20
H index
30
i10 index
3022
Citations
Federal Reserve Bank of St. Louis | 20 H index 30 i10 index 3022 Citations RESEARCH PRODUCTION: 46 Articles 58 Papers 5 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Michael McCracken. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Economic Synopses | 7 |
Journal of Econometrics | 7 |
Journal of Business & Economic Statistics | 5 |
Journal of Applied Econometrics | 5 |
Review | 4 |
The Regional Economist | 2 |
International Economic Review | 2 |
Econometric Reviews | 2 |
Journal of Money, Credit and Banking | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Federal Reserve Bank of St. Louis | 30 |
Research Working Paper / Federal Reserve Bank of Kansas City | 11 |
Working Papers (Old Series) / Federal Reserve Bank of Cleveland | 4 |
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 3 |
Year | Title of citing document | |
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2022 | Change point inference in high-dimensional regression models under temporal dependence. (2022). Yu, YI ; Zhao, Zifeng ; Wang, Daren ; Xu, Haotian. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2022027. Full description at Econpapers || Download paper | |
2022 | Forecasting total energy’s CO2 emissions. (2022). Leccadito, Arturo ; Algieri, Bernardina ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2022003. Full description at Econpapers || Download paper | |
2022 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2023 | Equal 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 | |
2022 | What 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 | |
2022 | Real-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 | |
2023 | Deep Dynamic Factor Models. (2020). Ricco, Giovanni ; Izzo, Cosimo ; Andreini, Paolo. In: Papers. RePEc:arx:papers:2007.11887. Full description at Econpapers || Download paper | |
2023 | A Novel Approach to Predictive Accuracy Testing in Nested Environments. (2020). Pitarakis, Jean-Yves. In: Papers. RePEc:arx:papers:2008.08387. Full description at Econpapers || Download paper | |
2023 | Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401. Full description at Econpapers || Download paper | |
2022 | Bridging 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 | |
2022 | Hierarchical 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 | |
2022 | Feasible 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 | |
2022 | Gaussian 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 | |
2022 | Dynamic 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 | |
2022 | Estimation 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 | |
2022 | A 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 | |
2022 | Forecasting 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 | |
2022 | Improving 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 | |
2022 | Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848. Full description at Econpapers || Download paper | |
2022 | From 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 | |
2023 | Estimation 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 | |
2022 | Economic 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 | |
2023 | Forecasting macroeconomic data with Bayesian VARs: Sparse or dense? It depends!. (2022). Kastner, Gregor ; Gruber, Luis. In: Papers. RePEc:arx:papers:2206.04902. Full description at Econpapers || Download paper | |
2022 | Comparing Stochastic Volatility Specifications for Large Bayesian VARs. (2022). , Joshua. In: Papers. RePEc:arx:papers:2208.13255. Full description at Econpapers || Download paper | |
2022 | 150 Years of Return Predictability Around the World: A Holistic View. (2022). Bai, Yang. In: Papers. RePEc:arx:papers:2209.00121. Full description at Econpapers || Download paper | |
2023 | Local Projection Inference in High Dimensions. (2022). Wilms, Ines ; Smeekes, Stephan ; Adamek, Robert. In: Papers. RePEc:arx:papers:2209.03218. Full description at Econpapers || Download paper | |
2022 | The boosted HP filter is more general than you might think. (2022). Shi, Zhentao ; PEter, ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2209.09810. Full description at Econpapers || Download paper | |
2023 | Bayesian Modeling of Time-varying Parameters Using Regression Trees. (2022). Mitchell, James ; Koop, Gary ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2209.11970. Full description at Econpapers || Download paper | |
2022 | Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach. (2022). Ciganovic, Milos ; D'Amario, Federico. In: Papers. RePEc:arx:papers:2210.00883. Full description at Econpapers || Download paper | |
2023 | Prediction intervals for economic fixed-event forecasts. (2022). Plett, Hendrik ; Kruger, Fabian. In: Papers. RePEc:arx:papers:2210.13562. Full description at Econpapers || Download paper | |
2023 | Reservoir Computing for Macroeconomic Forecasting with Mixed Frequency Data. (2022). Ortega, Juan-Pablo ; van Huellen, Sophie ; Hirt, Marcel ; Grigoryeva, Lyudmila ; Dellaportas, Petros ; Ballarin, Giovanni. In: Papers. RePEc:arx:papers:2211.00363. Full description at Econpapers || Download paper | |
2023 | Boosted p-Values for High-Dimensional Vector Autoregression. (2022). Huang, Xiao. In: Papers. RePEc:arx:papers:2211.02215. Full description at Econpapers || Download paper | |
2023 | Enhanced Bayesian Neural Networks for Macroeconomics and Finance. (2022). Marcellino, Massimiliano ; Klieber, Karin ; Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:2211.04752. Full description at Econpapers || Download paper | |
2022 | On LASSO for High Dimensional Predictive Regression. (2022). Shi, Zhentao ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2212.07052. Full description at Econpapers || Download paper | |
2022 | Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301. Full description at Econpapers || Download paper | |
2023 | Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592. Full description at Econpapers || Download paper | |
2023 | Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434. Full description at Econpapers || Download paper | |
2023 | Out of Sample Predictability in Predictive Regressions with Many Predictor Candidates. (2023). Pitarakis, Jean-Yves ; Gonzalo, Jesus. In: Papers. RePEc:arx:papers:2302.02866. Full description at Econpapers || Download paper | |
2023 | High-Dimensional Conditionally Gaussian State Space Models with Missing Data. (2023). Zhu, Dan ; Poon, Aubrey. In: Papers. RePEc:arx:papers:2302.03172. Full description at Econpapers || Download paper | |
2023 | Combining search strategies to improve performance in the calibration of economic ABMs. (2023). Delli Gatti, Domenico ; Chanda, Debmallya ; Favorito, Marco ; Glielmo, Aldo. In: Papers. RePEc:arx:papers:2302.11835. Full description at Econpapers || Download paper | |
2023 | Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994. Full description at Econpapers || Download paper | |
2023 | GDP nowcasting with artificial neural networks: How much does long-term memory matter?. (2023). Hadh, D'Aniel. In: Papers. RePEc:arx:papers:2304.05805. Full description at Econpapers || Download paper | |
2023 | Coarsened Bayesian VARs -- Correcting BVARs for Incorrect Specification. (2023). Marcellino, Massimiliano ; Huber, Florian. In: Papers. RePEc:arx:papers:2304.07856. Full description at Econpapers || Download paper | |
2023 | Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2023). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934. Full description at Econpapers || Download paper | |
2023 | Band-Pass Filtering with High-Dimensional Time Series. (2023). Proietti, Tommaso ; Lippi, Marco ; Giovannelli, Alessandro. In: Papers. RePEc:arx:papers:2305.06618. Full description at Econpapers || Download paper | |
2023 | Fast and Order-invariant Inference in Bayesian VARs with Non-Parametric Shocks. (2023). Huber, Florian ; Koop, Gary. In: Papers. RePEc:arx:papers:2305.16827. Full description at Econpapers || Download paper | |
2023 | Supervised Dynamic PCA: Linear Dynamic Forecasting with Many Predictors. (2023). Tsay, Ruey S ; Gao, Zhaoxing. In: Papers. RePEc:arx:papers:2307.07689. Full description at Econpapers || Download paper | |
2023 | Reconciling the Theory of Factor Sequences. (2023). Deistler, Manfred ; Rust, Christoph ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2307.10067. Full description at Econpapers || Download paper | |
2023 | Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450. Full description at Econpapers || Download paper | |
2023 | Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958. Full description at Econpapers || Download paper | |
2023 | Common Firm-level Investor Fears: Evidence from Equity Options. (2023). Baruník, Jozef ; Ellington, Michael ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2309.03968. Full description at Econpapers || Download paper | |
2023 | Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2023 | Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12. Full description at Econpapers || Download paper | |
2022 | Financial 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 | |
2022 | Sectoral Uncertainty. (2022). Uzeda, Luis ; Tuzcuoglu, Kerem ; Castelnuovo, Efrem. In: Staff Working Papers. RePEc:bca:bocawp:22-38. Full description at Econpapers || Download paper | |
2023 | Central Bank Forecasting: A Survey. (2023). Sekkel, Rodrigo ; Binder, Carola Conces. In: Staff Working Papers. RePEc:bca:bocawp:23-18. Full description at Econpapers || Download paper | |
2022 | Nowcasting Brazilian GDP with Electronic Payments Data. (2022). Cesar, Raquel Nadal. In: Working Papers Series. RePEc:bcb:wpaper:564. Full description at Econpapers || Download paper | |
2022 | Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity. (2022). Wagner, Niklas ; Kinateder, Harald ; Batten, Jonathan A. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:3:p:567-588. Full description at Econpapers || Download paper | |
2022 | Stock 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 | |
2023 | The closer we get, the better we are?. (2023). Zilberfarb, Ben Zion ; Goldstein, Nathan. In: Economic Inquiry. RePEc:bla:ecinqu:v:61:y:2023:i:2:p:364-376. Full description at Econpapers || Download paper | |
2022 | Does 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 | |
2023 | Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111. Full description at Econpapers || Download paper | |
2022 | Anomalies 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 | |
2023 | Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341. Full description at Econpapers || Download paper | |
2022 | A 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 | |
2022 | Return predictability between industries and the stock market in China. (2022). Zhang, Gaiyan ; Tse, Yiuman. In: Pacific Economic Review. RePEc:bla:pacecr:v:27:y:2022:i:2:p:194-220. Full description at Econpapers || Download paper | |
2023 | Is the US Phillips curve stable? Evidence from Bayesian vector autoregressions. (2023). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:125:y:2023:i:1:p:287-314. Full description at Econpapers || Download paper | |
2022 | Sectoral Uncertainty. (2022). Uzeda, Luis ; Tuzcuoglu, Kerem ; Castelnuovo, Efrem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10034. Full description at Econpapers || Download paper | |
2022 | Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens. (2022). Mori, Lorenzo ; Castelnuovo, Efrem. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10062. Full description at Econpapers || Download paper | |
2023 | The Asymmetric Impact of Economic Policy and Oil Price Uncertainty on Inflation: Evidence from Developed and Emerging Economies. (2023). Anderl, Christina ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10276. Full description at Econpapers || Download paper | |
2023 | Government Purchases, the Labor Earnings Gap, andConsumption Dynamics. (2023). Giarda, Mario. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:972. Full description at Econpapers || Download paper | |
2022 | The demand and supply of information about inflation. (2022). Stevanovic, Dalibor ; Marcellino, Massimiliano. In: CIRANO Working Papers. RePEc:cir:cirwor:2022s-27. Full description at Econpapers || Download paper | |
2022 | Addressing 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 | |
2022 | The boosted HP filter is more general than you might think. (2022). , Peter ; PEter, ; Shi, Zhentao ; Mei, Ziwei. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2348. Full description at Econpapers || Download paper | |
2023 | Nowcasting employment in the euro area. (2023). Toth, Mate Barnabas ; Bodnar, Katalin ; Belousova, Irina ; Babura, Marta. In: Working Paper Series. RePEc:ecb:ecbwps:20232815. Full description at Econpapers || Download paper | |
2022 | A novel irrigation canal scheduling model adaptable to the spatial-temporal variability of water conveyance loss. (2022). Hu, Tiesong ; Mahmoud, Ali ; Liao, Xiangcheng ; Wang, Jinglin. In: Agricultural Water Management. RePEc:eee:agiwat:v:274:y:2022:i:c:s037837742200508x. Full description at Econpapers || Download paper | |
2022 | Forecasting crash risk in U.S. bank returns—The role of credit booms. (2022). Mansur, Iqbal ; Mihai, Marius M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s092911992200116x. Full description at Econpapers || Download paper | |
2022 | A 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 | |
2022 | Time 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 | |
2022 | Sparse 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 | |
2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper | |
2023 | Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x. Full description at Econpapers || Download paper | |
2022 | Time-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 | |
2023 | Time-varying impacts of monetary policy uncertainty on Chinas housing market. (2023). Yang, Haisheng ; Li, Jie ; Lu, Yunzhi. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003182. Full description at Econpapers || Download paper | |
2023 | Nowcasting Chinese GDP in a data-rich environment: Lessons from machine learning algorithms. (2023). Xu, Hao ; Ni, HE ; Zhang, Qin. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000160. Full description at Econpapers || Download paper | |
2023 | Diligent forecasters can make accurate predictions despite disagreeing with the consensus. (2023). Zheng, Xinye ; An, Zidong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001840. Full description at Econpapers || Download paper | |
2022 | Commonality, macroeconomic factors and banking profitability. (2022). Uribe, Jorge M ; Manotas-Duque, Diego F ; Joaqui-Barandica, Orlando. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000663. Full description at Econpapers || Download paper | |
2022 | Interdependent capital structure choices and the macroeconomy. (2022). Uribe, Jorge M ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose E. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000985. Full description at Econpapers || Download paper | |
2022 | Predicting the equity market risk premium: A model selection approach. (2022). Ciner, Cetin. In: Economics Letters. RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522000970. Full description at Econpapers || Download paper | |
2022 | Analyzing 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 | |
2022 | Real-time Bayesian learning and bond return predictability. (2022). Li, Junye ; Fulop, Andras ; Wan, Runqing. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:114-130. Full description at Econpapers || Download paper | |
2022 | Bayesian factor-adjusted sparse regression. (2022). Sun, Qiang ; Jiang, Bai ; Fan, Jianqing. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:3-19. Full description at Econpapers || Download paper | |
2022 | Conditional rotation between forecasting models. (2022). Timmermann, Allan ; Zhu, Yinchu. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:329-347. Full description at Econpapers || Download paper | |
2022 | Testing for parameter instability and structural change in persistent predictive regressions. (2022). Varneskov, Rasmus T ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:361-386. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2001 | NEW MSE TESTS FOR EVALUATING FORECASTING PERFORMANCE: EMPIRICS AND BOOTSTRAP In: 2001 Annual meeting, August 5-8, Chicago, IL. [Full Text][Citation analysis] | paper | 0 |
2001 | Inference about predictive ability In: Working papers. [Full Text][Citation analysis] | paper | 10 |
1997 | Regression-Based Tests of Predictive Ability. In: Working papers. [Full Text][Citation analysis] | paper | 156 |
1998 | Regression-Based Tests of Predictive Ability..(1998) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 156 | article | |
1998 | Regression-Based Tests of Predictive Ability.(1998) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 156 | paper | |
2009 | Tests of Equal Predictive Ability With Real-Time Data In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 85 |
2007 | Tests of equal predictive ability with real-time data.(2007) In: Research Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 85 | paper | |
2008 | Tests of equal predictive ability with real-time data.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 85 | paper | |
2017 | Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors In: BIS Working Papers. [Full Text][Citation analysis] | paper | 27 |
2017 | Modeling 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: 27 | paper | |
2017 | Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2017 | Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
2020 | Modeling 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: 27 | article | |
2009 | Combining Forecasts from Nested Models* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 17 |
2007 | Combining forecasts from nested models.(2007) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2006 | Combining forecasts from nested models.(2006) In: Research Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2008 | Combining forecasts from nested models.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
2000 | Tests of Equal Forecast Accuracy and Encompassing for Nested Models In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 707 |
2001 | Tests 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: 707 | article | |
1999 | Tests 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: 707 | paper | |
1999 | Tests 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: 707 | paper | |
2013 | Advances in Forecast Evaluation In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 118 |
2011 | Advances in forecast evaluation.(2011) In: Working Papers (Old Series). [Full Text][Citation analysis] This paper has another version. Agregated cites: 118 | paper | |
2011 | Advances in forecast evaluation.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 118 | paper | |
2005 | The power of tests of predictive ability in the presence of structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 62 |
2007 | Asymptotics for out of sample tests of Granger causality In: Journal of Econometrics. [Full Text][Citation analysis] | article | 406 |
2012 | In-sample tests of predictive ability: A new approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
2009 | In-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 | |
2009 | In-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 | |
2015 | Nested forecast model comparisons: A new approach to testing equal accuracy In: Journal of Econometrics. [Full Text][Citation analysis] | article | 63 |
2009 | Nested 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: 63 | paper | |
2009 | Nested 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: 63 | paper | |
2017 | Tests of equal accuracy for nested models with estimated factors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 16 |
2015 | Tests of Equal Accuracy for Nested Models with Estimated Factors.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2000 | Robust out-of-sample inference In: Journal of Econometrics. [Full Text][Citation analysis] | article | 118 |
2004 | Parameter estimation and tests of equal forecast accuracy between non-nested models In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 19 |
2012 | Consistent Testing for Structural Change at the Ends of the Sample In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 1 |
2012 | Consistent testing for structural change at the ends of the sample.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2013 | Evaluating the Accuracy of Forecasts from Vector Autoregressions?The views expressed herein are solely those of the authors and do not necessarily reflect the views of the Federal Reserve Bank of Clev In: Advances in Econometrics. [Full Text][Citation analysis] | chapter | 0 |
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2011 | Tests of equal forecast accuracy for overlapping models In: Working Papers (Old Series). [Full Text][Citation analysis] | paper | 7 |
2011 | Tests of equal forecast accuracy for overlapping models.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2014 | TESTS OF EQUAL FORECAST ACCURACY FOR OVERLAPPING MODELS.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2014 | Evaluating Conditional Forecasts from Vector Autoregressions In: Working Papers (Old Series). [Citation analysis] | paper | 12 |
2014 | Evaluating Conditional Forecasts from Vector Autoregressions.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2007 | Forecasting with small macroeconomic VARs in the presence of instabilities In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 16 |
2007 | Averaging forecasts from VARs with uncertain instabilities In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 132 |
2006 | Averaging forecasts from VARs with uncertain instabilities.(2006) In: Research Working Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
2008 | Averaging forecasts from VARs with uncertain instabilities.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
2010 | Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | article | |
2010 | Averaging forecasts from VARs with uncertain instabilities.(2010) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | article | |
2001 | Evaluating long-horizon forecasts In: Research Working Paper. [Full Text][Citation analysis] | paper | 24 |
2002 | Forecast-based model selection in the presence of structural breaks In: Research Working Paper. [Full Text][Citation analysis] | paper | 10 |
2003 | The predictive content of the output gap for inflation : resolving in-sample and out-of-sample evidence In: Research Working Paper. [Full Text][Citation analysis] | paper | 111 |
2006 | The 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: 111 | article | |
2003 | The 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: 111 | paper | |
2004 | Improving forecast accuracy by combining recursive and rolling forecasts In: Research Working Paper. [Full Text][Citation analysis] | paper | 97 |
2008 | Improving forecast accuracy by combining recursive and rolling forecasts.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | paper | |
2009 | IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS.(2009) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 97 | article | |
2006 | Forecasting of small macroeconomic VARs in the presence of instabilities In: Research Working Paper. [Full Text][Citation analysis] | paper | 4 |
2009 | Uncertainty about when the Fed will raise interest rates In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2010 | Using stock market liquidity to forecast recessions In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
2010 | Using FOMC forecasts to forecast the economy In: Economic Synopses. [Full Text][Citation analysis] | article | 10 |
2011 | Should food be excluded from core CPI? In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2011 | Initial claims and employment growth: are we at the threshold? In: Economic Synopses. [Full Text][Citation analysis] | article | 2 |
2011 | Housings role in a recovery In: Economic Synopses. [Full Text][Citation analysis] | article | 1 |
2012 | Following the Fed with a news tracker In: Economic Synopses. [Full Text][Citation analysis] | article | 0 |
2009 | How accurate are forecasts in a recession? In: National Economic Trends. [Full Text][Citation analysis] | article | 1 |
2016 | Tracking the U.S. Economy with Nowcasts In: The Regional Economist. [Full Text][Citation analysis] | article | 0 |
2010 | Disagreement at the FOMC: the dissenting votes are just part of the story In: The Regional Economist. [Full Text][Citation analysis] | article | 12 |
2014 | Factor-based prediction of industry-wide bank stress In: Review. [Full Text][Citation analysis] | article | 7 |
2016 | A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth In: Review. [Full Text][Citation analysis] | article | 2 |
2021 | FRED-QD: A Quarterly Database for Macroeconomic Research In: Review. [Full Text][Citation analysis] | article | 67 |
2020 | FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2020 | FRED-QD: A Quarterly Database for Macroeconomic Research.(2020) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | paper | |
2011 | Real-time forecast averaging with ALFRED In: Review. [Full Text][Citation analysis] | article | 5 |
2010 | Real-time forecast averaging with ALFRED.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2009 | Forecast disagreement among FOMC members In: Working Papers. [Full Text][Citation analysis] | paper | 23 |
2010 | Testing for unconditional predictive ability In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2010 | Reality checks and nested forecast model comparisons In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2012 | Comment on \Taylor rule exchange rate forecasting during the financial crisis\ In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Comment 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 | |
2012 | Asymptotic Inference for Performance Fees and the Predictability of Asset Returns In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2018 | Asymptotic 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: 7 | article | |
2012 | Multi-step ahead forecasting of vector time series In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2017 | Multistep ahead forecasting of vector time series.(2017) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2013 | Evaluating the accuracy of forecasts from vector autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2015 | FRED-MD: A Monthly Database for Macroeconomic Research In: Working Papers. [Full Text][Citation analysis] | paper | 386 |
2016 | FRED-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: 386 | article | |
2020 | Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2021 | Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR.(2021) In: International Journal of Central Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2017 | An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2019 | An 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: 5 | article | |
2019 | Tests of Conditional Predictive Ability: Some Simulation Evidence In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Diverging Tests of Equal Predictive Ability In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Diverging Tests of Equal Predictive Ability.(2020) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2021 | Binary Conditional Forecasts In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Binary Conditional Forecasts.(2022) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2020 | Tests of Conditional Predictive Ability: Existence, Size, and Power In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Reconsidering the Feds Inflation Forecasting Advantage In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | On the Real-Time Predictive Content of Financial Conditions Indices for Growth In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2023 | On the real?time predictive content of financial condition indices for growth.(2023) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2005 | Evaluating the Predictability of Exchange Rates Using Long-Horizon Regressions: Mind Your ps and qs! In: Journal of Money, Credit and Banking. [Citation analysis] | article | 24 |
2006 | Pairwise tests of equal forecast accuracy (in Russian) In: Quantile. [Full Text][Citation analysis] | article | 0 |
2005 | Evaluating Direct Multistep Forecasts In: Econometric Reviews. [Full Text][Citation analysis] | article | 139 |
2011 | Reality Checks and Comparisons of Nested Predictive Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 36 |
2012 | Reality Checks and Comparisons of Nested Predictive Models.(2012) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 36 | article | |
2013 | Comment In: NBER International Seminar on Macroeconomics. [Full Text][Citation analysis] | article | 0 |
2017 | Tests of Predictive Ability for Vector Autoregressions Used for Conditional Forecasting In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 6 |
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