Michael McCracken : Citation Profile


Are you Michael McCracken?

Federal Reserve Bank of St. Louis

19

H index

27

i10 index

2711

Citations

RESEARCH PRODUCTION:

42

Articles

58

Papers

2

Chapters

RESEARCH ACTIVITY:

   25 years (1997 - 2022). See details.
   Cites by year: 108
   Journals where Michael McCracken has often published
   Relations with other researchers
   Recent citing documents: 249.    Total self citations: 48 (1.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmc81
   Updated: 2022-10-01    RAS profile: 2021-09-21    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Clark, Todd (6)

Mertens, Elmar (5)

Owyang, Michael (3)

Ng, Serena (3)

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 (84)

GUPTA, RANGAN (80)

Rossi, Barbara (79)

Clark, Todd (68)

Pincheira, Pablo (59)

Marcellino, Massimiliano (48)

Kilian, Lutz (45)

West, Kenneth (44)

Wohar, Mark (42)

Clements, Michael (41)

Inoue, Atsushi (36)

Cites to:

West, Kenneth (84)

Clark, Todd (80)

Watson, Mark (58)

Kilian, Lutz (50)

Stock, James (47)

Swanson, Norman (37)

Diebold, Francis (36)

White, Halbert (31)

Giannone, Domenico (30)

Rossi, Barbara (24)

Mariano, Roberto (23)

Main data


Where Michael McCracken has published?


Journals with more than one article published# docs
Journal of Econometrics7
Economic Synopses7
Journal of Applied Econometrics4
Review4
Journal of Business & Economic Statistics3
Journal of Money, Credit and Banking2
International Economic Review2
Econometric Reviews2
The Regional Economist2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis30
Research Working Paper / Federal Reserve Bank of Kansas City11
Working Papers (Old Series) / 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 (2022 and 2021)


YearTitle of citing document
2021Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data. (2021). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2021-02.

Full description at Econpapers || Download paper

2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

Full description at Econpapers || Download paper

2021Estimation and HAC-based Inference for Machine Learning Time Series Regressions. (2019). Striaukas, Jonas ; Ghysels, Eric ; Babii, Andrii. In: Papers. RePEc:arx:papers:1912.06307.

Full description at Econpapers || Download paper

2022Equal Predictive Ability Tests for Panel Data with an Application to OECD and IMF Forecasts. (2020). Yang, Zhenlin ; Urga, Giovanni ; Pirotte, Alain ; Akgun, Oguzhan. In: Papers. RePEc:arx:papers:2003.02803.

Full description at Econpapers || Download paper

2022What Drives Inflation and How: Evidence from Additive Mixed Models Selected by cAIC. (2020). Volkmann, Alexander ; Rossi, Enzo ; Baumann, Philipp. In: Papers. RePEc:arx:papers:2006.06274.

Full description at Econpapers || Download paper

2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

Full description at Econpapers || Download paper

2022Real-Time Real Economic Activity: Exiting the Great Recession and Entering the Pandemic Recession. (2020). Diebold, Francis X. In: Papers. RePEc:arx:papers:2006.15183.

Full description at Econpapers || Download paper

2021Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

Full description at Econpapers || Download paper

2021Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios. (2020). Striaukas, Jonas ; Ghysels, Eric ; Ball, Ryan T ; Babii, Andrii. In: Papers. RePEc:arx:papers:2008.03600.

Full description at Econpapers || Download paper

2021To Bag is to Prune. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.07063.

Full description at Econpapers || Download paper

2021Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

Full description at Econpapers || Download paper

2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

Full description at Econpapers || Download paper

2021Learning from Forecast Errors: A New Approach to Forecast Combinations. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.02077.

Full description at Econpapers || Download paper

2021Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques. (2020). Huber, Florian ; Hauzenberger, Niko ; Klieber, Karin. In: Papers. RePEc:arx:papers:2012.08155.

Full description at Econpapers || Download paper

2021Machine Learning Advances for Time Series Forecasting. (2020). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Papers. RePEc:arx:papers:2012.12802.

Full description at Econpapers || Download paper

2021Dynamic Ordering Learning in Multivariate Forecasting. (2021). Lopes, Hedibert F ; Bruno, . In: Papers. RePEc:arx:papers:2101.04164.

Full description at Econpapers || Download paper

2022Bridging factor and sparse models. (2021). Medeiros, Marcelo C ; Masini, Ricardo ; Fan, Jianqing. In: Papers. RePEc:arx:papers:2102.11341.

Full description at Econpapers || Download paper

2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

Full description at Econpapers || Download paper

2021The Kernel Trick for Nonlinear Factor Modeling. (2021). Kutateladze, Varlam. In: Papers. RePEc:arx:papers:2103.01266.

Full description at Econpapers || Download paper

2021Slow-Growing Trees. (2021). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2103.01926.

Full description at Econpapers || Download paper

2021COVID-19 and Estimation of Macroeconomic Factors. (2021). Ng, Serena. In: Papers. RePEc:arx:papers:2103.02732.

Full description at Econpapers || Download paper

2021Macroeconomic forecasting with statistically validated knowledge graphs. (2021). Tilly, Sonja ; Livan, Giacomo. In: Papers. RePEc:arx:papers:2104.10457.

Full description at Econpapers || Download paper

2021Vector autoregression models with skewness and heavy tails. (2021). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Papers. RePEc:arx:papers:2105.11182.

Full description at Econpapers || Download paper

2021Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2106.10844.

Full description at Econpapers || Download paper

2021Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions. (2021). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2107.07804.

Full description at Econpapers || Download paper

2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

Full description at Econpapers || Download paper

2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

Full description at Econpapers || Download paper

2022Feasible Weighted Projected Principal Component Analysis for Factor Models with an Application to Bond Risk Premia. (2021). Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2108.10250.

Full description at Econpapers || Download paper

2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

Full description at Econpapers || Download paper

2021Financial-cycle ratios and multi-year predictions of GDP: Evidence from the United States. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2111.00822.

Full description at Econpapers || Download paper

2021Large Order-Invariant Bayesian VARs with Stochastic Volatility. (2021). Yu, Xuewen ; Chan, Joshua ; Koop, Gary. In: Papers. RePEc:arx:papers:2111.07225.

Full description at Econpapers || Download paper

2022Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty. (2021). Marcellino, Massimiliano ; Petz, Nico ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2112.01995.

Full description at Econpapers || Download paper

2022Dynamic Factor Models with Sparse VAR Idiosyncratic Components. (2021). Margaritella, Luca ; Krampe, Jonas. In: Papers. RePEc:arx:papers:2112.07149.

Full description at Econpapers || Download paper

2022Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization. (2022). Funovits, Bernd ; Koistinen, Juho. In: Papers. RePEc:arx:papers:2202.00310.

Full description at Econpapers || Download paper

2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

Full description at Econpapers || Download paper

2022Forecasting US Inflation Using Bayesian Nonparametric Models. (2022). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd. In: Papers. RePEc:arx:papers:2202.13793.

Full description at Econpapers || Download paper

2022Improving Macroeconomic Model Validity and Forecasting Performance with Pooled Country Data using Structural, Reduced Form, and Neural Network Model. (2022). Fen, Cameron ; Undavia, Samir. In: Papers. RePEc:arx:papers:2203.06540.

Full description at Econpapers || Download paper

2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

Full description at Econpapers || Download paper

2022From point forecasts to multivariate probabilistic forecasts: The Schaake shuffle for day-ahead electricity price forecasting. (2022). Kruger, Fabian ; Kachele, Fabian ; Grothe, Oliver. In: Papers. RePEc:arx:papers:2204.10154.

Full description at Econpapers || Download paper

2022Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

Full description at Econpapers || Download paper

2022Economic activity and climate change. (2022). Ruiz, Esther ; Rodr, Vladimir ; Poncela, Pilar ; de Juan, Ar'Anzazu. In: Papers. RePEc:arx:papers:2206.03187.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

Full description at Econpapers || Download paper

2022Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification. (2022). Ottonello, Pablo ; Song, Wenting. In: Staff Working Papers. RePEc:bca:bocawp:22-24.

Full description at Econpapers || Download paper

2021Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication. (2021). Ferreira, Leonardo. In: Working Papers Series. RePEc:bcb:wpaper:559.

Full description at Econpapers || Download paper

2021FORECASTING RUSSIAN CPI WITH DATA VINTAGES AND MACHINE LEARNING TECHNIQUES. (2021). Mamedli, Mariam ; Shibitov, Denis. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps70.

Full description at Econpapers || Download paper

2021Do outliers matter? The predictive ability of average skewness on market returns using robust skewness measures. (2021). Yan, WU ; Shi, Jing ; Liao, Yin ; Han, Jianlei ; Bo, Xu Chong. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:3977-4006.

Full description at Econpapers || Download paper

2022Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385.

Full description at Econpapers || Download paper

2022Does the kitchen?sink model work forecasting the equity premium?. (2022). Yin, Anwen. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:223-247.

Full description at Econpapers || Download paper

2021Predictive Inference Based on Markov Chain Monte Carlo Output. (2021). Gneiting, Tilmann ; Thorarinsdottir, Thordis ; Lerch, Sebastian ; Kruger, Fabian. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:2:p:274-301.

Full description at Econpapers || Download paper

2022Anomalies and the Expected Market Return. (2022). Rapach, David E ; Li, Yan ; Dong, XI ; Zhou, Guofu. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:639-681.

Full description at Econpapers || Download paper

2021Which economic uncertainty measure matters for households portfolio decision?. (2021). Kim, Insik ; Jeon, Yoontae ; Lee, Kiryoung. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:2:p:343-369.

Full description at Econpapers || Download paper

2022A reappraisal of Katona’s adaptive theory of consumer behaviour using U.K. data. (2022). Hasan, Mohammad ; Gausden, Robert. In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:2:p:122-143.

Full description at Econpapers || Download paper

2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Cross, Jamie L ; Aastveit, Knut Are ; van Dijk, Herman K. In: Working Paper. RePEc:bno:worpap:2021_3.

Full description at Econpapers || Download paper

2021Quantifying time-varying forecast uncertainty and risk for the real price of oil. (2021). Djik, Herman K ; Cross, Jamie ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0099.

Full description at Econpapers || Download paper

2021Aggregate Skewness and the Business Cycle. (2021). Theodoridis, Konstantinos ; Iseringhausen, Martin. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/30.

Full description at Econpapers || Download paper

2021Optimal Out-of-Sample Forecast Evaluation under Stationarity. (2021). Stanek, Filip. In: CERGE-EI Working Papers. RePEc:cer:papers:wp712.

Full description at Econpapers || Download paper

2021Boosting Tax Revenues with Mixed-Frequency Data in the Aftermath of Covid-19: The Case of New York. (2021). Lahiri, Kajal ; Yang, Cheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9365.

Full description at Econpapers || Download paper

2021The Labor Earnings Gap, Heterogeneous Wage Phillips Curves, and Monetary Policy. (2021). Giarda, Mario . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:934.

Full description at Econpapers || Download paper

2022Addressing Unemployment Rate Forecast Errors in Relation to the Business Cycle. (2022). Scheer, Bas. In: CPB Discussion Paper. RePEc:cpb:discus:434.

Full description at Econpapers || Download paper

2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

Full description at Econpapers || Download paper

2021Dynamic factor models: does the specification matter?. (2021). Miranda, Karen Alejandra ; Poncela, Pilar ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32210.

Full description at Econpapers || Download paper

2021Multi-Day-Ahead Electricity Price Forecasting: A Comparison of fundamental, econometric and hybrid Models. (2021). Vogler, Arne ; Beran, Philip. In: EWL Working Papers. RePEc:dui:wpaper:2102.

Full description at Econpapers || Download paper

2021Economic predictions with big data: the illusion of sparsity. (2021). Giannone, Domenico ; Primiceri, Giorgio E ; Lenza, Michele. In: Working Paper Series. RePEc:ecb:ecbwps:20212542.

Full description at Econpapers || Download paper

2021Fan charts 2.0: flexible forecast distributions with expert judgement. (2021). Sokol, Andrej. In: Working Paper Series. RePEc:ecb:ecbwps:20212624.

Full description at Econpapers || Download paper

2021Proxy Vector Autoregressions in a Data-rich Environment. (2021). Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:123:y:2021:i:c:s0165188920302141.

Full description at Econpapers || Download paper

2022A neural network ensemble approach for GDP forecasting. (2022). Rungi, Armando ; Riccaboni, Massimo ; Longo, Luigi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s016518892100213x.

Full description at Econpapers || Download paper

2022Time to build and bond risk premia. (2022). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:136:y:2022:i:c:s0165188921000154.

Full description at Econpapers || Download paper

2022Sparse restricted perceptions equilibrium. (2022). Slobodyan, Sergey ; Audzei, Volha. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s016518892200121x.

Full description at Econpapers || Download paper

2021Facial expressions and the business cycle. (2021). Clements, Adam ; Aromi, Daniel J. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001528.

Full description at Econpapers || Download paper

2021Realized skewness and the short-term predictability for aggregate stock market volatility. (2021). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi. In: Economic Modelling. RePEc:eee:ecmode:v:103:y:2021:i:c:s0264999321002030.

Full description at Econpapers || Download paper

2022Time-varying effect of uncertainty shocks on unemployment. (2022). Onur, Bedri Kamil ; Eksi, Ozan. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000566.

Full description at Econpapers || Download paper

2021Mortgage credit volumes and monetary policy after the Great Recession. (2021). Leu, Shawn ; Robertson, Mari L. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:483-500.

Full description at Econpapers || Download paper

2021Resurrecting the Phillips Curve in Low-Inflation Times. (2021). Conti, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:172-195.

Full description at Econpapers || Download paper

2021Predicting equity premium using dynamic model averaging. Does the state–space representation matter?. (2021). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100070x.

Full description at Econpapers || Download paper

2021Does inequality help in forecasting equity premium in a panel of G7 countries?. (2021). GUPTA, RANGAN ; JAWADI, Fredj ; Christou, Christina. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000826.

Full description at Econpapers || Download paper

2021Tail risk and investors’ concerns: Evidence from Brazil. (2021). Freire, Gustavo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001364.

Full description at Econpapers || Download paper

2021What drives bank performance?. (2021). Harkrader, James Collin ; Guerrieri, Luca. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001610.

Full description at Econpapers || Download paper

2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

Full description at Econpapers || Download paper

2021An automated approach towards sparse single-equation cointegration modelling. (2021). Smeekes, Stephan ; Wijler, Etienne. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:247-276.

Full description at Econpapers || Download paper

2021Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors. (2021). Lippi, Marco ; Barigozzi, Matteo ; Luciani, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:455-482.

Full description at Econpapers || Download paper

2021On factor models with random missing: EM estimation, inference, and cross validation. (2021). Su, Liangjun ; Jin, Sainan ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:745-777.

Full description at Econpapers || Download paper

2021Bayesian MIDAS penalized regressions: Estimation, selection, and prediction. (2021). Mogliani, Matteo ; Simoni, Anna. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:833-860.

Full description at Econpapers || Download paper

2021Model averaging prediction for time series models with a diverging number of parameters. (2021). Zhang, Xinyu ; Gao, Yan ; Zou, Guohua ; Liao, Jun. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:190-221.

Full description at Econpapers || Download paper

2021Boosting high dimensional predictive regressions with time varying parameters. (2021). Ng, Serena ; Yousuf, Kashif. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:60-87.

Full description at Econpapers || Download paper

2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73.

Full description at Econpapers || Download paper

2022Analyzing cross-validation for forecasting with structural instability. (2022). Hirano, Keisuke ; Wright, Jonathan H. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:1:p:139-154.

Full description at Econpapers || Download paper

2021Simulation smoothing for nowcasting with large mixed-frequency VARs. (2021). Ankargren, Sebastian ; Joneus, Paulina. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:97-113.

Full description at Econpapers || Download paper

2021Flexible Mixture Priors for Large Time-varying Parameter Models. (2021). Hauzenberger, Niko. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:87-108.

Full description at Econpapers || Download paper

2022Estimation of large dimensional time varying VARs using copulas. (2022). Tsionas, Mike ; Trapani, Lorenzo ; Izzeldin, Marwan. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002439.

Full description at Econpapers || Download paper

2022The inflation response to government spending shocks: A fiscal price puzzle?. (2022). Ravn, Søren Hove ; Jorgensen, Peter L. In: European Economic Review. RePEc:eee:eecrev:v:141:y:2022:i:c:s0014292121002634.

Full description at Econpapers || Download paper

2021Forecasting stock returns with large dimensional factor models. (2021). Soccorsi, Stefano ; Massacci, Daniele ; Giovannelli, Alessandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:252-269.

Full description at Econpapers || Download paper

2021The predictive power of Nelson–Siegel factor loadings for the real economy. (2021). Ma, Jun ; Jiao, Anqi ; Han, Yang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:95-127.

Full description at Econpapers || Download paper

2022The time-varying bond risk premia in China. (2022). Liu, Lanbiao ; Guo, Bin ; Zhang, Han. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:51-76.

Full description at Econpapers || Download paper

2021Machine learning and oil price point and density forecasting. (2021). Issler, João ; Gaglianone, Wagner ; Cavalcanti, Pedro ; Bonnet, Alexandre ; Lin, Yihao ; Teixeira, Osmani. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003807.

Full description at Econpapers || Download paper

2022Forecasting fuel prices with the Chilean exchange rate: Going beyond the commodity currency hypothesis. (2022). Pincheira, Pablo ; Hardy, Nicolas ; Jarsun, Nabil ; Bentancor, Andrea ; Pincheira-Brown, Pablo. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832100637x.

Full description at Econpapers || Download paper

2021Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors. (2021). Koopman, Siem Jan ; Hillebrand, Eric ; Bennedsen, Mikkel. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000232.

Full description at Econpapers || Download paper

2021Commodity prices and global economic activity: A derived-demand approach. (2021). Gaglianone, Wagner ; Issler, Joo Victor ; de Carvalho, Osmani Teixeira ; Duarte, Angelo Mont'Alverne ; Angelo Mont'alverne Duarte, . In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000256.

Full description at Econpapers || Download paper

2022Forecasting automobile gasoline demand in Australia using machine learning-based regression. (2022). Hensher, David A ; Zhou, BO ; Li, Zheng. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pd:s0360544221025603.

Full description at Econpapers || Download paper

2021Adjusted dividend-price ratios and stock return predictability: Evidence from China. (2021). Yin, Libo ; Nie, Jing. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302611.

Full description at Econpapers || Download paper

2021Assessing the safe haven property of the gold market during COVID-19 pandemic. (2021). Vo, Xuan Vinh ; Salisu, Afees ; Raheem, Ibrahim. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000090.

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper0
2001Inference about predictive ability In: Working papers.
[Full Text][Citation analysis]
paper10
1997Regression-Based Tests of Predictive Ability. In: Working papers.
[Full Text][Citation analysis]
paper154
1998Regression-Based Tests of Predictive Ability..(1998) In: International Economic Review.
[Citation analysis]
This paper has another version. Agregated cites: 154
article
1998Regression-Based Tests of Predictive Ability.(1998) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 154
paper
2009Tests of Equal Predictive Ability With Real-Time Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article79
2007Tests of equal predictive ability with real-time data.(2007) In: Research Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2008Tests of equal predictive ability with real-time data.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 79
paper
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors In: BIS Working Papers.
[Full Text][Citation analysis]
paper21
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2020Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2020) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
2009Combining Forecasts from Nested Models* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
article17
2007Combining forecasts from nested models.(2007) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2006Combining forecasts from nested models.(2006) In: Research Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2008Combining forecasts from nested models.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2000Tests of Equal Forecast Accuracy and Encompassing for Nested Models In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
paper670
2001Tests of equal forecast accuracy and encompassing for nested models.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 670
article
1999Tests of equal forecast accuracy and encompassing for nested models.(1999) In: Research Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 670
paper
1999Tests of Equal Forecast Accuracy and Encompassing for Nested Models.(1999) In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 670
paper
2013Advances in Forecast Evaluation In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]
chapter106
2011Advances in forecast evaluation.(2011) In: Working Papers (Old Series).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106
paper
2011Advances in forecast evaluation.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 106
paper
2005The power of tests of predictive ability in the presence of structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]
article61
2007Asymptotics for out of sample tests of Granger causality In: Journal of Econometrics.
[Full Text][Citation analysis]
article383
2012In-sample tests of predictive ability: A new approach In: Journal of Econometrics.
[Full Text][Citation analysis]
article21
2009In-sample tests of predictive ability: a new approach.(2009) In: Research Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2009In-sample tests of predictive ability: a new approach.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2015Nested forecast model comparisons: A new approach to testing equal accuracy In: Journal of Econometrics.
[Full Text][Citation analysis]
article55
2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Research Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2009Nested forecast model comparisons: a new approach to testing equal accuracy.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55
paper
2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
[Full Text][Citation analysis]
article13
2015Tests of Equal Accuracy for Nested Models with Estimated Factors.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2000Robust out-of-sample inference In: Journal of Econometrics.
[Full Text][Citation analysis]
article113
2004Parameter estimation and tests of equal forecast accuracy between non-nested models In: International Journal of Forecasting.
[Full Text][Citation analysis]
article19
2011Tests of equal forecast accuracy for overlapping models In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper6
2011Tests of equal forecast accuracy for overlapping models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2014TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS.(2014) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2014Evaluating Conditional Forecasts from Vector Autoregressions In: Working Papers (Old Series).
[Full Text][Citation analysis]
paper12
2014Evaluating Conditional Forecasts from Vector Autoregressions.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2007Forecasting with small macroeconomic VARs in the presence of instabilities In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper16
2007Averaging forecasts from VARs with uncertain instabilities In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
paper123
2006Averaging forecasts from VARs with uncertain instabilities.(2006) In: Research Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123
paper
2008Averaging forecasts from VARs with uncertain instabilities.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123
paper
2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123
article
2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 123
article
2001Evaluating long-horizon forecasts In: Research Working Paper.
[Full Text][Citation analysis]
paper24
2002Forecast-based model selection in the presence of structural breaks In: Research Working Paper.
[Full Text][Citation analysis]
paper9
2003The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence In: Research Working Paper.
[Full Text][Citation analysis]
paper98
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 98
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.
[Citation analysis]
This paper has another version. Agregated cites: 98
paper
2004Improving forecast accuracy by combining recursive and rolling forecasts In: Research Working Paper.
[Full Text][Citation analysis]
paper89
2008Improving forecast accuracy by combining recursive and rolling forecasts.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
paper
2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS.(2009) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 89
article
2006Forecasting of small macroeconomic VARs in the presence of instabilities In: Research Working Paper.
[Full Text][Citation analysis]
paper4
2009Uncertainty about when the Fed will raise interest rates In: Economic Synopses.
[Full Text][Citation analysis]
article0
2010Using stock market liquidity to forecast recessions In: Economic Synopses.
[Full Text][Citation analysis]
article1
2010Using FOMC forecasts to forecast the economy In: Economic Synopses.
[Full Text][Citation analysis]
article9
2011Should food be excluded from core CPI? In: Economic Synopses.
[Full Text][Citation analysis]
article0
2011Initial claims and employment growth: are we at the threshold? In: Economic Synopses.
[Full Text][Citation analysis]
article2
2011Housings role in a recovery In: Economic Synopses.
[Full Text][Citation analysis]
article1
2012Following the Fed with a news tracker In: Economic Synopses.
[Full Text][Citation analysis]
article0
2009How accurate are forecasts in a recession? In: National Economic Trends.
[Full Text][Citation analysis]
article1
2016Tracking the U.S. Economy with Nowcasts In: The Regional Economist.
[Full Text][Citation analysis]
article0
2010Disagreement at the FOMC: the dissenting votes are just part of the story In: The Regional Economist.
[Full Text][Citation analysis]
article10
2014Factor-based prediction of industry-wide bank stress In: Review.
[Full Text][Citation analysis]
article3
2016A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth In: Review.
[Full Text][Citation analysis]
article2
2021FRED-QD: A Quarterly Database for Macroeconomic Research In: Review.
[Full Text][Citation analysis]
article33
2020FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2020FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
paper
2011Real-time forecast averaging with ALFRED In: Review.
[Full Text][Citation analysis]
article3
2010Real-time forecast averaging with ALFRED.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2009Forecast disagreement among FOMC members In: Working Papers.
[Full Text][Citation analysis]
paper22
2010Testing for unconditional predictive ability In: Working Papers.
[Full Text][Citation analysis]
paper8
2010Reality checks and nested forecast model comparisons In: Working Papers.
[Full Text][Citation analysis]
paper4
2012Consistent testing for structural change at the ends of the sample In: Working Papers.
[Full Text][Citation analysis]
paper1
2012Comment on \Taylor rule exchange rate forecasting during the financial crisis\ In: Working Papers.
[Full Text][Citation analysis]
paper0
2012Comment on Taylor Rule Exchange Rate Forecasting during the Financial Crisis.(2012) In: NBER Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
chapter
2012Asymptotic Inference for Performance Fees and the Predictability of Asset Returns In: Working Papers.
[Full Text][Citation analysis]
paper6
2018Asymptotic Inference for Performance Fees and the Predictability of Asset Returns.(2018) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2012Multi-step ahead forecasting of vector time series In: Working Papers.
[Full Text][Citation analysis]
paper4
2017Multistep ahead forecasting of vector time series.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2013Evaluating the accuracy of forecasts from vector autoregressions In: Working Papers.
[Full Text][Citation analysis]
paper7
2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
[Full Text][Citation analysis]
paper304
2016FRED-MD: A Monthly Database for Macroeconomic Research.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 304
article
2020Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR In: Working Papers.
[Full Text][Citation analysis]
paper10
2017An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts In: Working Papers.
[Full Text][Citation analysis]
paper4
2019An empirical investigation of direct and iterated multistep conditional forecasts.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2019Tests of Conditional Predictive Ability: Some Simulation Evidence In: Working Papers.
[Full Text][Citation analysis]
paper1
2020Diverging Tests of Equal Predictive Ability In: Working Papers.
[Full Text][Citation analysis]
paper3
2020Diverging Tests of Equal Predictive Ability.(2020) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2021Binary Conditional Forecasts In: Working Papers.
[Full Text][Citation analysis]
paper0
2020Tests of Conditional Predictive Ability: Existence, Size, and Power In: Working Papers.
[Full Text][Citation analysis]
paper0
2022Reconsidering the Fed’s Forecasting Advantage In: Working Papers.
[Full Text][Citation analysis]
paper0
2022On the Real-Time Predictive Content of Financial Conditions Indices for Growth In: Working Papers.
[Full Text][Citation analysis]
paper0
2005Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your ps and qs! In: Journal of Money, Credit and Banking.
[Citation analysis]
article24
2006Pairwise tests of equal forecast accuracy (in Russian) In: Quantile.
[Full Text][Citation analysis]
article0
2005Evaluating Direct Multistep Forecasts In: Econometric Reviews.
[Full Text][Citation analysis]
article139
2011Reality Checks and Comparisons of Nested Predictive Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article1
2013Comment In: NBER International Seminar on Macroeconomics.
[Full Text][Citation analysis]
article0
2017Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team