Forthcoming Publications

"Reconsidering the Fed's Inflation Forecasting Advantage"
with  Amy Guisinger and Michael T. Owyang
Journal of Money, Credit, and Banking

Journal Publications

"Testing the Economic Value of Asset Return Predictability"
with  Giorgio Valente
Journal of Business & Economic Statistics
Working Paper

"An Empirical Investigation of Direct and Iterated Multistep Conditional Forecasts"
with  Joseph McGillicuddy
Journal of Applied Econometrics
Working Paper
https://doi.org/10.1002/jae.2668

"On the Real-Time Predictive Content of Financial Conditions Indices for Growth"
with  Aaron Amburgey
Journal of Applied Econometrics, March 2023, Vol. 38, No. 2, pp. 137-163
Working Paper
https://doi.org/10.1002/jae.2943

"Binary Conditional Forecasts"
with  Joseph McGillicuddy and Michael T. Owyang
Journal of Business & Economic Statistics, 2022, Vol. 40, No. 3, pp. 1246-1258
Working Paper
Replication files
https://doi.org/10.1080/07350015.2021.1920960

"Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR"
with Michael T. Owyang and  Tatevik Sekhposyan
International Journal of Central Banking, December 2021, Vol. 17, No. 5, pp. 327-367
Working Paper

"Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors"
with  Todd E. Clark and  Elmar Mertens
Review of Economics and Statistics, March, Vol. 102, No. 1, pp. 17-33
Working Paper
https://doi.org/10.1162/rest_a_00809

"Diverging Tests of Equal Predictive Ability"
Econometrica, July, Vol. 88, No. 4, pp. 1753-1754
Working Paper
https://doi.org/10.3982/ecta17523

"Multi-Step Ahead Forecasting of Vector Time Series"
with  Tucker McElroy
Econometric Reviews, May 2017, Vol. 36, No. 5, pp. 495-513
Working Paper
https://doi.org/10.1080/07474938.2014.977088

"Tests Of Predictive Ability For Vector Autoregressions Used For Conditional Forecasting"
with  Todd E. Clark
Journal of Applied Econometrics, April 2017, Vol. 32, No. 3, pp. 533-553
Working Paper
https://doi.org/10.1002/jae.2529

"Tests of Equal Accuracy for Nested Models with Estimated Factors"
with  Silvia Goncalves and  Benoit Perron
Journal of Econometrics, June 2017, Vol. 198, No. 2, pp. 231-252
Working Paper
https://doi.org/10.1016/j.jeconom.2017.01.004

"FRED-MD: A Monthly Database for Macroeconomic Research"
with  Serena Ng
Journal of Business & Economic Statistics, October 2016, Vol. 34, No. 4, pp. 574-589
Working Paper
https://doi.org/10.1080/07350015.2015.1086655

"Nested Forecast Model Comparisons: A New Approach to Testing Equal Accuracy"
with  Todd E. Clark
Journal of Econometrics, May 2015, Vol. 186, No. 1, pp. 160-177
Working Paper
https://doi.org/10.1016/j.jeconom.2014.06.016

"Tests of Equal Forecast Accuracy for Overlapping Models"
with  Todd E. Clark
Journal of Applied Econometrics, April/May 2014, Vol. 29, No. 3, pp. 415-430
Working Paper
https://doi.org/10.1002/jae.2316

"Evaluating The Accuracy Of Forecasts From Vector Autoregressions"
with  Todd E. Clark
Advances in Econometrics, 2013, No. 32, pp. 117-168

"In-Sample Tests of Predictive Ability: A New Approach"
with  Todd E. Clark
Journal of Econometrics, September 2012, Vol. 170, No. 1, pp. 1-14
Working Paper

"Consistent Testing For Structural Change At The Ends Of The Sample"
Advances in Econometrics, 2012, No. 30, pp. 133-169

"Reality Checks and Comparisons of Nested Predictive Models"
with  Todd E. Clark
Journal of Business & Economic Statistics, 2012, Vol. 30, No. 1, pp. 53-66
Working Paper
https://doi.org/10.1198/jbes.2011.10278

"Averaging Forecasts from VARs with Uncertain Instabilities"
with  Todd E. Clark
Journal of Applied Econometrics, January/February 2010, Vol. 25, No. 1, pp. 5-29
Working Paper
https://doi.org/10.1002/jae.1127

"Combining Forecasts From Nested Models"
with  Todd E. Clark
Oxford Bulletin of Economics and Statistics, June 2009, Vol. 71, No. 3, pp. 303-329
Working Paper
https://doi.org/10.1111/j.1468-0084.2009.00547.x

"Improving forecast accuracy by combining recursive and rolling forecasts"
with  Todd E. Clark
International Economic Review, May 2009, Vol. 50, No. 2, pp. 363-395
https://doi.org/10.1111/j.1468-2354.2009.00533.x

"Tests of Equal Predictive Ability with Real-Time Data"
with  Todd E. Clark
Journal of Business & Economic Statistics, January 2009, Vol. 27, pp. 441-454
Working Paper
https://doi.org/10.1198/jbes.2009.07204

"Asymptotics for Out-of-Sample Tests of Granger Causality"
Journal of Econometrics, October 2007, Vol. 140, No. 2, pp. 719-752

"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, Vol. 38, No. 5, pp. 1127-1148

"Evaluating Direct Multi-Step Forecasts"
with  Todd E. Clark
Econometric Reviews, October 2005, Vol. 24, No. 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, Vol. 37, No. 3, pp. 473-494

"The Power of Tests of Predictive Ability in the Presence of Structural Breaks"
with  Todd E. Clark
Journal of Econometrics, January 2005, Vol. 124, No. 1, pp. 1-31

"Economic Communication in the ‘Lost Decade’: News Coverage and the Japanese Recession"
with  S. Saito and  H.D. Wu
Gazette - The International Journal for Communication Studies, April 2004, Vol. 66, No. 2, pp. 133-149

"Parameter Estimation and Tests of Equal Forecast Accuracy Between Non-nested Models"
International Journal of Forecasting, July-September 2004, Vol. 20, No. 3, pp. 503-514

"Tests of Equal Forecast Accuracy and Encompassing for Nested Models"
with  Todd E. Clark
Journal of Econometrics, November 2001, Vol. 105, No. 1, pp. 85-110

"Robust Out of Sample Inference"
Journal of Econometrics, December 2000, Vol. 99, No. 2, pp. 195-223

"Regression-Based Tests of Predictive Ability"
with  Kenneth D. West
International Economic Review, November 1998, Vol. 39, No. 4, pp. 817-40