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Michael W. McCracken

Assistant Vice-President


Ph.D. Economics
University of Wisconsin-Madison

B.S. Mathematics
University of Kansas

Contact Info

Phone: (314) 444-8594
Fax: (314) 444-8731

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

For media inquiries, contact:
Karen Mracek
Phone: (314) 444-3911

Forthcoming Publications

"Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors"
with Todd E. Clark and Elmar Mertens
Review of Economics and Statistics

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

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

"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

"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

"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

"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

"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

"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

"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

"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

"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

"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

"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 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

"Evaluating Direct Multi-Step Forecasts"
with Todd E. Clark
Econometric Reviews, October 2005, Vol. 24, No. 4, pp. 369-404

"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


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