Home > Economists > Michael W. McCracken

Michael W. McCracken Research Officer

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Published Articles

"Combining Forecasts From Nested Models"
with Todd E. Clark
FORTHCOMING: Oxford Bulletin of Economics and Statistics
Abstract | Full Text (PDF)

"Averaging Forecasts from VARs with Uncertain Instabilities"
with Todd E. Clark
FORTHCOMING: Journal of Applied Econometrics
Abstract | Full Text (PDF)

"Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts"
with Todd E. Clark
FORTHCOMING: International Economic Review
Abstract | Full Text (PDF)

"Tests of Equal Predictive Ability with Real-Time Data"
with Todd E. Clark
Journal of Business and Economic Statistics, January 2009, 27(4), pp. 441-54.

"Asymptotics for Out-of-Sample Tests of Granger Causality"
Journal of Econometrics, October 2007, 140(2), pp. 719-52.

All Articles Published in Peer-Reviewed Journals

Articles in Federal Reserve Publications

"Combining Forecasts from Nested Models"
with Todd E. Clark
Board of Governors of the Federal Reserve System Finance and Economics Discussion Series, 2007-43, 2007.

Other Publications and Edited Volumes

"Forecasting with Small Macroeconomic VARs in the Presence of Instabilities"
with T.E. Clark
in D.E. Rapach and M.E. Wohar, eds., Frontiers of Economics and Globalization: Forecasting in the Presence of Structural Breaks and Model Uncertainty, Amsterdam: Elsevier, 2008, pp. 93-147.

"Pairwise Tests of Equal Forecast Accuracy"
Quantile, September 2006, 1, pp. 53-62.

"Inference About Predictive Ability"
with Kenneth D. West
in Michael Clements and David Henry, eds., A Companion to Economic Forecasting. Oxford, U.K.: Blackwell Publishers, 2001, pp. 299-321.

"An Out-of-Sample Nonparametric Test of the Martingale Difference Hypothesis"
in Thomas Fomby and Carter Hill, eds., Advances in Econometrics: Applying Kernel and Nonparametric Estimation to Economic Topics. Stamford, CT.: JAI Press, 2000.

Working Papers

2009-051A "In-Sample Tests of Predictive Ability: A New Approach" - October 2009
with Todd E. Clark
Abstract | Full Text (PDF)

2009-050A "Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy" - October 2009
with Todd E. Clark
Abstract | Full Text (PDF)

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Recent Commentary

"Uncertainty About When the Fed Will Raise Interest Rates"
Federal Reserve Bank of St. Louis Economic Synopses, 2009, No. 29.

"How Accurate Are Forecasts in a Recession?"
Federal Reserve Bank of St. Louis Economic Synopses, 2009, No. 9.

Education

Degree	Institution	Major	Date
Ph.D.	University of Wisconsin–Madison	Economics	1998
B.S.	University of Kansas	Mathematics	1989