Michael McCracken : Citation Profile


Are you Michael McCracken?

Federal Reserve Bank of St. Louis

18

H index

25

i10 index

2281

Citations

RESEARCH PRODUCTION:

41

Articles

55

Papers

2

Chapters

RESEARCH ACTIVITY:

   23 years (1997 - 2020). See details.
   Cites by year: 99
   Journals where Michael McCracken has often published
   Relations with other researchers
   Recent citing documents: 175.    Total self citations: 43 (1.85 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmc81
   Updated: 2021-03-01    RAS profile: 2020-09-10    
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Relations with other researchers


Works with:

Clark, Todd (6)

Mertens, Elmar (5)

Ng, Serena (3)

Kliesen, Kevin (2)

Owyang, Michael (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 (82)

Rossi, Barbara (74)

GUPTA, RANGAN (69)

Clark, Todd (60)

Pincheira, Pablo (47)

West, Kenneth (44)

Kilian, Lutz (42)

Wohar, Mark (41)

Clements, Michael (40)

Marcellino, Massimiliano (40)

Inoue, Atsushi (38)

Cites to:

Clark, Todd (71)

West, Kenneth (66)

Watson, Mark (53)

Kilian, Lutz (45)

Stock, James (45)

Diebold, Francis (34)

Swanson, Norman (32)

Giannone, Domenico (23)

White, Halbert (23)

Mariano, Roberto (21)

Timmermann, Allan (20)

Main data


Where Michael McCracken has published?


Journals with more than one article published# docs
Economic Synopses7
Journal of Econometrics7
Journal of Applied Econometrics4
Review3
Journal of Business & Economic Statistics3
International Economic Review2
The Regional Economist2
Econometric Reviews2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis27
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 (2021 and 2020)


YearTitle of citing document
2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Corradin, Fausto ; Casarin, Roberto ; Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Targeting predictors in random forest regression. (2020). Nielsen, Mikkel S ; Muhlbach, Nicolaj N ; Christensen, Bent Jesper ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-03.

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2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings. (2020). Mikkelsen, Jakob ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: CREATES Research Papers. RePEc:aah:create:2020-19.

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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.

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2020Forecasting Financial Vulnerability in the US: A Factor Model Approach. (2020). Shi, Wen ; Kim, Hyeongwoo. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2020-04.

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2020On bootstrapping tests of equal forecast accuracy for nested models. (2020). Haque, Qazi ; Doko Tchatoka, Firmin. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-03.

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2020A Scoring Rule for Factor and Autoregressive Models Under Misspecification. (2020). Wong, Wing-Keung ; Sartore, Nguyen Domenico ; Ravazzolo, Francesco ; Corradin, Fausto ; Casarin, Roberto. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:2:p:66-103.

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2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

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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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2020Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2020Equal 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.

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2020The effects of targeting predictors in a random forest regression model. (2020). Christensen, Bent Jesper ; Nielsen, Mikkel Slot ; Muhlbach, Nicolaj Norgaard ; Borup, Daniel. In: Papers. RePEc:arx:papers:2004.01411.

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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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2020Macroeconomic Forecasting with Fractional Factor Models. (2020). Hartl, Tobias. In: Papers. RePEc:arx:papers:2005.04897.

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2020What 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.

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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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2020Variable Selection in Macroeconomic Forecasting with Many Predictors. (2020). Yu, Cindy ; Zhu, Zhengyuan ; Wang, Zhenzhong. In: Papers. RePEc:arx:papers:2007.10160.

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

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

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2020A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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

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

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2020The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data. (2020). , Weinan ; Huang, Guanhua ; Pang, Yue ; Yang, Yucheng. In: Papers. RePEc:arx:papers:2010.05172.

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

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

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

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2020Can the Business Outlook Survey Help Improve Estimates of the Canadian Output Gap?. (2020). Pichette, Lise ; Cheung, Calista ; Frymire, Luke. In: Discussion Papers. RePEc:bca:bocadp:20-14.

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2020Forward Guidance Matters: disentangling monetary policy shocks. (2020). Ferreira, Leonardo. In: Working Papers Series. RePEc:bcb:wpaper:530.

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2020Questioning the puzzle: Fiscal policy, exchange rate and inflation. (2020). Siena, Daniele ; Natoli, Filippo ; Metelli, Luca ; Ferrara, Laurent. In: Working papers. RePEc:bfr:banfra:752.

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2020The dollar, bank leverage and real economic activity: an evolving relationship. (2020). Mihaljek, Dubravko ; Lombardi, Marco ; Erik, Burcu ; Shin, Hyun Song. In: BIS Working Papers. RePEc:bis:biswps:847.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Proper scoring rules for evaluating asymmetry in density forecasting. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Working Papers. RePEc:bny:wpaper:0089.

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2020News media vs. FRED-MD for macroeconomic forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: Working Papers. RePEc:bny:wpaper:0091.

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2020Time-Varying Trend Models for Forecasting Inflation in Australia. (2020). Cross, Jamie ; Zhang, BO ; Guo, NA. In: Working Papers. RePEc:bny:wpaper:0092.

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2020Has the credit supply shock asymmetric effects on macroeconomic variables?. (2020). Paccagnini, Alessia ; Colombo, Valentina. In: Working Papers. RePEc:bol:bodewp:wp1140.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Measurement of Factor Strenght: Theory and Practice. (2020). Bailey, Natalia ; Kapetanios, George ; Pesaran, Hashem M. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8146.

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2020Energy Markets and Global Economic Conditions. (2020). Korobilis, Dimitris ; Baumeister, Christiane ; Lee, Thomas K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8282.

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2020News Media vs. FRED-MD for Macroeconomic Forecasting. (2020). Thorsrud, Leif ; Larsen, Vegard ; Ellingsen, Jon. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8639.

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2020Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Peng, Huaming ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Proyección de la Inflación en Chile con Métodos de Machine Learning. (2020). Zilberman, Eduardo ; Molina, Carlos ; Leal, Felipe. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:860.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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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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2020The Non-U.S. Bank Demand for U.S. Dollar Assets. (2020). Adrian, Tobias ; Xie, Peichu. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14437.

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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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2020Spurious relationships in high dimensional systems with strong or mild persistence. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31553.

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2020Out of sample predictability in predictive regressions with many predictor candidates. (2020). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: UC3M Working papers. Economics. RePEc:cte:werepe:31554.

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2020Inference in Weak Factor Models. (2020). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1080.

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2020Does the Phillips curve help to forecast euro area inflation?. (2020). BOBEICA, Elena ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20202471.

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2020A new European investor sentiment index (EURsent) and its return and volatility predictability. (2020). Pinho, Carlos ; Nogueira, Pedro Manuel. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019303041.

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2020Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541.

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2020Mind the gap!—A monetarist view of the open-economy Phillips curve. (2020). Martínez García, Enrique ; Garcia, Enrique Martinez ; Dur, Aye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301275.

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2020Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615.

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2020Time to build and bond risk premia. (2020). Li, Kai ; Huang, Fuzhe ; Guo, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301925.

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2020Interdependence or contagion: A model switching approach with a focus on Latin America. (2020). Davidson, Sharada Nia. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:166-197.

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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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2020Improving forecast accuracy of financial vulnerability: PLS factor model approach. (2020). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:341-355.

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2020Forecast performance in times terrorism. (2020). Benchimol, Jonathan ; El-Shagi, Makram. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:386-402.

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2020Global predictive power of the upside and downside variances of the U.S. equity market. (2020). Zhang, Liguo ; Xiao, Jun ; Xu, Yahua. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:605-619.

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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.

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2020Equity premium prediction and optimal portfolio decision with Bagging. (2020). Yin, Anwen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301686.

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2020Does the credit supply shock have asymmetric effects on macroeconomic variables?. (2020). Paccagnini, Alessia ; Colombo, Valentina. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176520300100.

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2020Computationally efficient inference in large Bayesian mixed frequency VARs. (2020). Poon, Aubrey ; Koop, Gary ; Gefang, Deborah. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176520301014.

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2020A time-varying diffusion index forecasting model. (2020). Zhang, Yonghui ; Wei, Jie. In: Economics Letters. RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520302172.

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2020Does modeling a structural break improve forecast accuracy?. (2020). Pick, Andreas ; Boot, Tom. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:35-59.

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2020Factor-adjusted regularized model selection. (2020). Ke, Yuan ; Fan, Jianqing ; Wang, Kaizheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:71-85.

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2020The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions. (2020). Wildi, Marc ; McElroy, Tucker S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:112-130.

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2020Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68.

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2020Predicting exchange rate returns. (2020). Narayan, Paresh Kumar ; Liu, Guangqiang ; Bach, Dinh Hoang ; Sharma, Susan Sunila. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119303504.

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2020Equity premium prediction and the state of the economy. (2020). Tsiakas, Ilias ; Zhang, Haibin ; Li, Jiahan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:75-95.

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2020Do it with a smile: Forecasting volatility with currency options. (2020). Pincheira, Pablo ; Carrasco, Jose A ; Reus, Lorenzo. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319302831.

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2021Improved index insurance design and yield estimation using a dynamic factor forecasting approach. (2021). Zhu, Wenjun ; Tan, Ken Seng ; Porth, Lysa ; Li, Hong. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:96:y:2021:i:c:p:208-221.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2020Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy. (2020). Zaman, Saeed ; Tallman, Ellis W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:373-398.

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2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

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2020Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity. (2020). Poon, Aubrey ; Hou, Chenghan ; Cross, Jamie L. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:899-915.

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2020Investigating the inefficiency of the CBO’s budgetary projections. (2020). Arai, Natsuki. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1290-1300.

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2020A strategic predictive distribution for tests of probabilistic calibration. (2020). Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1380-1388.

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2021Boosting nonlinear predictability of macroeconomic time series. (2021). Virtanen, Timo ; Kauppi, Heikki. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:151-170.

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2021Bagging weak predictors. (2021). Wei, Wei ; Lukas, Manuel ; Hillebrand, Eric. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:237-254.

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2021Data snooping in equity premium prediction. (2021). Wendt, Viktoria-Sophie ; Neuhierl, Andreas ; Drobetz, Wolfgang ; Dichtl, Hubert. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:72-94.

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2020A historical loss approach to community bank stress testing. (2020). Yeager, Timothy J ; Fang, Cao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620300984.

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2020Predictability and pricing efficiency in forward and spot, developed and emerging currency markets. (2020). Conlon, Thomas ; Levich, Richard ; Poti, Valerio. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:107:y:2020:i:c:s0261560620301790.

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2020How important are global factors for understanding the dynamics of international capital flows?. (2020). Huber, Florian ; Schuberth, Helene ; Eller, Markus. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301777.

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2020Fundamentals versus speculation in oil market: The role of asymmetries in price adjustment?. (2020). Akdoan, Kurma . In: Resources Policy. RePEc:eee:jrpoli:v:67:y:2020:i:c:s0301420719310244.

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2020The predictive power of oil price shocks on realized volatility of oil: A note. (2020). GUPTA, RANGAN ; Demirer, Riza ; Hussain, Syed Jawad ; Pierdzioch, Christian. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308874.

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2020Forecasting Chinas stock market variance. (2020). Shi, Yongdong ; Cheng, Hang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x19304950.

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2020Global crises and gold as a safe haven: Evidence from over seven and a half centuries of data. (2020). GUPTA, RANGAN ; Gil-Alana, Luis ; Cunado, Juncal ; Boubaker, Heni. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:540:y:2020:i:c:s0378437119317455.

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2020US real estate inflation prediction: Exchange rates and net foreign assets. (2020). McGurk, Zachary . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:53-66.

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2020Forecasting equity premium in a panel of OECD countries: The role of economic policy uncertainty. (2020). GUPTA, RANGAN ; Christou, Christina. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:243-248.

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2020The empirical properties of euro area M3, 1980-2017. (2020). Carcel, Hector ; Villanova, Hector Carcel ; Jung, Alexander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:37-49.

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2020Factor return forecasting using cashflow spreads. (2020). Zurbruegg, Ralf ; Haque, Tariq ; Dai, Yiqing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:917-931.

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2020Global uncertainties and portfolio flow dynamics of the BRICS countries. (2020). Gul, Selcuk ; Epni, Ouzhan ; Yilmaz, Muhammed Hasan ; Hacihasanolu, Yavuz Selim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920301501.

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2020Climate hysteresis and monetary policy. (2020). Panton, Augustus. In: CAMA Working Papers. RePEc:een:camaaa:2020-76.

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2020No-Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:88748.

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2020Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach. (2020). Zaman, Saeed ; Knotek, Edward. In: Working Papers. RePEc:fip:fedcwq:88961.

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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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paper148
1998Regression-Based Tests of Predictive Ability..(1998) In: International Economic Review.
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1998Regression-Based Tests of Predictive Ability.(1998) In: NBER Technical Working Papers.
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2009Tests of Equal Predictive Ability With Real-Time Data In: Journal of Business & Economic Statistics.
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article68
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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2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors In: BIS Working Papers.
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paper13
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers (Old Series).
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2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
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paper
2017Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers.
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paper
2020Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2020) In: The Review of Economics and Statistics.
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2009Combining Forecasts from Nested Models* In: Oxford Bulletin of Economics and Statistics.
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article17
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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paper599
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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paper
2013Advances in Forecast Evaluation In: Handbook of Economic Forecasting.
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chapter49
2011Advances in forecast evaluation.(2011) In: Working Papers (Old Series).
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2011Advances in forecast evaluation.(2011) In: Working Papers.
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2005The power of tests of predictive ability in the presence of structural breaks In: Journal of Econometrics.
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article57
2007Asymptotics for out of sample tests of Granger causality In: Journal of Econometrics.
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article355
2012In-sample tests of predictive ability: A new approach In: Journal of Econometrics.
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article19
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: 19
paper
2009In-sample tests of predictive ability: a new approach.(2009) In: Working Papers.
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paper
2015Nested forecast model comparisons: A new approach to testing equal accuracy In: Journal of Econometrics.
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article46
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: 46
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2017Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics.
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article10
2015Tests of Equal Accuracy for Nested Models with Estimated Factors.(2015) In: Working Papers.
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paper
2000Robust out-of-sample inference In: Journal of Econometrics.
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article108
2004Parameter estimation and tests of equal forecast accuracy between non-nested models In: International Journal of Forecasting.
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article18
2011Tests of equal forecast accuracy for overlapping models In: Working Papers (Old Series).
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paper6
2011Tests of equal forecast accuracy for overlapping models.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 6
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: 6
article
2014Evaluating Conditional Forecasts from Vector Autoregressions In: Working Papers (Old Series).
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paper10
2014Evaluating Conditional Forecasts from Vector Autoregressions.(2014) In: Working Papers.
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paper
2007Forecasting with small macroeconomic VARs in the presence of instabilities In: Finance and Economics Discussion Series.
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paper16
2007Averaging forecasts from VARs with uncertain instabilities In: Finance and Economics Discussion Series.
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paper109
2006Averaging forecasts from VARs with uncertain instabilities.(2006) In: Research Working Paper.
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paper
2008Averaging forecasts from VARs with uncertain instabilities.(2008) In: Working Papers.
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This paper has another version. Agregated cites: 109
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: 109
article
2010Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics.
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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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paper89
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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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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paper
2004Improving forecast accuracy by combining recursive and rolling forecasts In: Research Working Paper.
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paper66
2008Improving forecast accuracy by combining recursive and rolling forecasts.(2008) In: Working Papers.
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2009IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS.(2009) In: International Economic Review.
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2006Forecasting of small macroeconomic VARs in the presence of instabilities In: Research Working Paper.
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paper4
2009Uncertainty about when the Fed will raise interest rates In: Economic Synopses.
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2010Using stock market liquidity to forecast recessions In: Economic Synopses.
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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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article3
2016A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth In: Review.
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article2
2011Real-time forecast averaging with ALFRED In: Review.
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article3
2010Real-time forecast averaging with ALFRED.(2010) In: Working Papers.
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2009Forecast disagreement among FOMC members In: Working Papers.
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paper20
2010Testing for unconditional predictive ability In: Working Papers.
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paper8
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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2012Asymptotic Inference for Performance Fees and the Predictability of Asset Returns In: Working Papers.
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2018Asymptotic Inference for Performance Fees and the Predictability of Asset Returns.(2018) In: Journal of Business & Economic Statistics.
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2012Multi-step ahead forecasting of vector time series In: Working Papers.
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2017Multistep ahead forecasting of vector time series.(2017) In: Econometric Reviews.
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2013Evaluating the accuracy of forecasts from vector autoregressions In: Working Papers.
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2015FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers.
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paper176
2016FRED-MD: A Monthly Database for Macroeconomic Research.(2016) In: Journal of Business & Economic Statistics.
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2020Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR In: Working Papers.
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paper8
2017An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts In: Working Papers.
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2019An empirical investigation of direct and iterated multistep conditional forecasts.(2019) In: Journal of Applied Econometrics.
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2019Tests of Conditional Predictive Ability: Some Simulation Evidence In: Working Papers.
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2020Diverging Tests of Equal Predictive Ability In: Working Papers.
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2020Diverging Tests of Equal Predictive Ability.(2020) In: Econometrica.
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2019Binary Conditional Forecasts In: Working Papers.
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2020FRED-QD: A Quarterly Database for Macroeconomic Research In: Working Papers.
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2020FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: NBER Working Papers.
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paper
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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article24
2006Pairwise tests of equal forecast accuracy (in Russian) In: Quantile.
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article0
2005Evaluating Direct Multistep Forecasts In: Econometric Reviews.
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article132
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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