Michael Peter Clements : Citation Profile


Are you Michael Peter Clements?

University of Reading

29

H index

54

i10 index

3003

Citations

RESEARCH PRODUCTION:

86

Articles

89

Papers

3

Books

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   34 years (1986 - 2020). See details.
   Cites by year: 88
   Journals where Michael Peter Clements has often published
   Relations with other researchers
   Recent citing documents: 287.    Total self citations: 81 (2.63 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pcl24
   Updated: 2020-08-01    RAS profile: 2020-07-06    
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Relations with other researchers


Works with:

Galvão, Ana (5)

Castle, Jennifer (5)

Hendry, David (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Peter Clements.

Is cited by:

Marcellino, Massimiliano (129)

Hendry, David (121)

Pesaran, M (58)

Ericsson, Neil (50)

Swanson, Norman (48)

Timmermann, Allan (41)

Castle, Jennifer (39)

GUPTA, RANGAN (38)

Ferrara, Laurent (38)

Ravazzolo, Francesco (38)

muellbauer, john (37)

Cites to:

Hendry, David (119)

Croushore, Dean (110)

Diebold, Francis (70)

West, Kenneth (37)

Watson, Mark (36)

Timmermann, Allan (34)

Bollerslev, Tim (32)

McCracken, Michael (31)

Mankiw, N. Gregory (30)

Stock, James (28)

Pesaran, M (28)

Main data


Where Michael Peter Clements has published?


Journals with more than one article published# docs
International Journal of Forecasting22
Journal of Applied Econometrics7
Oxford Review of Economic Policy6
Journal of Business & Economic Statistics4
Econometrics Journal4
Oxford Bulletin of Economics and Statistics3
Economic Journal3
Empirical Economics3
European Economic Review3
Computational Statistics & Data Analysis2
Journal of Forecasting2
Journal of Business & Economic Statistics2
Journal of Money, Credit and Banking2
Journal of Forecasting2
Scottish Journal of Political Economy2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics25
Economic Research Papers / University of Warwick - Department of Economics24
ICMA Centre Discussion Papers in Finance / Henley Business School, Reading University16
Economics Series Working Papers / University of Oxford, Department of Economics13

Recent works citing Michael Peter Clements (2020 and 2019)


YearTitle of citing document
2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2020“Measuring and assessing economic uncertainty”. (2020). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:202003.

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2017Empirical analysis of daily cash flow time series and its implications for forecasting. (2017). Salas-Molina, Francisco ; Martin, Francisco J ; Serra, Joan ; Rodr, Juan A. In: Papers. RePEc:arx:papers:1611.04941.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2018Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807.

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2020Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction. (2019). Mogliani, Matteo. In: Papers. RePEc:arx:papers:1903.08025.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2019Boosting High Dimensional Predictive Regressions with Time Varying Parameters. (2019). Ng, Serena ; Yousuf, Kashif. In: Papers. RePEc:arx:papers:1910.03109.

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2019Adaptive Dynamic Model Averaging with an Application to House Price Forecasting. (2019). Pavlidis, Efthymios ; Yusupova, Alisa . In: Papers. RePEc:arx:papers:1912.04661.

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2020The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation. (2020). Pohle, Marc-Oliver. In: Papers. RePEc:arx:papers:2005.01835.

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2020The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2018‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios. (2018). Conrad, Christian ; Glas, Alexander. In: Working Papers. RePEc:awi:wpaper:0655.

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2019Quantifying subjective oncertainty in survey expectations. (2019). Pavlova, Lora ; Kruger, Fabian. In: Working Papers. RePEc:awi:wpaper:0664.

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2017A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth. (2017). Cheung, Calista ; Chernis, Tony ; Velasco, Gabriella . In: Discussion Papers. RePEc:bca:bocadp:17-8.

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2018Monetary Policy Uncertainty: A Tale of Two Tails. (2018). Sekhposyan, Tatevik ; Dahlhaus, Tatjana. In: Staff Working Papers. RePEc:bca:bocawp:18-50.

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2019From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts. (2019). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1947.

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2017The cyclicality of the income elasticity of trade. (2017). Sbracia, Massimo ; Mancini, Michele ; di Nino, Virginia ; DiNino, Virginia ; Borin, Alessandro. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1126_17.

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2020The non-linear effects of the Feds asset purchases. (2020). Anzuini, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1280_20.

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2017Are daily financial data useful for forecasting GDP? Evidence from Mexico. (2017). Ibarra, Raul ; Luis, Gomez-Zamudio. In: Working Papers. RePEc:bdm:wpaper:2017-17.

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2019Bayesian MIDAS penalized regressions: estimation, selection, and prediction. (2019). Mogliani, Matteo. In: Working papers. RePEc:bfr:banfra:713.

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2020From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: Working Papers. RePEc:bge:wpaper:1142.

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2019Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2019). Rossi, Barbara. In: Working Papers. RePEc:bge:wpaper:1162.

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2019Forecasting Quarterly Russian GDP Growth with Mixed-Frequency Data. (2019). Mikosch, Heiner ; Solanko, Laura. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:78:y:2019:i:1:p:19-35.

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2018Inattention, Disagreement and Internal (In)Consistency of Inflation Forecasts. (2018). Borraz, Fernando ; Zacheo, Laura. In: Documentos de trabajo. RePEc:bku:doctra:2018007.

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2018Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750.

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2020Economic uncertainty, ownership structure and small and medium enterprises performance. (2020). Doan, Anhtuan ; Tran, Quan ; Le, Anhtuan. In: Australian Economic Papers. RePEc:bla:ausecp:v:59:y:2020:i:2:p:102-137.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2017Should we sample a time series more frequently?: decision support via multirate spectrum estimation. (2017). Nason, Guy P ; Smith, Paul A ; Elliott, Duncan ; Powell, Ben. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:180:y:2017:i:2:p:353-407.

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2020A similarity‐based approach for macroeconomic forecasting. (2020). Marcellino, Massimiliano ; Dendramis, Y ; Kapetanios, G. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:183:y:2020:i:3:p:801-827.

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2017Semicoherent Multipopulation Mortality Modeling: The Impact on Longevity Risk Securitization. (2017). Li, Johnny Siu-Hang ; Zhou, Rui ; Chan, Wai-Sum. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:3:p:1025-1065.

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2017Partial Structural Break Identification. (2017). Taamouti, Abderrahim ; Han, Chulwoo. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:2:p:145-164.

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2020Real‐Time Fiscal Forecasting Using Mixed‐Frequency Data. (2020). Paredes, Joan ; Asimakopoulos, Stylianos ; Warmedinger, Thomas. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:369-390.

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2017The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities. (2017). Tsang, Andrew ; Funke, Michael ; Loermann, Julius. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_015.

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2017Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators. (2017). Solanko, Laura ; Mikosch, Heiner. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_019.

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2019Assessing reliability of aggregated inflation views in the European Commission consumer survey. (2019). Stanisławska, Ewa ; Łyziak, Tomasz ; Paloviita, Maritta ; Stanisawska, Ewa. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_010.

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2018Nowcasting Japanese GDPs. (2018). Kido, Yosuke ; Hirakata, Naohisa ; Kyosuke, Naohisa Hirakata. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e18.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2019Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2019-002.

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2019Density Forecasting. (2019). Ravazzolo, Francesco ; Casarin, Roberto ; Bassetti, Federico. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps59.

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2017Is Something Really Wrong with Macroeconomics?. (2017). Reis, Ricardo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6446.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6968.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7023.

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2019Uncertainty Shocks and Financial Crisis Indicators. (2019). Roth, Markus ; Hristov, Nikolay. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7839.

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2017Is Something Really Wrong with Macroeconomics?. (2017). Reis, Ricardo. In: Discussion Papers. RePEc:cfm:wpaper:1713.

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2017An Overview of Inflation-Targeting Frameworks: Institutional Arrangements, Decision-making, & the Communication of Monetary Policy. (2017). Pérez, Andrés ; Naudon, Alberto. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:811.

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2019Identification des points de retournement du cycle économique au Canada. (2019). Kotchoni, Rachidi ; Surprenant, Stephane ; Stevanovic, Dalibor. In: CIRANO Project Reports. RePEc:cir:cirpro:2019rp-05.

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2019Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia. (2019). Enciso, Enrique Lopez. In: Tiempo y Economía. RePEc:col:000485:017226.

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2017Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer?. (2017). Ball, Ryan ; Ghysels, Eric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12179.

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2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model. (2017). Ravazzolo, Francesco ; Marcellino, Massimiliano ; Foroni, Claudia ; Casarin, Roberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12339.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2020From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts. (2020). Sekhposyan, Tatevik ; Rossi, Barbara ; Ganics, Gergely. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14267.

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2020A Similarity-based Approach for Macroeconomic Forecasting. (2020). Dendramis, Yiannis ; Kapetanios, George ; Marcellino, Massimiliano. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14469.

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2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

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2020Macroeconomic Conditions and Health in Britain: Aggregation, Dynamics and Local Area Heterogeneity. (2020). Janke, Katharina ; Lee, Kevin ; Propper, Carol ; Shields, Kalvinder K. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14507.

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2017BIAS correction for dynamic factor models. (2017). Bastos, Guadalupe ; Garcia-Martos, Carolina ; Alonso, Andres Modesto . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029.

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2019Prediction regions for interval-valued time series. (2019). Gonzalez-Rivera, Gloria ; Luo, Yun ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29054.

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2017Improving the Predictive ability of oil for inflation: An ADL-MIDAS Approach.. (2017). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0025.

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2018On the Persistence of UK Inflation: A Long-Range Dependence Approach. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Trani, Tommaso. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1731.

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2019Inflation expectations anchoring: new insights from micro evidence of a survey at high-frequency and of distributions. (2019). Moessner, Richhild ; Galati, Gabriele ; Teppa, Federica ; Apokoritis, Nikos. In: DNB Working Papers. RePEc:dnb:dnbwpp:652.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2018Mixed frequency models with MA components. (2018). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20182206.

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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2019An analysis of the Eurosystem/ECB projections. (2019). Lambrias, Kyriacos ; Kontogeorgos, Georgios. In: Working Paper Series. RePEc:ecb:ecbwps:20192291.

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2020Forecast performance in the ECB SPF: ability or chance?. (2020). Meyler, Aidan. In: Working Paper Series. RePEc:ecb:ecbwps:20202371.

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2019Industrial growth and consumer goods inflation in Mexico: an econometric analysis. (2019). Villarreal, Cuauhtemoc Calderon ; Cuevas, Victor M. In: Revista CEPAL. RePEc:ecr:col070:45414.

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2019The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378.

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2019Does a financial accelerator improve forecasts during financial crises? Evidence from Japan with prediction-pooling methods. (2019). Iiboshi, Hirokuni ; Nakamura, Daisuke ; Matsumae, Tatsuyoshi ; Hasumi, Ryo. In: Journal of Asian Economics. RePEc:eee:asieco:v:60:y:2019:i:c:p:45-68.

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2018Multivariate specification tests based on a dynamic Rosenblatt transform. (2018). Kheifets, Igor L. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:124:y:2018:i:c:p:1-14.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2017Measurement errors and monetary policy: Then and now. (2017). Wang, Mu-Chun ; Amir Ahmadi, Pooyan ; Matthes, Christian ; Amir-Ahmadi, Pooyan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:66-78.

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2018The macroeconomic and fiscal implications of inflation forecast errors. (2018). Tavlas, George ; Gibson, Heather ; Hall, Stephen G ; Dellas, Harris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:203-217.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2018Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate. (2018). Soybilgen, Baris ; Yazgan, Ege . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:99-108.

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2018Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth. (2018). Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia ; Zhuo, Xingxuan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:221-236.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2020Is inflation driven by survey-based, VAR-based or myopic expectations? An empirical assessment from US real-time data. (2020). Bec, Frédérique ; Kanda, Patrick. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305436.

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2017Data revisions and DSGE models. (2017). Galvão, Ana ; Galvo, Ana Beatriz. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:215-232.

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2019Alternative tests for correct specification of conditional predictive densities. (2019). Sekhposyan, Tatevik ; Rossi, Barbara. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:638-657.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Bauwens, Luc ; Storti, Giuseppe ; Braione, Manuela. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2019Estimating MIDAS regressions via OLS with polynomial parameter profiling. (2019). Ghysels, Eric ; Qian, Hang. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:1-16.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2019Structural combination of seasonal exponential smoothing forecasts applied to load forecasting. (2019). de Menezes, Lilian M ; Rendon-Sanchez, Juan F. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:916-924.

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2019Forecasting retailer product sales in the presence of structural change. (2019). Fildes, Robert ; Huang, Tao ; Soopramanien, Didier. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:2:p:459-470.

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2017Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models. (2017). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:337-348.

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2017Forecasting quantiles of day-ahead electricity load. (2017). Clements, Adam ; Li, Z ; Hurn, A S. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:60-71.

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2018Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model. (2018). Pan, Zhiyuan ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:177-187.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2019Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models. (2019). Wang, Jin-Li ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:192-201.

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2019Russian gas exchange: A new indicator of market efficiency and competition or the instrument of monopolist?. (2019). Tukpetov, Pavel ; Parsegov, Sergei G ; Talipova, Aminam. In: Energy Policy. RePEc:eee:enepol:v:135:y:2019:i:c:s0301421519305993.

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2018Oil price forecasting using a hybrid model. (2018). Safari, Ali ; Davallou, Maryam. In: Energy. RePEc:eee:energy:v:148:y:2018:i:c:p:49-58.

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2019Forecasting stock returns with cycle-decomposed predictors. (2019). Ma, Feng ; Yi, Yongsheng ; Huang, Dengshi ; Zhang, Yaojie. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:250-261.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues. (2017). Thomakos, Dimitrios ; Papailias, Fotis. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:214-229.

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2017An investigation of dependence in expert judgement studies with multiple experts. (2017). Wilson, Kevin J. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:325-336.

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2017Model Confidence Sets and forecast combination. (2017). Samuels, Jon D ; Sekkel, Rodrigo M. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:48-60.

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More than 100 citations found, this list is not complete...

Michael Peter Clements has edited the books:


YearTitleTypeCited

Works by Michael Peter Clements:


YearTitleTypeCited
1996MULTI-STEP ESTIMATION FOR FORECASTING In: Economic Research Papers.
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paper77
1996Multi-step Estimation for Forecasting..(1996) In: Oxford Bulletin of Economics and Statistics.
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This paper has another version. Agregated cites: 77
article
1996Multi-Step Estimation for Forecasting.(1996) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 77
paper
1996Evaluating the rationality of fixed-event forecasts In: Economic Research Papers.
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paper4
1996Evaluating the Rationality of Fixed-Event Forecasts..(1996) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 4
paper
1996The Performance of Alternative Forecasting Methods for SETAR Models In: Economic Research Papers.
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paper61
1997The performance of alternative forecasting methods for SETAR models.(1997) In: International Journal of Forecasting.
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article
1996Performance of Alternative Forecasting Methods for Setar Models.(1996) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 61
paper
1997FORECASTING SEASONAL UK CONSUMPTION COMPONENTS In: Economic Research Papers.
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paper0
1997Forecasting Seasonal UK Consumption Components.(1997) In: Economic Research Papers.
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paper
1997Forecasting Seasonal UK Consumption Components.(1997) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1997Forecasting Seasonal UK Consumption Components.(1997) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 0
paper
1997SEASONALITY, COINTEGRATION, AND THE FORECASTING OF ENERGY DEMAND In: Economic Research Papers.
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paper0
1997Seasonality, Cointegration, and the Forecasting of Energy Demand.(1997) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1997A COMPARISON OF THE FORECAST PERFORMANCE OF MARKOV-SWITCHING AND THRESHOLD AUTOREGRESSIVE MODELS OF US GNP In: Economic Research Papers.
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paper92
1998A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP.(1998) In: Econometrics Journal.
[Citation analysis]
This paper has another version. Agregated cites: 92
article
1998NON-LINEARITIES IN EXCHANGE RATES In: Economic Research Papers.
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paper4
1998Non-Linearities in Exchange Rates.(1998) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1998EVALUATING THE FORECAST DENSITIES OF LINEAR AND NON-LINEAR MODELS: APPLICATIONS TO OUTPUT GROWTH AND UNEMPLOYMENT In: Economic Research Papers.
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paper35
1998Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment..(1998) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
1998FORECASTING WITH DIFFERENCE-STATIONARY AND TREND-STATIONARY MODELS In: Economic Research Papers.
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paper37
2001Forecasting with difference-stationary and trend-stationary models.(2001) In: Econometrics Journal.
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This paper has another version. Agregated cites: 37
article
2000Forecasting with Difference-Stationary and Trend-Stationary Models.(2000) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 37
paper
1998Forecasting with Difference-Stationary and Trend-Stationary Models..(1998) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 37
paper
1998Business Cycle Asymmetries: Characterisation and Testing based on Markov-Switching Autoregressions In: Economic Research Papers.
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paper76
2003Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions..(2003) In: Journal of Business & Economic Statistics.
[Citation analysis]
This paper has another version. Agregated cites: 76
article
1999Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression..(1999) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 76
paper
2006Internal consistency of survey respondentsíforecasts: Evidence based on the Survey of Professional Forecasters In: Economic Research Papers.
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paper0
2006Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters.(2006) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2006Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation. In: Economic Research Papers.
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paper10
2006Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation..(2006) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2006Forecast Encompassing Tests and Probability Forecasts In: Economic Research Papers.
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paper12
2010Forecast encompassing tests and probability forecasts.(2010) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 12
article
2006Forecast Encompassing Tests and Probability Forecasts.(2006) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 12
paper
2006Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility In: Economic Research Papers.
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paper67
2008Quantile forecasts of daily exchange rate returns from forecasts of realized volatility.(2008) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 67
article
2006Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility.(2006) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 67
paper
2008Rounding of probability forecasts: The SPF forecast probabilities of negative output growth In: Economic Research Papers.
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paper0
2008Rounding of probability forecasts : The SPF forecast probabilities of negative output growth.(2008) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2008Explanations of the inconsistencies in survey respondents forecasts In: Economic Research Papers.
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paper15
2010Explanations of the inconsistencies in survey respondents forecasts.(2010) In: European Economic Review.
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article
2008Explanations of the inconsistencies in survey respondentsforecasts.(2008) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2012Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth In: Economic Research Papers.
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paper0
2012Subjective and Ex Post Forecast Uncertainty : US Inflation and Output Growth.(2012) In: The Warwick Economics Research Paper Series (TWERPS).
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2012US inflation expectations and heterogeneous loss functions, 1968–2010 In: Economic Research Papers.
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2014US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010.(2014) In: Journal of Forecasting.
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article
2012US inflation expectations and heterogeneous loss functions, 1968–2010.(2012) In: The Warwick Economics Research Paper Series (TWERPS).
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2012Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation In: Economic Research Papers.
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paper11
2014Probability distributions or point predictions? Survey forecasts of US output growth and inflation.(2014) In: International Journal of Forecasting.
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article
2012Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation.(2012) In: The Warwick Economics Research Paper Series (TWERPS).
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2011Do Professional Forecasters Pay Attention to Data Releases? In: Economic Research Papers.
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paper7
2012Do professional forecasters pay attention to data releases?.(2012) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 7
article
2011Do Professional Forecasters Pay Attention to Data Releases?.(2011) In: The Warwick Economics Research Paper Series (TWERPS).
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This paper has another version. Agregated cites: 7
paper
2010Why are survey forecasts superior to model forecasts? In: Economic Research Papers.
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paper0
2010Why are survey forecasts superior to model forecasts?.(2010) In: The Warwick Economics Research Paper Series (TWERPS).
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paper
2010Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions In: Economic Research Papers.
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paper7
2010Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions.(2010) In: The Warwick Economics Research Paper Series (TWERPS).
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2008First Announcements and Real Economic Activity In: Economic Research Papers.
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paper8
2010First announcements and real economic activity.(2010) In: European Economic Review.
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article
2009First Announcements and Real Economic Activity.(2009) In: The Warwick Economics Research Paper Series (TWERPS).
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2008Macroeconomic Forecasting With Mixed-Frequency Data In: Journal of Business & Economic Statistics.
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article90
2005FORECASTING QUARTERLY AGGREGATE CRIME SERIES* In: Manchester School.
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article0
2005Guest Editors’ Introduction: Information in Economic Forecasting In: Oxford Bulletin of Economics and Statistics.
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article17
2005Evaluating a Model by Forecast Performance* In: Oxford Bulletin of Economics and Statistics.
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article5
1999Seasonality, Cointegration, and Forecasting UK Residential Energy Demand. In: Scottish Journal of Political Economy.
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article16
2003Asymmetric output-gap effects in Phillips Curve and mark-up pricing models: Evidence for the US and the UK In: Scottish Journal of Political Economy.
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article16
2008Economic Forecasting in a Changing World In: Capitalism and Society.
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article17
2012Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty In: Studies in Nonlinear Dynamics & Econometrics.
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article0
1998Forecasting Economic Time Series In: Cambridge Books.
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book500
1998Forecasting Economic Time Series.(1998) In: Cambridge Books.
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2003TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS In: Macroeconomic Dynamics.
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article12
2001Economic forecasting: some lessons from recent research In: Working Paper Series.
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paper73
2002Economic Forecasting: Some Lessons from Recent Research.(2002) In: Royal Economic Society Annual Conference 2002.
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2003Economic forecasting: some lessons from recent research.(2003) In: Economic Modelling.
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2001Economic Forecasting: Some Lessons from Recent Research.(2001) In: Economics Papers.
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paper
2001Economic Forecasting: Some Lessons from Recent Research.(2001) In: Economics Series Working Papers.
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1995Rationality and the Role of Judgement in Macroeconomic Forecasting. In: Economic Journal.
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article19
1995Macro-economic Forecasting and Modelling. In: Economic Journal.
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article17
2004Evaluating the Bank of England Density Forecasts of Inflation In: Economic Journal.
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article76
2002Modelling methodology and forecast failure In: Econometrics Journal.
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article29
2004Pooling of forecasts In: Econometrics Journal.
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article172
2001Pooling of Forecasts.(2001) In: Economics Papers.
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2016Real-time factor model forecasting and the effects of instability In: Computational Statistics & Data Analysis.
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article6
2014Real-Time Factor Model Forecasting and the Effects of Instability.(2014) In: ICMA Centre Discussion Papers in Finance.
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paper
2007Bootstrap prediction intervals for autoregressive time series In: Computational Statistics & Data Analysis.
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article16
2006Forecasting with Breaks In: Handbook of Economic Forecasting.
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chapter45
2013Forecasting by factors, by variables, by both or neither? In: Journal of Econometrics.
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article22
1991Empirical analysis of macroeconomic time series : VAR and structural models In: European Economic Review.
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article55
2018Independent directors, information costs and foreign ownership in Chinese companies In: Journal of International Financial Markets, Institutions and Money.
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article2
1997An empirical study of seasonal unit roots in forecasting In: International Journal of Forecasting.
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article41
1998Forecasting economic processes In: International Journal of Forecasting.
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article49
2001Bootstrapping prediction intervals for autoregressive models In: International Journal of Forecasting.
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article41
2002Evaluating multivariate forecast densities: a comparison of two approaches In: International Journal of Forecasting.
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article34
2003Some possible directions for future research In: International Journal of Forecasting.
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article6
2004Forecasting economic and financial time-series with non-linear models In: International Journal of Forecasting.
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article54
2003Forecasting economic and financial time-series with non-linear models.(2003) In: Departmental Working Papers.
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2004A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure In: International Journal of Forecasting.
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article18
2008Consensus and uncertainty: Using forecast probabilities of output declines In: International Journal of Forecasting.
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article16
2009Forecasting returns and risk in financial markets using linear and nonlinear models In: International Journal of Forecasting.
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article0
2009Comments on Forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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article1
2011Combining probability forecasts In: International Journal of Forecasting.
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article22
2011Combining probability forecasts.(2011) In: International Journal of Forecasting.
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2013Forecasting with vector autoregressive models of data vintages: US output growth and inflation In: International Journal of Forecasting.
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2015Robust approaches to forecasting In: International Journal of Forecasting.
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article18
2014Robust Approaches to Forecasting.(2014) In: Economics Series Working Papers.
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2015Forecasting with Bayesian multivariate vintage-based VARs In: International Journal of Forecasting.
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2016Long-run restrictions and survey forecasts of output, consumption and investment In: International Journal of Forecasting.
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article2
2014Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment.(2014) In: ICMA Centre Discussion Papers in Finance.
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2017Model and survey estimates of the term structure of US macroeconomic uncertainty In: International Journal of Forecasting.
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2018Are macroeconomic density forecasts informative? In: International Journal of Forecasting.
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2016Are Macroeconomic Density Forecasts Informative?.(2016) In: ICMA Centre Discussion Papers in Finance.
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2019Do forecasters target first or later releases of national accounts data? In: International Journal of Forecasting.
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article1
2017Do forecasters target first or later releases of national accounts data?.(2017) In: ICMA Centre Discussion Papers in Finance.
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2001Evaluating forecasts from SETAR models of exchange rates In: Journal of International Money and Finance.
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article36
2002Comments on The state of macroeconomic forecasting In: Journal of Macroeconomics.
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article2
1999On SETAR non- linearity and forecasting In: Econometric Institute Research Papers.
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paper33
2003On SETAR non-linearity and forecasting.(2003) In: Journal of Forecasting.
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article
2020Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others? In: Econometrics.
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article0
2004Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output? In: International Journal of Finance & Economics.
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1995Forecasting in Cointegration Systems. In: Journal of Applied Econometrics.
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1996Intercept Corrections and Structural Change. In: Journal of Applied Econometrics.
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1999A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models. In: Journal of Applied Econometrics.
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1996A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models.(1996) In: The Warwick Economics Research Paper Series (TWERPS).
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2003Evaluating interval forecasts of high-frequency financial data In: Journal of Applied Econometrics.
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2007An evaluation of the forecasts of the federal reserve: a pooled approach In: Journal of Applied Econometrics.
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2009Forecasting US output growth using leading indicators: an appraisal using MIDAS models In: Journal of Applied Econometrics.
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2009Forecasting US output growth using leading indicators: an appraisal using MIDAS models.(2009) In: Journal of Applied Econometrics.
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2001Robust Evaluation of Fixed-Event Forecast Rationality. In: Journal of Forecasting.
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2011An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms In: Journal of Money, Credit and Banking.
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2001Forecasting Non-Stationary Economic Time Series In: MIT Press Books.
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1986The World Economy: Analysis and Prospects. In: Oxford Review of Economic Policy.
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1986The UK Economy: Analysis and Prospects. In: Oxford Review of Economic Policy.
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1986The UK Economy: Analysis and Prospects..(1986) In: Oxford Review of Economic Policy.
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1986The UK Economy: Analysis and Prospects..(1986) In: Oxford Review of Economic Policy.
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1987The UK Economy: Analysis and Prospects..(1987) In: Oxford Review of Economic Policy.
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1987The World and UK Economy: Analysis and Prospects. In: Oxford Review of Economic Policy.
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2010Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts In: Economics Series Working Papers.
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2001Modelling Business Cycle Features Using Switching Regime Models In: Economics Series Working Papers.
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2001MODELLING BUSINESS CYCLE FEATURES USING SWITCHING REGIME MODELS..(2001) In: Economics Series Working Papers.
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2012Forecasting by factors, by variables, or both? In: Economics Series Working Papers.
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2016An Overview of Forecasting Facing Breaks In: Economics Series Working Papers.
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2016An Overview of Forecasting Facing Breaks.(2016) In: Journal of Business Cycle Research.
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1991Testing Structural Hypotheses by Encompassing : Us Wages and Prices is the Mark-Up Pricing Hypothesis Dead? In: Economics Series Working Papers.
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1992On the Limitations of Comparing Mean Square Forecast Errors. In: Economics Series Working Papers.
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1992Forecasting in Cointegrated Systems. In: Economics Series Working Papers.
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1989THE ESTIMATION AND TESTING OF COINTEGRATING VECTORS: A SURVEY OF RECENT APPROACHES AND AN APPLICATION TO THE U.K. NON-DURABLE CONSUMPTION FUNCTION. In: Economics Series Working Papers.
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1990THE MATHEMATICAL STRUCTURE OF MODELS THAT EXHIBIT COINTEGRATION: A SURVEY OF RECENT APPROACHES. In: Economics Series Working Papers.
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2007Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth In: Working Papers.
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2007Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth.(2007) In: Working Papers.
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2011Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models In: Working Papers.
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2011Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models.(2011) In: Working Papers.
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2018Assessing Macro-Forecaster Herding: Modelling versus Testing In: ICMA Centre Discussion Papers in Finance.
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2014Measuring Macroeconomic Uncertainty: US Inflation and Output Growth In: ICMA Centre Discussion Papers in Finance.
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2014Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets In: ICMA Centre Discussion Papers in Finance.
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2014Do US Macroeconomic Forecasters Exaggerate Their Differences? In: ICMA Centre Discussion Papers in Finance.
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2015Do US Macroeconomic Forecasters Exaggerate their Differences?.(2015) In: Journal of Forecasting.
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2014Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth In: ICMA Centre Discussion Papers in Finance.
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2015Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision In: ICMA Centre Discussion Papers in Finance.
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2017Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision.(2017) In: Journal of Business & Economic Statistics.
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2015Forecasters Disagreement about How the Economy Operates, and the Role of Long-run Relationships In: ICMA Centre Discussion Papers in Finance.
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2016Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency In: ICMA Centre Discussion Papers in Finance.
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2016Sir Clive W.J. Grangers Contributions to Forecasting In: ICMA Centre Discussion Papers in Finance.
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2017Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables In: ICMA Centre Discussion Papers in Finance.
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2020Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts In: ICMA Centre Discussion Papers in Finance.
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2020Individual Forecaster Perceptions of the Persistence of Shocks to GDP In: ICMA Centre Discussion Papers in Finance.
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1994Can Econometrics Improve Economic Forecasting? In: Swiss Journal of Economics and Statistics (SJES).
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2002Can oil shocks explain asymmetries in the US Business Cycle? In: Empirical Economics.
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2002Conditional mean functions of non-linear models of US output In: Empirical Economics.
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2006Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts In: Empirical Economics.
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1999On winning forecasting competitions in economics In: Spanish Economic Review.
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article23
2012Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models In: Journal of Business & Economic Statistics.
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2014Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth In: Journal of Business & Economic Statistics.
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2017Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets In: Journal of Business & Economic Statistics.
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2013REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS In: Journal of Applied Econometrics.
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2015Are Professional Macroeconomic Forecasters Able To Do Better Than Forecasting Trends? In: Journal of Money, Credit and Banking.
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2018Do Macroforecasters Herd? In: Journal of Money, Credit and Banking.
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1997A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP In: The Warwick Economics Research Paper Series (TWERPS).
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2019Measuring the Effects of Expectations Shocks In: EMF Research Papers.
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