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Information about:
Michael McCracken

Personal Details | Affiliation | Works
This is information that was supplied by Michael McCracken in registering through RePEc. If you are Michael McCracken , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Michael
Middle Name:
Last Name: McCracken
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RePEc Short-ID: pmc81

Email:
Homepage: http://research.stlouisfed.org/econ/mccracken/index.html
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Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Citations, Weighted by Simple Impact Factor
  2. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  3. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  4. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  6. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  7. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  8. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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. [Downloadable!]
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  2. 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. [Downloadable!]
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  3. 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.). [Downloadable!]

  4. 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. [Downloadable!]
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  5. 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. [Downloadable!]

  6. Todd E. Clark & Michael W. McCracken, 2006. "Combining forecasts from nested models," Research Working Paper RWP 06-02, Federal Reserve Bank of Kansas City. [Downloadable!]
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  7. 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. [Downloadable!]
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  8. 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. [Downloadable!]
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  9. 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.
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  10. 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. [Downloadable!]

  11. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City. [Downloadable!]

  12. McCracken,M.W. & West,K.D., 2001. "Inference about predictive ability," Working papers 14, Wisconsin Madison - Social Systems. [Downloadable!]

  13. 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). [Downloadable!]

  14. 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. [Downloadable!]
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  15. West, K.D. & McCracken, M.W., 1997. "Regression-Based Tests of Predictive Ability," Working papers 9710, Wisconsin Madison - Social Systems. [Downloadable!]
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Articles

  1. Michael W. McCracken, 2009. "Uncertainty about when the Fed will raise interest rates," Economic Synopses, Federal Reserve Bank of St. Louis. [Downloadable!]

  2. Michael W. McCracken, 2009. "How accurate are forecasts in a recession?," National Economic Trends, Federal Reserve Bank of St. Louis, issue Feb. [Downloadable!]

  3. 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. [Downloadable!] (restricted)
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  4. 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. [Downloadable!] (restricted)
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  5. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October. [Downloadable!] (restricted)

  6. 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. [Downloadable!] (restricted)
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  7. Michael McCracken, 2006. "Pairwise tests of equal forecast accuracy (in Russian)," Quantile, Quantile, issue 1, pages 53-62, September. [Downloadable!]

  8. 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. [Downloadable!] (restricted)

  9. 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.

  10. 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. [Downloadable!] (restricted)

  11. 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. [Downloadable!] (restricted)
    Other versions:

  12. Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December. [Downloadable!] (restricted)

  13. 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.
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NEP Fields

19 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (5) 2006-07-09 2007-09-24 2008-09-05 2009-09-11 2009-09-11 Author is listed
  2. NEP-ECM: Econometrics (14) 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 Author is listed
  3. NEP-ETS: Econometric Time Series (18) 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 Author is listed
  4. NEP-FIN: Finance (1) 2005-05-23
  5. NEP-FOR: Forecasting (13) 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 Author is listed
  6. NEP-MAC: Macroeconomics (6) 2006-07-09 2006-11-25 2007-08-18 2007-09-24 2007-09-24 2008-09-05 Author is listed
  7. NEP-MIC: Microeconomics (1) 2009-09-11
  8. NEP-ORE: Operations Research (1) 2008-09-05
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This page was last updated on 2009-11-4.

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