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 473-94, June.
  22. McCracken, Michael W., 2004. "Parameter estimation and tests of equal forecast accuracy between non-nested models," International Journal of Forecasting, Elsevier, vol. 20(3), pages 503-514.
  23. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
  24. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December.
  25. West, Kenneth D & McCracken, Michael W, 1998. "Regression-Based Tests of Predictive Ability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-40, November.

Chapters

  1. Michael W. McCracken, 2012. "Comment on "Taylor Rule Exchange Rate Forecasting During the Financial Crisis"," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012 National Bureau of Economic Research, Inc.

NEP Fields

34 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (11) 2006-07-09 2007-09-24 2008-09-05 2009-09-11 2009-09-11 2009-10-31 2009-10-31 2010-01-16 2010-10-30 2011-10-09 2011-10-09. Author is listed
  2. NEP-ECM: Econometrics (25) 2000-01-31 2001-10-29 2002-10-18 2005-05-23 2006-04-01 2006-07-09 2006-11-25 2007-08-18 2007-09-24 2007-09-24 2007-10-06 2008-09-05 2009-09-11 2009-09-11 2009-10-31 2009-10-31 2010-10-16 2010-10-16 2010-10-30 2011-10-09 2011-10-09 2012-09-16 2012-11-11 2013-01-07 2013-03-23. Author is listed
  3. NEP-ETS: Econometric Time Series (25) 1999-07-12 2000-01-31 2001-10-29 2002-04-25 2002-10-18 2005-05-23 2006-04-01 2006-07-09 2006-11-25 2007-08-18 2007-09-24 2007-09-24 2007-10-06 2008-09-05 2008-09-05 2008-11-04 2009-09-11 2009-09-11 2009-10-31 2010-10-16 2010-10-16 2011-10-09 2011-10-09 2013-01-07 2013-03-23. Author is listed
  4. NEP-FIN: Finance (1) 2005-05-23
  5. NEP-FOR: Forecasting (26) 2006-04-01 2006-07-09 2006-11-25 2007-08-18 2007-09-24 2007-09-24 2007-10-06 2008-09-05 2008-09-05 2008-09-05 2008-11-04 2009-09-11 2009-09-11 2009-10-31 2009-10-31 2010-01-16 2010-10-16 2010-10-16 2010-10-30 2011-10-09 2011-10-09 2011-10-09 2012-09-30 2012-11-11 2013-01-07 2013-03-23. Author is listed
  6. NEP-MAC: Macroeconomics (7) 2006-07-09 2006-11-25 2007-08-18 2007-09-24 2007-09-24 2008-09-05 2010-01-16. Author is listed
  7. NEP-MIC: Microeconomics (1) 2009-09-11
  8. NEP-MON: Monetary Economics (2) 2010-01-16 2012-09-30
  9. NEP-MST: Market Microstructure (1) 2012-09-30
  10. NEP-ORE: Operations Research (2) 2008-09-05 2011-10-09

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Citations
  3. Number of Citations, Discounted by Citation Age
  4. Number of Citations, Weighted by Simple Impact Factor
  5. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Recursive Impact Factor
  7. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors
  9. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  10. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  11. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  14. h-index
  15. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  16. Number of Downloads through RePEc Services over the past 12 months
  17. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  18. Wu-Index

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