Details about Michael Peter Clements
Access statistics for papers by Michael Peter Clements.
Last updated 2024-12-06. Update your information in the RePEc Author Service.
Short-id: pcl24
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Working Papers
2024
- An Investigation into the Uncertainty Revision Process of Professional Forecasters
Working Papers, Federal Reserve Bank of Cleveland 
2023
- Do Professional Forecasters' Phillips Curves Incorporate the Beliefs of Others?
Economics Discussion Papers, Department of Economics, University of Reading
2022
- Forecasting: theory and practice
Papers, arXiv.org View citations (59)
See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (24) (2022)
- Surveys of Professionals
Working Papers, Federal Reserve Bank of Cleveland View citations (1)
2021
- How Local is the Local Inflation Factor? Evidence from Emerging European Countries
Working Papers, Copenhagen Business School, Department of Economics
See also Journal Article How local is the local inflation factor? Evidence from emerging European countries, International Journal of Forecasting, Elsevier (2024) View citations (3) (2024)
2020
- Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
See also Journal Article Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts, International Journal of Forecasting, Elsevier (2021) View citations (5) (2021)
- Individual Forecaster Perceptions of the Persistence of Shocks to GDP
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
See also Journal Article Individual forecaster perceptions of the persistence of shocks to GDP, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (3) (2022)
2018
- Assessing Macro-Forecaster Herding: Modelling versus Testing
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
2017
- Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
- Do forecasters target first or later releases of national accounts data?
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
See also Journal Article Do forecasters target first or later releases of national accounts data?, International Journal of Forecasting, Elsevier (2019) View citations (8) (2019)
2016
- An Overview of Forecasting Facing Breaks
Economics Series Working Papers, University of Oxford, Department of Economics View citations (22)
See also Journal Article An Overview of Forecasting Facing Breaks, Journal of Business Cycle Research, Springer (2016) View citations (22) (2016)
- Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
- Are Macroeconomic Density Forecasts Informative?
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (6)
See also Journal Article Are macroeconomic density forecasts informative?, International Journal of Forecasting, Elsevier (2018) View citations (30) (2018)
- Sir Clive W.J. Granger's Contributions to Forecasting
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
2015
- Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (4)
See also Journal Article Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (9) (2017)
- Forecasters' Disagreement about How the Economy Operates, and the Role of Long-run Relationships
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
2014
- Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
- Assessing the Evidence of Macro- Forecaster Herding: Forecasts of Inflation and Output Growth
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
- Do US Macroeconomic Forecasters Exaggerate Their Differences?
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
See also Journal Article Do US Macroeconomic Forecasters Exaggerate their Differences?, Journal of Forecasting, John Wiley & Sons, Ltd. (2015) View citations (8) (2015)
- Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
See also Journal Article Long-run restrictions and survey forecasts of output, consumption and investment, International Journal of Forecasting, Elsevier (2016) View citations (7) (2016)
- Measuring Macroeconomic Uncertainty: US Inflation and Output Growth
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (10)
- Real-Time Factor Model Forecasting and the Effects of Instability
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
See also Journal Article Real-time factor model forecasting and the effects of instability, Computational Statistics & Data Analysis, Elsevier (2016) View citations (7) (2016)
- Robust Approaches to Forecasting
Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
See also Journal Article Robust approaches to forecasting, International Journal of Forecasting, Elsevier (2015) View citations (37) (2015)
2012
- Forecasting by factors, by variables, or both?
Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
- Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation
Economic Research Papers, University of Warwick - Department of Economics View citations (4)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2012) View citations (4)
See also Journal Article Probability distributions or point predictions? Survey forecasts of US output growth and inflation, International Journal of Forecasting, Elsevier (2014) View citations (18) (2014)
- Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (1)
Also in Economic Research Papers, University of Warwick - Department of Economics (2012) View citations (1)
- US inflation expectations and heterogeneous loss functions, 1968–2010
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
Also in Economic Research Papers, University of Warwick - Department of Economics (2012)
See also Journal Article US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010, Journal of Forecasting, John Wiley & Sons, Ltd. (2014) View citations (6) (2014)
2011
- Do Professional Forecasters Pay Attention to Data Releases?
Economic Research Papers, University of Warwick - Department of Economics View citations (1)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2011) View citations (1)
See also Journal Article Do professional forecasters pay attention to data releases?, International Journal of Forecasting, Elsevier (2012) View citations (13) (2012)
- Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
2010
- Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
- Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions
Economic Research Papers, University of Warwick - Department of Economics View citations (8)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2010) View citations (10)
- Why are survey forecasts superior to model forecasts?
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
Also in Economic Research Papers, University of Warwick - Department of Economics (2010)
2009
- First Announcements and Real Economic Activity
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
Also in Economic Research Papers, University of Warwick - Department of Economics (2008)
See also Journal Article First announcements and real economic activity, European Economic Review, Elsevier (2010) View citations (18) (2010)
2008
- Explanations of the inconsistencies in survey respondents' forecasts
Economic Research Papers, University of Warwick - Department of Economics View citations (2)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2008) View citations (2)
See also Journal Article Explanations of the inconsistencies in survey respondents' forecasts, European Economic Review, Elsevier (2010) View citations (50) (2010)
- Rounding of probability forecasts: The SPF forecast probabilities of negative output growth
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
Also in Economic Research Papers, University of Warwick - Department of Economics (2008)
2007
- Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth
Working Papers, Queen Mary University of London, School of Economics and Finance View citations (11)
2006
- Forecast Encompassing Tests and Probability Forecasts
Economic Research Papers, University of Warwick - Department of Economics View citations (6)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (2006) View citations (6)
See also Journal Article Forecast encompassing tests and probability forecasts, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) View citations (21) (2010)
- Internal consistency of survey respondents.forecasts: Evidence based on the Survey of Professional Forecasters
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (2)
Also in Economic Research Papers, University of Warwick - Department of Economics (2006)
- Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (9)
Also in Economic Research Papers, University of Warwick - Department of Economics (2006) View citations (7)
- Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (5)
Also in Economic Research Papers, University of Warwick - Department of Economics (2006) View citations (1)
See also Journal Article Quantile forecasts of daily exchange rate returns from forecasts of realized volatility, Journal of Empirical Finance, Elsevier (2008) View citations (80) (2008)
2003
- Forecasting economic and financial time-series with non-linear models
Departmental Working Papers, Rutgers University, Department of Economics View citations (8)
See also Journal Article Forecasting economic and financial time-series with non-linear models, International Journal of Forecasting, Elsevier (2004) View citations (64) (2004)
2002
- Economic Forecasting: Some Lessons from Recent Research
Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (10)
Also in Working Paper Series, European Central Bank (2001) View citations (25)
Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (21)
Economics Series Working Papers, University of Oxford, Department of Economics (2001) View citations (20)
See also Journal Article Economic forecasting: some lessons from recent research, Economic Modelling, Elsevier (2003) View citations (65) (2003)
2001
- MODELLING BUSINESS CYCLE FEATURES USING SWITCHING REGIME MODELS
Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
Also in Economics Series Working Papers, University of Oxford, Department of Economics (2001) View citations (3)
- Pooling of Forecasts
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (12)
See also Journal Article Pooling of forecasts, Econometrics Journal, Royal Economic Society (2004) View citations (228) (2004)
2000
- Forecasting with Difference-Stationary and Trend-Stationary Models
Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998)
Economic Research Papers, University of Warwick - Department of Economics (1998)
See also Journal Article Forecasting with difference-stationary and trend-stationary models, Econometrics Journal, Royal Economic Society (2001) View citations (42) (2001)
1999
- Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (9)
Also in Economic Research Papers, University of Warwick - Department of Economics (1998) View citations (1)
See also Journal Article Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (104) (2003)
- On SETAR non- linearity and forecasting
Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (18)
See also Journal Article On SETAR non-linearity and forecasting, Journal of Forecasting, John Wiley & Sons, Ltd. (2003) View citations (31) (2003)
1998
- EVALUATING THE FORECAST DENSITIES OF LINEAR AND NON-LINEAR MODELS: APPLICATIONS TO OUTPUT GROWTH AND UNEMPLOYMENT
Economic Research Papers, University of Warwick - Department of Economics View citations (5)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) View citations (38)
- NON-LINEARITIES IN EXCHANGE RATES
Economic Research Papers, University of Warwick - Department of Economics View citations (3)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) View citations (4)
1997
- A COMPARISON OF THE FORECAST PERFORMANCE OF MARKOV-SWITCHING AND THRESHOLD AUTOREGRESSIVE MODELS OF US GNP
Economic Research Papers, University of Warwick - Department of Economics View citations (1)
See also Journal Article A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP, Econometrics Journal, Royal Economic Society (1998) View citations (135) (1998)
- A Comparison of the Forecasting Performance of Markov-Switching and Threshold Autoregressive Models of US GNP
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (5)
- FORECASTING SEASONAL UK CONSUMPTION COMPONENTS
Economic Research Papers, University of Warwick - Department of Economics
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997)
Economic Research Papers, University of Warwick - Department of Economics (1997)
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997)
- SEASONALITY, COINTEGRATION, AND THE FORECASTING OF ENERGY DEMAND
Economic Research Papers, University of Warwick - Department of Economics
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1997)
1996
- A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (5)
See also Journal Article A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1999) View citations (92) (1999)
- Evaluating the Rationality of Fixed-Event Forecasts
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (5)
Also in Economic Research Papers, University of Warwick - Department of Economics (1996) View citations (2)
- MULTI-STEP ESTIMATION FOR FORECASTING
Economic Research Papers, University of Warwick - Department of Economics View citations (84)
Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1996) View citations (85)
See also Journal Article Multi-step Estimation for Forecasting, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (84) (1996)
- Performance of Alternative Forecasting Methods for Setar Models
The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (4)
Also in Economic Research Papers, University of Warwick - Department of Economics (1996) View citations (3)
See also Journal Article The performance of alternative forecasting methods for SETAR models, International Journal of Forecasting, Elsevier (1997) View citations (76) (1997)
1992
- Forecasting in Cointegrated Systems
Economics Series Working Papers, University of Oxford, Department of Economics View citations (27)
- On the Limitations of Comparing Mean Square Forecast Errors
Economics Series Working Papers, University of Oxford, Department of Economics View citations (51)
1991
- Testing Structural Hypotheses by Encompassing: Us Wages and Prices is the Mark-Up Pricing Hypothesis Dead?
Economics Series Working Papers, University of Oxford, Department of Economics
1990
- THE MATHEMATICAL STRUCTURE OF MODELS THAT EXHIBIT COINTEGRATION: A SURVEY OF RECENT APPROACHES
Economics Series Working Papers, University of Oxford, Department of Economics
1989
- THE ESTIMATION AND TESTING OF COINTEGRATING VECTORS: A SURVEY OF RECENT APPROACHES AND AN APPLICATION TO THE U.K. NON-DURABLE CONSUMPTION FUNCTION
Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
Journal Articles
2024
- Do professional forecasters believe in the Phillips curve?
International Journal of Forecasting, 2024, 40, (3), 1238-1254 View citations (1)
- How local is the local inflation factor? Evidence from emerging European countries
International Journal of Forecasting, 2024, 40, (1), 160-183 View citations (3)
See also Working Paper How Local is the Local Inflation Factor? Evidence from Emerging European Countries, Working Papers (2021) (2021)
- Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process*
Journal of Financial Econometrics, 2024, 22, (3), 743-772
- Survey expectations and adjustments for multiple testing
Journal of Economic Behavior & Organization, 2024, 224, (C), 338-354
2023
- Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Journal of Applied Econometrics, 2023, 38, (2), 164-185 View citations (1)
- Forecasting GDP growth rates in the United States and Brazil using Google Trends
International Journal of Forecasting, 2023, 39, (4), 1909-1924 View citations (1)
- The choice of performance measures, target setting and vesting levels in UK firms' Chief Executive Officer equity‐based compensation
International Journal of Finance & Economics, 2023, 28, (4), 4246-4270
2022
- Forecaster Efficiency, Accuracy, and Disagreement: Evidence Using Individual‐Level Survey Data
Journal of Money, Credit and Banking, 2022, 54, (2-3), 537-568 View citations (1)
- Forecasting: theory and practice
International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (24)
See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (59) (2022)
- Individual forecaster perceptions of the persistence of shocks to GDP
Journal of Applied Econometrics, 2022, 37, (3), 640-656 View citations (3)
See also Working Paper Individual Forecaster Perceptions of the Persistence of Shocks to GDP, ICMA Centre Discussion Papers in Finance (2020) View citations (2) (2020)
2021
- Do survey joiners and leavers differ from regular participants? The US SPF GDP growth and inflation forecasts
International Journal of Forecasting, 2021, 37, (2), 634-646 View citations (5)
See also Working Paper Do Survey Joiners and Leavers Differ from Regular Participants? The US SPF GDP Growth and Inflation Forecasts, ICMA Centre Discussion Papers in Finance (2020) View citations (2) (2020)
- Measuring the effects of expectations shocks
Journal of Economic Dynamics and Control, 2021, 124, (C) View citations (8)
- Rounding behaviour of professional macro-forecasters
International Journal of Forecasting, 2021, 37, (4), 1614-1631 View citations (11)
2020
- Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others?
Econometrics, 2020, 8, (2), 1-16 View citations (6)
- Forecasting and forecast narratives: The Bank of England Inflation Reports
International Journal of Forecasting, 2020, 36, (4), 1488-1500 View citations (17)
2019
- Do forecasters target first or later releases of national accounts data?
International Journal of Forecasting, 2019, 35, (4), 1240-1249 View citations (8)
See also Working Paper Do forecasters target first or later releases of national accounts data?, ICMA Centre Discussion Papers in Finance (2017) View citations (2) (2017)
2018
- Are macroeconomic density forecasts informative?
International Journal of Forecasting, 2018, 34, (2), 181-198 View citations (30)
See also Working Paper Are Macroeconomic Density Forecasts Informative?, ICMA Centre Discussion Papers in Finance (2016) View citations (6) (2016)
- Do Macroforecasters Herd?
Journal of Money, Credit and Banking, 2018, 50, (2-3), 265-292 View citations (7)
- Independent directors, information costs and foreign ownership in Chinese companies
Journal of International Financial Markets, Institutions and Money, 2018, 53, (C), 139-157 View citations (10)
2017
- Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision
Journal of Business & Economic Statistics, 2017, 35, (3), 420-433 View citations (9)
See also Working Paper Assessing Macro Uncertainty In Real-Time When Data Are Subject To Revision, ICMA Centre Discussion Papers in Finance (2015) View citations (4) (2015)
- Model and survey estimates of the term structure of US macroeconomic uncertainty
International Journal of Forecasting, 2017, 33, (3), 591-604 View citations (21)
- Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
Journal of Business & Economic Statistics, 2017, 35, (3), 389-406 View citations (18)
2016
- An Overview of Forecasting Facing Breaks
Journal of Business Cycle Research, 2016, 12, (1), 3-23 View citations (22)
See also Working Paper An Overview of Forecasting Facing Breaks, Economics Series Working Papers (2016) View citations (22) (2016)
- Long-run restrictions and survey forecasts of output, consumption and investment
International Journal of Forecasting, 2016, 32, (3), 614-628 View citations (7)
See also Working Paper Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment, ICMA Centre Discussion Papers in Finance (2014) (2014)
- Real-time factor model forecasting and the effects of instability
Computational Statistics & Data Analysis, 2016, 100, (C), 661-675 View citations (7)
See also Working Paper Real-Time Factor Model Forecasting and the Effects of Instability, ICMA Centre Discussion Papers in Finance (2014) (2014)
2015
- Are Professional Macroeconomic Forecasters Able To Do Better Than Forecasting Trends?
Journal of Money, Credit and Banking, 2015, 47, (2-3), 349-382 View citations (13)
- Do US Macroeconomic Forecasters Exaggerate their Differences?
Journal of Forecasting, 2015, 34, (8), 649-660 View citations (8)
See also Working Paper Do US Macroeconomic Forecasters Exaggerate Their Differences?, ICMA Centre Discussion Papers in Finance (2014) (2014)
- Forecasting with Bayesian multivariate vintage-based VARs
International Journal of Forecasting, 2015, 31, (3), 757-768 View citations (11)
- Robust approaches to forecasting
International Journal of Forecasting, 2015, 31, (1), 99-112 View citations (37)
See also Working Paper Robust Approaches to Forecasting, Economics Series Working Papers (2014) View citations (1) (2014)
2014
- Forecast Uncertainty- Ex Ante and Ex Post: U.S. Inflation and Output Growth
Journal of Business & Economic Statistics, 2014, 32, (2), 206-216 View citations (89)
- Probability distributions or point predictions? Survey forecasts of US output growth and inflation
International Journal of Forecasting, 2014, 30, (1), 99-117 View citations (18)
See also Working Paper Probability Distributions or Point Predictions? Survey Forecasts of US Output Growth and Inflation, Economic Research Papers (2012) View citations (4) (2012)
- US Inflation Expectations and Heterogeneous Loss Functions, 1968–2010
Journal of Forecasting, 2014, 33, (1), 1-14 View citations (6)
See also Working Paper US inflation expectations and heterogeneous loss functions, 1968–2010, The Warwick Economics Research Paper Series (TWERPS) (2012) (2012)
2013
- Forecasting by factors, by variables, by both or neither?
Journal of Econometrics, 2013, 177, (2), 305-319 View citations (37)
- Forecasting with vector autoregressive models of data vintages: US output growth and inflation
International Journal of Forecasting, 2013, 29, (4), 698-714 View citations (23)
- REAL‐TIME FORECASTING OF INFLATION AND OUTPUT GROWTH WITH AUTOREGRESSIVE MODELS IN THE PRESENCE OF DATA REVISIONS
Journal of Applied Econometrics, 2013, 28, (3), 458-477 View citations (39)
2012
- Do professional forecasters pay attention to data releases?
International Journal of Forecasting, 2012, 28, (2), 297-308 View citations (13)
See also Working Paper Do Professional Forecasters Pay Attention to Data Releases?, Economic Research Papers (2011) View citations (1) (2011)
- Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty
Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (1), 27 View citations (2)
- Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models
Journal of Business & Economic Statistics, 2012, 30, (4), 554-562 View citations (13)
2011
- An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms
Journal of Money, Credit and Banking, 2011, 43, (1), 207-220 View citations (9)
Also in Journal of Money, Credit and Banking, 2011, 43, (1), 207-220 (2011) View citations (4)
- Combining probability forecasts
International Journal of Forecasting, 2011, 27, (2), 208-223 View citations (32)
Also in International Journal of Forecasting, 2011, 27, (2), 208-223 (2011) View citations (32)
2010
- Explanations of the inconsistencies in survey respondents' forecasts
European Economic Review, 2010, 54, (4), 536-549 View citations (50)
See also Working Paper Explanations of the inconsistencies in survey respondents' forecasts, Economic Research Papers (2008) View citations (2) (2008)
- First announcements and real economic activity
European Economic Review, 2010, 54, (6), 803-817 View citations (18)
See also Working Paper First Announcements and Real Economic Activity, The Warwick Economics Research Paper Series (TWERPS) (2009) (2009)
- Forecast encompassing tests and probability forecasts
Journal of Applied Econometrics, 2010, 25, (6), 1028-1062 View citations (21)
See also Working Paper Forecast Encompassing Tests and Probability Forecasts, Economic Research Papers (2006) View citations (6) (2006)
2009
- Comments on "Forecasting economic and financial variables with global VARs"
International Journal of Forecasting, 2009, 25, (4), 680-683 View citations (1)
- Forecasting US output growth using leading indicators: an appraisal using MIDAS models
Journal of Applied Econometrics, 2009, 24, (7), 1187-1206 View citations (51)
Also in Journal of Applied Econometrics, 2009, 24, (7), 1187-1206 (2009) View citations (168)
- Forecasting returns and risk in financial markets using linear and nonlinear models
International Journal of Forecasting, 2009, 25, (2), 215-217
2008
- Consensus and uncertainty: Using forecast probabilities of output declines
International Journal of Forecasting, 2008, 24, (1), 76-86 View citations (26)
- Economic Forecasting in a Changing World
Capitalism and Society, 2008, 3, (2), 20 View citations (24)
- Macroeconomic Forecasting With Mixed-Frequency Data
Journal of Business & Economic Statistics, 2008, 26, 546-554 View citations (254)
- Quantile forecasts of daily exchange rate returns from forecasts of realized volatility
Journal of Empirical Finance, 2008, 15, (4), 729-750 View citations (80)
See also Working Paper Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility, The Warwick Economics Research Paper Series (TWERPS) (2006) View citations (5) (2006)
2007
- An evaluation of the forecasts of the federal reserve: a pooled approach
Journal of Applied Econometrics, 2007, 22, (1), 121-136 View citations (67)
- Bootstrap prediction intervals for autoregressive time series
Computational Statistics & Data Analysis, 2007, 51, (7), 3580-3594 View citations (20)
2006
- Evaluating the survey of professional forecasters probability distributions of expected inflation based on derived event probability forecasts
Empirical Economics, 2006, 31, (1), 49-64 View citations (28)
2005
- Evaluating a Model by Forecast Performance*
Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956 View citations (13)
- FORECASTING QUARTERLY AGGREGATE CRIME SERIES
Manchester School, 2005, 73, (6), 709-727
- Guest Editors’ Introduction: Information in Economic Forecasting
Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 713-753 View citations (19)
2004
- A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure
International Journal of Forecasting, 2004, 20, (2), 219-236 View citations (25)
- Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?
International Journal of Finance & Economics, 2004, 9, (1), 1-14 View citations (10)
- Evaluating the Bank of England Density Forecasts of Inflation
Economic Journal, 2004, 114, (498), 844-866 View citations (96)
- Forecasting economic and financial time-series with non-linear models
International Journal of Forecasting, 2004, 20, (2), 169-183 View citations (64)
See also Working Paper Forecasting economic and financial time-series with non-linear models, Departmental Working Papers (2003) View citations (8) (2003)
- Pooling of forecasts
Econometrics Journal, 2004, 7, (1), 1-31 View citations (228)
See also Working Paper Pooling of Forecasts, Economics Papers (2001) View citations (12) (2001)
2003
- Asymmetric output‐gap effects in Phillips Curve and mark‐up pricing models: Evidence for the US and the UK
Scottish Journal of Political Economy, 2003, 50, (4), 359-374 View citations (17)
- Business Cycle Asymmetries: Characterization and Testing Based on Markov-Switching Autoregressions
Journal of Business & Economic Statistics, 2003, 21, (1), 196-211 View citations (104)
See also Working Paper Business Cycle Asymmetries: Characterisationand Testing Based on Markov-Switching Autoregression, The Warwick Economics Research Paper Series (TWERPS) (1999) View citations (9) (1999)
- Economic forecasting: some lessons from recent research
Economic Modelling, 2003, 20, (2), 301-329 View citations (65)
See also Working Paper Economic Forecasting: Some Lessons from Recent Research, Royal Economic Society Annual Conference 2002 (2002) View citations (10) (2002)
- Evaluating interval forecasts of high-frequency financial data
Journal of Applied Econometrics, 2003, 18, (4), 445-456 View citations (31)
- On SETAR non-linearity and forecasting
Journal of Forecasting, 2003, 22, (5), 359-375 View citations (31)
See also Working Paper On SETAR non- linearity and forecasting, Econometric Institute Research Papers (1999) View citations (18) (1999)
- Some possible directions for future research
International Journal of Forecasting, 2003, 19, (1), 1-3 View citations (6)
- TESTING THE EXPECTATIONS THEORY OF THE TERM STRUCTURE OF INTEREST RATES IN THRESHOLD MODELS
Macroeconomic Dynamics, 2003, 7, (4), 567-585 View citations (14)
2002
- Can oil shocks explain asymmetries in the US Business Cycle?
Empirical Economics, 2002, 27, (2), 185-204 View citations (42)
- Comments on 'The state of macroeconomic forecasting'
Journal of Macroeconomics, 2002, 24, (4), 469-482 View citations (2)
- Conditional mean functions of non-linear models of US output
Empirical Economics, 2002, 27, (4), 569-586 View citations (1)
- Evaluating multivariate forecast densities: a comparison of two approaches
International Journal of Forecasting, 2002, 18, (3), 397-407 View citations (41)
- Modelling methodology and forecast failure
Econometrics Journal, 2002, 5, (2), 319-344 View citations (38)
2001
- An Historical Perspective on Forecast Errors
National Institute Economic Review, 2001, 177, 100-112 View citations (1)
Also in National Institute Economic Review, 2001, 177, (1), 100-112 (2001) View citations (6)
- Bootstrapping prediction intervals for autoregressive models
International Journal of Forecasting, 2001, 17, (2), 247-267 View citations (46)
- Evaluating forecasts from SETAR models of exchange rates
Journal of International Money and Finance, 2001, 20, (1), 133-148 View citations (48)
- Forecasting with difference-stationary and trend-stationary models
Econometrics Journal, 2001, 4, (1), S1-S19 View citations (42)
See also Working Paper Forecasting with Difference-Stationary and Trend-Stationary Models, Economics Series Working Papers (2000) View citations (4) (2000)
- Robust Evaluation of Fixed-Event Forecast Rationality
Journal of Forecasting, 2001, 20, (4), 285-95 View citations (9)
1999
- A Monte Carlo Study of the Forecasting Performance of Empirical SETAR Models
Journal of Applied Econometrics, 1999, 14, (2), 123-41 View citations (92)
See also Working Paper A Monte Carlo Study of the Forecasting Performance of Empirical Setar Models, The Warwick Economics Research Paper Series (TWERPS) (1996) View citations (5) (1996)
- On winning forecasting competitions in economics
Spanish Economic Review, 1999, 1, (2), 123-160 View citations (27)
- Seasonality, Cointegration, and Forecasting UK Residential Energy Demand
Scottish Journal of Political Economy, 1999, 46, (2), 185-206 View citations (18)
1998
- A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP
Econometrics Journal, 1998, 1, (ConferenceIssue), C47-C75 View citations (135)
See also Working Paper A COMPARISON OF THE FORECAST PERFORMANCE OF MARKOV-SWITCHING AND THRESHOLD AUTOREGRESSIVE MODELS OF US GNP, Economic Research Papers (1997) View citations (1) (1997)
- Forecasting economic processes
International Journal of Forecasting, 1998, 14, (1), 111-131 View citations (54)
1997
- An empirical study of seasonal unit roots in forecasting
International Journal of Forecasting, 1997, 13, (3), 341-355 View citations (49)
- The performance of alternative forecasting methods for SETAR models
International Journal of Forecasting, 1997, 13, (4), 463-475 View citations (76)
See also Working Paper Performance of Alternative Forecasting Methods for Setar Models, The Warwick Economics Research Paper Series (TWERPS) (1996) View citations (4) (1996)
1996
- Intercept Corrections and Structural Change
Journal of Applied Econometrics, 1996, 11, (5), 475-94 View citations (116)
- Multi-step Estimation for Forecasting
Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations (84)
See also Working Paper MULTI-STEP ESTIMATION FOR FORECASTING, Economic Research Papers (1996) View citations (84) (1996)
1995
- Forecasting in Cointegration Systems
Journal of Applied Econometrics, 1995, 10, (2), 127-46 View citations (63)
- Macro-economic Forecasting and Modelling
Economic Journal, 1995, 105, (431), 1001-13 View citations (27)
- Rationality and the Role of Judgement in Macroeconomic Forecasting
Economic Journal, 1995, 105, (429), 410-20 View citations (37)
1994
- Can Econometrics Improve Economic Forecasting?
Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298 View citations (9)
1991
- Empirical analysis of macroeconomic time series: VAR and structural models
European Economic Review, 1991, 35, (4), 887-917 View citations (65)
1987
- The UK Economy: Analysis and Prospects
Oxford Review of Economic Policy, 1987, 3, (2), xxii-xxxii
Also in Oxford Review of Economic Policy, 1986, 2, (4), xx-xxxii (1986)
Oxford Review of Economic Policy, 1986, 2, (3), xxvii-xxxix (1986)
Oxford Review of Economic Policy, 1986, 2, (2), xxv-xliii (1986)
- The World and UK Economy: Analysis and Prospects
Oxford Review of Economic Policy, 1987, 3, (1), xx-xxxiii
1986
- The World Economy: Analysis and Prospects
Oxford Review of Economic Policy, 1986, 2, (1), xxxiv-li
Books
2001
- Forecasting Non-Stationary Economic Time Series, vol 1
MIT Press Books, The MIT Press View citations (157)
1998
- Forecasting Economic Time Series
Cambridge Books, Cambridge University Press View citations (572)
Also in Cambridge Books, Cambridge University Press (1998) View citations (564)
Edited books
2024
- Handbook of Research Methods and Applications in Macroeconomic Forecasting
Books, Edward Elgar Publishing
2011
- The Oxford Handbook of Economic Forecasting
OUP Catalogue, Oxford University Press View citations (154)
Chapters
2024
- Introduction to the Handbook of Research Methods and Applications in Macroeconomic Forecasting
Chapter 1 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 1-14
- Real-time data and forecasting
Chapter 13 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 334-360
2009
- Forecast Combination and Encompassing
Palgrave Macmillan View citations (15)
2008
- Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991
A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 3-39
2006
- Combining Predictors and Combining Information in Modelling: Forecasting US Recession Probabilities and Output Growth
A chapter in Nonlinear Time Series Analysis of Business Cycles, 2006, pp 55-73
- Forecasting with Breaks
Elsevier View citations (107)
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