Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

411 Locust St

Saint Louis, MO 63011

United States

SCHOLARLY PAPERS

38

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Top 18,931

in Total Papers Downloads

3,214

SSRN CITATIONS
Rank 2,533

SSRN RANKINGS

Top 2,533

in Total Papers Citations

319

CROSSREF CITATIONS

202

Scholarly Papers (38)

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 297 (124,426)

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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 (806,461)
Citation 5
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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 291 (127,790)
Citation 84

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3.
Downloads 225 (165,329)
Citation 14

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 147 (241,206)
Citation 8

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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 78 (375,371)
Citation 8

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Prediction, equal accuracy

4.

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 218 (170,330)
Citation 16

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Forecast Evaluation, Prediction, Causality

5.

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 175 (207,820)
Citation 34

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Phillips Curve, Forecasts, Causality, Break Test

6.

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

FRB St. Louis Working Paper No. 2015-30
Number of pages: 36 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 132 (261,926)

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

7.

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 124 (274,528)
Citation 6

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Power, Structural Breaks, Forecast Evaluation, Model Selection

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 82 (364,270)
Citation 14

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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 40 (517,975)
Citation 1

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mean square error, prediction, reality check

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 116 (288,046)
Citation 4

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Predictability, Forecast Accuracy, Testing

10.

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 Business School - Economics Department
Downloads 113 (293,304)
Citation 86

Abstract:

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diffusion index, forecasting, big data, factors.

11.

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
ProShare Advisors, Federal Reserve Bank of St. Louis - Research Division and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 104 (310,625)

Abstract:

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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 Institute for Monetary and Financial Research (HKIMR)
Downloads 100 (318,859)

Abstract:

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

13.
Downloads 100 (318,859)
Citation 2

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 97 (327,492)
Citation 2

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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 (782,072)
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14.

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 99 (320,948)
Citation 13

Abstract:

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Forecast combination, real-time data, structural change

15.

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 95 (329,496)
Citation 9

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Real-time Data, Prediction, Structural Change

16.

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 90 (340,965)
Citation 1

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

17.

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 80 (366,097)
Citation 3

Abstract:

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FOMC, forecast accuracy, forecast disagreement

18.

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 68 (400,768)
Citation 2

Abstract:

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Prediction, forecast evaluation, equal accuracy

19.

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 67 (403,943)
Citation 3

Abstract:

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prediction, forecasting, out-of-sample

20.

Regression-Based Tests of Predictive Ability

NBER Working Paper No. t0226
Number of pages: 60 Posted: 12 Jul 2000 Last Revised: 14 Feb 2021
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 58 (434,264)
Citation 7

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21.

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 57 (437,907)
Citation 7

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Forecasting, Prediction, mean square error, causality

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 Deutsche Bundesbank
Downloads 30 (572,801)

Abstract:

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stochastic volatility, survey forecasts, fan charts

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 Deutsche Bundesbank
Downloads 13 (697,534)
Citation 10

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Stochastic volatility, survey forecasts, prediction

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 Deutsche Bundesbank
Downloads 10 (722,302)

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Stochastic Volatility, Survey Forecasts, Fan Charts

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 27 (592,203)

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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 23 (620,377)
Citation 1

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overlapping models, prediction, out-of-sample

24.

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 46 (480,591)

Abstract:

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25.

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 40 (507,213)
Citation 5

Abstract:

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predictability, forecast accuracy, in-sample

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 39 (511,814)
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 37 (521,349)
Citation 1

Abstract:

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prediction, forecasting, out-of-sample

28.

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 34 (536,570)
Citation 2

Abstract:

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Prediction, forecasting, out-of-sample

29.

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 31 (552,487)

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forecasting, exchange rates, inference

30.

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 31 (552,487)

Abstract:

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forecast averaging, real-time data, forecast accuracy

31.

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 26 (582,123)
Citation 1

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

32.
Downloads 23 (601,584)

Binary Conditional Forecasts

FRB St. Louis Working Paper No. 2019-29
Number of pages: 31 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 20 (642,643)

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 3 (782,072)

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33.

Tests of Conditional Predictive Ability: A Comment

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 17 (642,680)

Abstract:

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prediction, out-of-sample, inference

Fred-Qd: A Quarterly Database for Macroeconomic Research

FRB St. Louis Working Paper No. 2020-005
Number of pages: 52 Posted: 29 Apr 2020
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 9 (730,642)

Abstract:

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forecasting, factors, big data

FRED-QD: A Quarterly Database for Macroeconomic Research

FRB of St. Louis Working Paper No. Forthcoming
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 Business School - Economics Department
Downloads 7 (747,298)

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35.

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 16 (649,773)

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Structural change, Chow test, Predictive test, intercept correction

36.

Tests of Conditional Predictive Ability: Existence, Size, and Power

FRB St. Louis Working Paper No. 2020-050
Number of pages: 16 Posted: 23 Dec 2020
Michael W. McCracken
Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 9 (702,346)

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37.

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
ProShare Advisors and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Downloads 7 (717,655)

Abstract:

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38.

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 2021
Michael W. McCracken and Serena Ng
Federal Reserve Banks - Federal Reserve Bank of St. Louis and Columbia Business School - Economics Department
Downloads 7 (717,655)
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