Michael McCracken : Citation Profile


Are you Michael McCracken?

Federal Reserve Bank of St. Louis

16

H index

22

i10 index

1731

Citations

RESEARCH PRODUCTION:

36

Articles

49

Papers

2

Chapters

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 86
   Journals where Michael McCracken has often published
   Relations with other researchers
   Recent citing documents: 120.    Total self citations: 38 (2.15 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc81
   Updated: 2018-06-16    RAS profile: 2018-03-08    
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Relations with other researchers


Works with:

Clark, Todd (7)

Mertens, Elmar (3)

Kliesen, Kevin (2)

Goncalves, Silvia (2)

Ng, Serena (2)

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

Is cited by:

Swanson, Norman (75)

Rossi, Barbara (58)

Clark, Todd (55)

GUPTA, RANGAN (46)

Kilian, Lutz (45)

West, Kenneth (44)

Marcellino, Massimiliano (37)

Inoue, Atsushi (36)

Franses, Philip Hans (36)

Clements, Michael (34)

Pincheira, Pablo (33)

Cites to:

Clark, Todd (65)

West, Kenneth (56)

Watson, Mark (49)

Stock, James (43)

Kilian, Lutz (40)

Swanson, Norman (29)

Rogoff, Kenneth (24)

Diebold, Francis (23)

Corradi, Valentina (19)

White, Halbert (19)

Timmermann, Allan (18)

Main data


Where Michael McCracken has published?


Journals with more than one article published# docs
Economic Synopses7
Journal of Econometrics7
Review3
Econometric Reviews2
The Regional Economist2
Journal of Money, Credit and Banking2
Journal of Applied Econometrics2
Journal of Business & Economic Statistics2
International Economic Review2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis23
Research Working Paper / Federal Reserve Bank of Kansas City11
Working Paper / Federal Reserve Bank of Cleveland4
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3

Recent works citing Michael McCracken (2018 and 2017)


YearTitle of citing document
2017Statistical tests for equal predictive ability across multiple forecasting methods. (2017). Borup, Daniel ; Thyrsgaard, Martin. In: CREATES Research Papers. RePEc:aah:create:2017-19.

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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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2017Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan . In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-03.

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2018Fiscal Policy, Wages, and Jobs in the U.S.. (2018). Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2018-02.

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2017Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil. (2017). Byun, Sung Je ; Je, Sung. In: The Energy Journal. RePEc:aen:journl:ej38-5-byun.

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2017Media Network and Return Predictability. (2017). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2017How well do experience curves predict technological progress? A method for making distributional forecasts. (2017). Lafond, François ; Rebois, Dylan ; Zadourian, Rubina ; Bailey, Aimee Gotway ; Farmer, Doyne J ; McSharry, Patrick ; Bakker, Jan David . In: Papers. RePEc:arx:papers:1703.05979.

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2018Large-Scale Dynamic Predictive Regressions. (2018). Bianchi, Daniele ; McAlinn, Kenichiro. In: Papers. RePEc:arx:papers:1803.06738.

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2017Murphy Diagrams: Forecast Evaluation of Expected Shortfall. (2017). Ziegel, Johanna F ; Fasciati, Fernando ; Jordan, Alexander ; Krueger, Fabian . In: Working Papers. RePEc:awi:wpaper:0632.

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2017Assessing the Business Outlook Survey Indicator Using Real-Time Data. (2017). Pichette, Lise ; Robitaille, Marie-Noelle . In: Discussion Papers. RePEc:bca:bocadp:17-5.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2018Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation. (2018). St-Amant, Pierre ; Pichette, Lise ; Salameh, Mohanad ; Robitaille, Marie-Noelle . In: Staff Working Papers. RePEc:bca:bocawp:18-10.

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2017Markov-switching three-pass regression filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre. In: Working Papers. RePEc:bde:wpaper:1748.

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2017Optimal density forecast combinations. (2017). Ganics, Gergely. In: Working Papers. RePEc:bde:wpaper:1751.

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2018Explaining and Forecasting Euro Area Inflation: the Role of Domestic and Global Factors. (2018). Schmidt, Katja ; Faubert, V ; Bereau, S. In: Working papers. RePEc:bfr:banfra:663.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2018A time series model of interest rates with the effective lower bound. (2018). Johannsen, Benjamin K ; Mertens, Elmar. In: BIS Working Papers. RePEc:bis:biswps:715.

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2017Mismatch and the Forecasting Performance of Matching Functions. (2017). Weber, Enzo ; Hutter, Christian. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:1:p:101-123.

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2017Uncertainty across volatility regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_035.

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2017Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan . In: Working Papers. RePEc:bok:wpaper:1714.

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2017Multi-level factor analysis of bond risk premia. (2017). Kim, Dukpa ; Yuhyeon, Bak ; Yunjung, Kim. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:5:p:19:n:2.

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2017Uncertainty Across Volatility Regimes. (2017). Fanelli, Luca ; Caggiano, Giovanni ; Bacchiocchi, Emanuele ; Angelini, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6799.

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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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2017Market Timing under Limited Information: An Empirical Investigation in US Treasury Market. (2017). Tong, Guoshi. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:1:tong.

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2017Market Timing under Limited Information: An Empirical Investigation in US Treasury Market. (2017). Tong, Guoshi. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2017:v:18:i:2:tong.

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2017Measuring real business condition in China. (2017). Hueng, C. ; Liu, Ping. In: China Economic Review. RePEc:eee:chieco:v:46:y:2017:i:c:p:261-274.

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2017Transformed contribution ratio test for the number of factors in static approximate factor models. (2017). Xia, Qiang ; Wu, Jianhong ; Liang, Rubing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:112:y:2017:i:c:p:235-241.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Inflation as a global phenomenon—Some implications for inflation modeling and forecasting. (2018). Martínez García, Enrique ; Kabukçuoğlu, Ayşe ; Martinez-Garcia, Enrique ; Kabukuolu, Aye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:46-73.

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2017Measuring the output gap in Switzerland with linear opinion pools. (2017). Buncic, Daniel ; Muller, Oliver . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:153-171.

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2017The new MIBA model: Real-time nowcasting of French GDP using the Banque de Frances monthly business survey. (2017). Mogliani, Matteo ; Darné, Olivier ; Pluyaud, Bertrand ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:26-39.

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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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2017Dissecting models forecasting performance. (2017). Siliverstovs, Boriss. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:294-299.

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2018Nowcasting with the help of foreign indicators: The case of Mexico. (2018). Caruso, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:160-168.

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2017Forecasting broad money velocity. (2017). Jung, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:421-432.

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2018Sluggish private investment in Japan’s Lost Decade: Mixed frequency vector autoregression approach. (2018). Motegi, Kaiji ; Sadahiro, Akira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:118-128.

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2017Confidence intervals in regressions with estimated factors and idiosyncratic components. (2017). Fosten, Jack. In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:71-74.

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2017Rolling window selection for out-of-sample forecasting with time-varying parameters. (2017). Rossi, Barbara ; Inoue, Atsushi ; Jin, LU. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:55-67.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Simple robust tests for the specification of high-frequency predictors of a low-frequency series. (2018). Miller, Isaac J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:45-66.

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2017Reverse adaptive krill herd locally weighted support vector regression for forecasting and trading exchange traded funds. (2017). Sermpinis, Georgios ; Hassanniakalager, Arman ; Stasinakis, Charalampos . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:540-558.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien. In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2017The role of oil prices in the forecasts of South African interest rates: A Bayesian approach. (2017). Kotze, Kevin ; GUPTA, RANGAN. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:270-278.

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2017Forecasting oil and stock returns with a Qual VAR using over 150years off data. (2017). Wohar, Mark ; GUPTA, RANGAN. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:181-186.

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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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2017Can investor attention predict oil prices?. (2017). Han, Liyan ; Yin, Libo ; Lv, Qiuna. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:547-558.

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2017Persistence and cycles in the us federal funds rate. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:1-8.

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2017Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models. (2017). Tunaru, Diana . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:119-129.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2017Do liquidity variables improve out-of-sample prediction of sovereign spreads during crisis periods?. (2017). Wagner, Niklas ; Hofstetter, Benedikt ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:144-150.

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2017Equity premium prediction: The role of economic and statistical constraints. (2017). Tsiakas, Ilias ; Li, Jiahan. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:56-75.

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2018Intraday momentum in FX markets: Disentangling informed trading from liquidity provision. (2018). Frömmel, Michael ; Lampaert, Kevin ; Frommel, Michael ; Elaut, Gert. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:35-51.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Forecasting GDP with global components: This time is different. (2017). Thorsrud, Leif ; Ravazzolo, Francesco ; Bjørnland, Hilde. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:153-173.

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2017A mixed frequency approach to the forecasting of private consumption with ATM/POS data. (2017). Rodrigues, Paulo ; Duarte, Cláudia ; Rua, Antonio . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:61-75.

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2017Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626.

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2017VARX-L: Structured regularization for large vector autoregressions with exogenous variables. (2017). Nicholson, William B ; Bien, Jacob ; Matteson, David S. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:627-651.

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2017Forecast evaluation tests and negative long-run variance estimates in small samples. (2017). Leybourne, Stephen J ; Whitehouse, Emily J ; Harvey, David I. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:833-847.

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2018Forecast-error-based estimation of forecast uncertainty when the horizon is increased. (2018). Knüppel, Malte ; Knuppel, Malte. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:105-116.

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2018Mining big data using parsimonious factor, machine learning, variable selection and shrinkage methods. (2018). Kim, Hyun Hak ; Swanson, Norman R. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:339-354.

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2018Nowcasting with payments system data. (2018). Tkacz, Greg ; Galbraith, John W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:366-376.

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2017Do oil futures prices predict stock returns?. (2017). I-Hsuan Ethan Chiang, ; Hughen, Keener W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:129-141.

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2017Out-of-sample equity premium predictability and sample split–invariant inference. (2017). Karapandza, Rasa ; Kolev, Gueorgui I. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:188-201.

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2018Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK. (2018). Ellington, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:89:y:2018:i:c:p:225-236.

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2018Information demand and stock return predictability. (2018). Vlastakis, Nikolaos ; Papadimitriou, Fotios I ; Chronopoulos, Dimitris K. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:59-74.

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2017Market states and the risk-return tradeoff. (2017). Wang, Zijun ; Khan, Moosa M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:314-327.

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2017Yield spread and the income distribution. (2017). Berisha, Edmond. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:363-377.

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2018Oil shocks and stock return volatility. (2018). Bachmeier, Lance J ; Nadimi, Soheil R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:1-9.

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2017Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Lux, Thomas. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:69:y:2017:i:c:p:692-704.

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2017Overnight returns of stock indexes: Evidence from ETFs and futures. (2017). Liu, Qingfu ; Tse, Yiuman. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:440-451.

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2017Macroeconomic factors and equity premium predictability. (2017). Buncic, Daniel ; Tischhauser, Martin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:621-644.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2018How well do experience curves predict technological progress? A method for making distributional forecasts. (2018). Lafond, François ; Farmer, Doyne J ; McSharry, Patrick ; Zadourian, Rubina ; Rebois, Dylan ; Bakker, Jan David ; Bailey, Aimee Gotway . In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:128:y:2018:i:c:p:104-117.

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2017Forecast Performance in Times of Terrorism. (2017). El-Shagi, Makram ; Benchimol, Jonathan. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:201701.

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2017Exploring the Nexus Between Inflation and Globalization Under Inflation Targeting Through the Lens of New Zealand’s Experience. (2017). Soytas, Mehmet ; Martínez García, Enrique ; Kabukçuoğlu, Ayşe ; Martinez-Garcia, Enrique. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:308.

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2018New Perspectives on Forecasting Inflation in Emerging Market Economies: An Empirical Assessment. (2018). Martínez García, Enrique ; Duncan, Roberto ; Martinez-Garcia, Enrique. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:338.

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2017Inferring the Shadow Rate from Real Activity. (2017). Skaperdas, Arsenios ; Garcia, Benjamin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-106.

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2017Do Phillips Curves Conditionally Help to Forecast Inflation?. (2017). Fujita, Shigeru ; Stark, Tom ; Dotsey, Michael . In: Working Papers. RePEc:fip:fedpwp:17-26.

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2017Forecasting Inflation in a Macroeconomic Framework: An Application to Tunisia. (2017). Zardi, Souhaib Chamseddine . In: IHEID Working Papers. RePEc:gii:giihei:heidwp07-2017.

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2018Order Invariant Tests for Proper Calibration of Multivariate Density Forecasts. (2018). Dovern, Jonas ; Manner, Hans. In: Graz Economics Papers. RePEc:grz:wpaper:2018-09.

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2017A Machine Learning Approach to the Forecast Combination Puzzle. (2017). Mandel, Antoine ; Sani, Amir . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01317974.

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2017Predicting the Equity Market with Option Implied Variables. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Tharann, Bjorn. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-619.

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2017Forecasting growth of U.S. aggregate and household-sector M2 after 2000 using economic uncertainty measures. (2017). Tarassow, Artur. In: Macroeconomics and Finance Series. RePEc:hep:macppr:201702.

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2018Is the US Phillips Curve Stable? Evidence from Bayesian VARs. (2018). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Working Papers. RePEc:hhs:oruesi:2018_005.

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2017Forecasting Home Sales in the Four Census Regions and the Aggregate US Economy Using Singular Spectrum Analysis. (2017). GUPTA, RANGAN ; Segnon, Mawuli ; Ghodsi, Zara ; Hassani, Hossein. In: Computational Economics. RePEc:kap:compec:v:49:y:2017:i:1:d:10.1007_s10614-015-9548-x.

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2017Predicting stock returns in the presence of uncertain structural changes and sample noise. (2017). Mantilla-Garcia, Daniel ; Vaidyanathan, Vijay . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:3:d:10.1007_s11408-017-0290-3.

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2017The Role of Current Account Balance in Forecasting the US Equity Premium: Evidence From a Quantile Predictive Regression Approach. (2017). Wohar, Mark ; GUPTA, RANGAN ; Majumdar, Anandamayee . In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:1:d:10.1007_s11079-016-9408-x.

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2017The Relevance of the Monetary Model for the Euro / USD Exchange Rate Determination: a Long Run Perspective. (2017). Kouretas, Georgios ; Georgoutsos, Dimitris. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:5:d:10.1007_s11079-017-9468-6.

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2017Exploring the Nexus between Inflation and Globalization under Inflation Targeting through the Lens of New Zealand’s Experience. (2017). Soytas, Mehmet ; Martínez García, Enrique ; Kabukçuoğlu, Ayşe ; Martinez-Garcia, Enrique ; Kabukcuoglu, Ayse . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1709.

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2017Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter. (2017). Wong, Benjamin ; Morley, James ; Kamber, Gunes. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/1.

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2017Generalizing Smooth Transition Autoregressions. (2017). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0138.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0156.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2017Nowcasting Building Permits with Google Trends. (2017). Pincheira, Pablo ; Coble, David. In: MPRA Paper. RePEc:pra:mprapa:76514.

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2017A Power Booster Factor for Out-of-Sample Tests of Predictability. (2017). Pincheira, Pablo. In: MPRA Paper. RePEc:pra:mprapa:77027.

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2017An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series. (2017). Song, Yong ; Maheu, John. In: MPRA Paper. RePEc:pra:mprapa:79211.

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2017Government spending, GDP and exchange rate in Zero Lower Bound: measuring causality at multiple horizons. (2017). MAO TAKONGMO, Charles Olivier. In: MPRA Paper. RePEc:pra:mprapa:79703.

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2017Forecasting Inflation in Latin America with Core Measures. (2017). Pincheira, Pablo ; Nolazco, Jose ; Selaive, Jorge . In: MPRA Paper. RePEc:pra:mprapa:80496.

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

Works by Michael McCracken:


YearTitleTypeCited
2001NEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP In: 2001 Annual meeting, August 5-8, Chicago, IL.
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2001Inference about predictive ability In: Working papers.
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1997Regression-Based Tests of Predictive Ability. In: Working papers.
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paper127
1998Regression-Based Tests of Predictive Ability..(1998) In: International Economic Review.
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This paper has another version. Agregated cites: 127
article
1998Regression-Based Tests of Predictive Ability.(1998) In: NBER Technical Working Papers.
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paper
2009Tests of Equal Predictive Ability With Real-Time Data In: Journal of Business & Economic Statistics.
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article57
2007Tests of equal predictive ability with real-time data.(2007) In: Research Working Paper.
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2008Tests of equal predictive ability with real-time data.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 57
paper
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors In: BIS Working Papers.
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paper1
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Paper.
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paper
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2009Combining Forecasts from Nested Models In: Oxford Bulletin of Economics and Statistics.
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article16
2007Combining forecasts from nested models.(2007) In: Finance and Economics Discussion Series.
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2006Combining forecasts from nested models.(2006) In: Research Working Paper.
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2008Combining forecasts from nested models.(2008) In: Working Papers.
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paper
2000Tests of Equal Forecast Accuracy and Encompassing for Nested Models In: Econometric Society World Congress 2000 Contributed Papers.
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2001Tests of equal forecast accuracy and encompassing for nested models.(2001) In: Journal of Econometrics.
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1999Tests of equal forecast accuracy and encompassing for nested models.(1999) In: Research Working Paper.
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paper
1999Tests of Equal Forecast Accuracy and Encompassing for Nested Models.(1999) In: Computing in Economics and Finance 1999.
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This paper has another version. Agregated cites: 488
paper
2013Advances in Forecast Evaluation In: Handbook of Economic Forecasting.
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2011Advances in forecast evaluation.(2011) In: Working Paper.
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This paper has another version. Agregated cites: 34
paper
2011Advances in forecast evaluation.(2011) In: Working Papers.
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paper
2005The power of tests of predictive ability in the presence of structural breaks In: Journal of Econometrics.
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article48
2007Asymptotics for out of sample tests of Granger causality In: Journal of Econometrics.
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article275
2012In-sample tests of predictive ability: A new approach In: Journal of Econometrics.
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article13
2009In-sample tests of predictive ability: a new approach.(2009) In: Research Working Paper.
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This paper has another version. Agregated cites: 13
paper
2009In-sample tests of predictive ability: a new approach.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 13
paper
2015Nested forecast model comparisons: A new approach to testing equal accuracy In: Journal of Econometrics.
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article29
2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Research Working Paper.
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paper
2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 29
paper
2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
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article5
2016Tests of Equal Accuracy for Nested Models with Estimated Factors.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2000Robust out-of-sample inference In: Journal of Econometrics.
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article101
2004Parameter estimation and tests of equal forecast accuracy between non-nested models In: International Journal of Forecasting.
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article13
2011Tests of equal forecast accuracy for overlapping models In: Working Paper.
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paper4
2011Tests of equal forecast accuracy for overlapping models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2014TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 4
article
2014Evaluating Conditional Forecasts from Vector Autoregressions In: Working Paper.
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paper6
2014Evaluating Conditional Forecasts from Vector Autoregressions.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2007Forecasting with small macroeconomic VARs in the presence of instabilities In: Finance and Economics Discussion Series.
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paper15
2007Averaging forecasts from VARs with uncertain instabilities In: Finance and Economics Discussion Series.
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paper92
2008Averaging forecasts from VARs with uncertain instabilities.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 92
paper
2006Averaging forecasts from VARs with uncertain instabilities.(2006) In: Research Working Paper.
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This paper has another version. Agregated cites: 92
paper
2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 92
article
2001Evaluating long-horizon forecasts In: Research Working Paper.
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paper25
2002Forecast-based model selection in the presence of structural breaks In: Research Working Paper.
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paper9
2003The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence In: Research Working Paper.
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paper70
2006The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence.(2006) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 70
article
2003The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence.(2003) In: Computing in Economics and Finance 2003.
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This paper has another version. Agregated cites: 70
paper
2004Improving forecast accuracy by combining recursive and rolling forecasts In: Research Working Paper.
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paper52
2008Improving forecast accuracy by combining recursive and rolling forecasts.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 52
paper
2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS.(2009) In: International Economic Review.
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This paper has another version. Agregated cites: 52
article
2006Forecasting of small macroeconomic VARs in the presence of instabilities In: Research Working Paper.
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paper3
2009Uncertainty about when the Fed will raise interest rates In: Economic Synopses.
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article0
2010Using stock market liquidity to forecast recessions In: Economic Synopses.
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article1
2010Using FOMC forecasts to forecast the economy In: Economic Synopses.
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article7
2011Should food be excluded from core CPI? In: Economic Synopses.
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article0
2011Initial claims and employment growth: are we at the threshold? In: Economic Synopses.
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article2
2011Housings role in a recovery In: Economic Synopses.
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article1
2012Following the Fed with a news tracker In: Economic Synopses.
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article0
2009How accurate are forecasts in a recession? In: National Economic Trends.
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article0
2016Tracking the U.S. Economy with Nowcasts In: The Regional Economist.
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article0
2010Disagreement at the FOMC: the dissenting votes are just part of the story In: The Regional Economist.
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article10
2014Factor-based prediction of industry-wide bank stress In: Review.
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article2
2016A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth In: Review.
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article0
2011Real-time forecast averaging with ALFRED In: Review.
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article2
2010Real-time forecast averaging with ALFRED.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2009Forecast disagreement among FOMC members In: Working Papers.
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paper19
2010Testing for unconditional predictive ability In: Working Papers.
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paper7
2010Reality checks and nested forecast model comparisons In: Working Papers.
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paper4
2012Consistent testing for structural change at the ends of the sample In: Working Papers.
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paper1
2012Comment on Taylor rule exchange rate forecasting during the financial crisis In: Working Papers.
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paper0
2012Comment on Taylor Rule Exchange Rate Forecasting during the Financial Crisis.(2012) In: NBER Chapters.
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2016Asymptotic Inference for Performance Fees and the Predictability of Asset Returns In: Working Papers.
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paper3
2012Multi-step ahead forecasting of vector time series In: Working Papers.
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paper1
2017Multistep ahead forecasting of vector time series.(2017) In: Econometric Reviews.
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This paper has another version. Agregated cites: 1
article
2013Evaluating the accuracy of forecasts from vector autoregressions In: Working Papers.
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paper4
2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
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paper29
2016FRED-MD: A Monthly Database for Macroeconomic Research.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 29
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2015Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR In: Working Papers.
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paper5
2017An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts In: Working Papers.
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paper0
2005Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your ps and qs! In: Journal of Money, Credit and Banking.
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article23
2006Pairwise tests of equal forecast accuracy (in Russian) In: Quantile.
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2005Evaluating Direct Multistep Forecasts In: Econometric Reviews.
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article116
2011Reality Checks and Comparisons of Nested Predictive Models In: Journal of Business & Economic Statistics.
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article1
2013Comment In: NBER International Seminar on Macroeconomics.
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article0
2017Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting In: Journal of Applied Econometrics.
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