Mike McCracken

Standard Vita

IDEAS

Education

Ph.D. Economics
University of Wisconsin–Madison
1998

B.S. Mathematics
University of Kansas
1989

Contact Info

Phone: (314) 444-8594
Fax: (314) 444-8731
Email: Michael.W.McCracken@stls.frb.org

Research Division
Federal Reserve Bank of St. Louis
P.O. Box 442
St. Louis, MO 63166-0442

For media inquiries contact:
Adam Allington
mediainquiries@stls.frb.org
Office: (314) 444-8783
Cell: (314) 313-3783

Michael W. McCracken

Articles Published in Peer-Reviewed Journals

"Evaluating the Accuracy of Forecasts from Vector Autoregressions"
with Todd E. Clark
FORTHCOMING: Advances in econometrics.

"Tests of Equal Forecast Accuracy for Overlapping Models"
with Todd E. Clark
FORTHCOMING: Journal of Applied Econometrics.

"Advances in Forecast Evaluation"
with Todd E. Clark
Handbook of Economic Forecasting, September 2013, 2, pp. 1107-1201.

"Comment on "Taylor Rule Exchange Rate Forecasting During the Financial Crisis""
NBER International Seminar on Macroeconomics, July 2013, 9, pp. 98-105.

"Consistent Testing for Structural Change at the Ends of the Sample"
Advances in econometrics, 2013, 30, pp. 133-69.

"In-Sample Tests of Predictive Ability: A New Approach"
with Todd E. Clark
Journal of Econometrics, September 2012, 170(1), pp. 1-14.

"Reality Checks and Nested Forecast Model Comparisons"
with Todd E. Clark
Journal of Business and Economic Statistics, 2012, 30(1), pp. 53-66.

"Testing for Unconditional Predictive Ability"
with Todd E. Clark
Oxford Handbook on Economic Forecasting, July 2011, pp. 415-40.

"Averaging Forecasts from VARs with Uncertain Instabilities"
with Todd E. Clark
Journal of Applied Econometrics, January/February 2010, 25(1), pp. 5-29.

"Combining Forecasts From Nested Models"
with Todd E. Clark
Oxford Bulletin of Economics and Statistics, June 2009, 71(3), pp. 303-29.

"Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts"
with Todd E. Clark
International Economic Review, May 2009, 50(2), pp. 363-95.

"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.

"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.

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

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

"The Predictive Content of the Output Gap for Inflation: Resolving In-Sample and Out-of-Sample Evidence"
with Todd E. Clark
Journal of Money, Credit and Banking, August 2006, 38(5), pp. 1127-48.

"Evaluating Direct Multi-Step Forecasts"
with Todd E. Clark
Econometric Reviews, October 2005, 24(4), pp. 369-404.

"Evaluating the Predictability of Exchange Rates using Long-Horizon Regressions: Mind Your p's and q's!"
with Stephen G. Sapp
Journal of Money, Credit and Banking, June 2005, 37(3), pp. 473-94.

"The Power of Tests of Predictive Ability in the Presence of Structural Breaks" with Todd E. Clark
Journal of Econometrics, January 2005, 124(1), pp. 1-31.

"Parameter Estimation and Tests of Equal Forecast Accuracy Between Non-nested Models"
International Journal of Forecasting, July-September 2004, 20(3), pp. 503-14.

"Economic Communication in the 'Lost Decade': News Coverage and the Japanese Recession"
with H. Denis Wu and Shinichi Saito
International Journal for Communication Studies, April 2004, 66(2), pp. 133-49.

"Tests of Equal Forecast Accuracy and Encompassing for Nested Models"
with Todd E. Clark
Journal of Econometrics, November 2001, 105(1), pp. 85-110.

"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.

"Robust Out-of-Sample Inference"
Journal of Econometrics, December 2000, 99(2), pp. 195-223.

"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.

"Regression-Based Tests of Predictive Ability"
with Kenneth D. West
International Economic Review, November 1998, 39(4), pp. 817-40.


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