Journal Article

Clements, Michael P. and Galvão, Ana Beatriz (2017) Model and survey estimates of the term structure of US macroeconomic uncertainty. International Journal of Forecasting, 33 (3). pp. 591-604. doi:10.1016/j.ijforecast.2017.01.004

Clements, Michael P. and Galvão, Ana Beatriz (2015) Predicting early data revisions to US GDP and the effects of releases on equity markets. Journal of Business & Economic Statistics , 35 (3). pp. 389-406. doi:10.1080/07350015.2015.1076726

Carriero, Andrea, Clements, Michael P. and Galvão, Ana Beatriz (2014) Forecasting with Bayesian multivariate vintage-based VARs. International Journal of Forecasting, 31 (3). pp. 757-768. doi:10.1016/j.ijforecast.2014.05.007

Clements, Michael P. (2014) US inflation expectations and heterogeneous loss functions, 1968-2010. Journal of Forecasting, Volume 33 (Number 1). pp. 1-14. doi:10.1002/for.2277

Castle, Jennifer L., Clements, Michael P. and Hendry, David F. (2013) Forecasting by factors, by variables, by both or neither? Journal of Econometrics, Volume 177 (Number 2). pp. 305-319. doi:10.1016/j.jeconom.2013.04.015

Clements, Michael P. and Galvão, Ana Beatriz (2013) Forecasting with vector autoregressive models of data vintages : US output growth and inflation. International Journal of Forecasting, 29 (4). pp. 698-714. doi:10.1016/j.ijforecast.2011.09.003 (In Press)

Clements, Michael P. and Galvão, Ana Beatriz (2012) Real-time forecasting of inflation and output growth with autoregressive models in the presence of data revisions. Journal of Applied Econometrics, Volume 28 (Number 3). pp. 458-477. doi:10.1002/jae.2274

Clements, Michael P. (2012) Do professional forecasters pay attention to data releases? International Journal of Forecasting, Vol.28 (No.2). pp. 297-308. doi:10.1016/j.ijforecast.2011.09.001

Clements, Michael P. (2012) Forecasting U.S. output growth with non-linear models in the presence of data uncertainty. Studies in Nonlinear Dynamics & Econometrics, Vol.16 (No.1). p. 2. doi:10.1515/1558-3708.1865

Clements, Michael P. and Galvão, Ana Beatriz (2012) Improving real-time estimates of output and inflation gaps with multiple-vintage models. Journal of Business & Economic Statistics , Volume 30 (Number 4). pp. 554-562. doi:10.1080/07350015.2012.707588

Clements, Michael P. and Harvey, David I. (2011) Combining probability forecasts. International Journal of Forecasting, Volume 27 (Number 2). pp. 208-223. doi:10.1016/j.ijforecast.2009.12.016

Clements, Michael P. (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, Vol.43 (No.1). pp. 207-220. doi:10.1111/j.1538-4616.2010.00371.x

Clements, Michael P. and Harvey, David I. (2010) Forecast encompassing tests and probability forecasts. Journal of Applied Econometrics, Vol.25 (No.6). pp. 1028-1062. doi:10.1002/jae.1097

Clements, Michael P. and Galvão, Ana Beatriz (2010) First announcements and real economic activity. European Economic Review , Vol.54 (No.6). pp. 803-817. doi:10.1016/j.euroecorev.2009.12.010

Clements, Michael P. (2010) Explanations of the inconsistencies in survey respondents' forecasts. European Economic Review , Vol.54 (No.4). pp. 536-549. doi:10.1016/j.euroecorev.2009.10.003

Clements, Michael P. and Galvão, Ana Beatriz (2009) Forecasting US output growth using leading indicators: an appraisal using midas models. Journal of Applied Econometrics, Vol.24 (No.7). pp. 1187-1206. doi:10.1002/jae.1075

Clements, Michael P. and Galvão, Ana Beatriz (2008) Macroeconomic Forecasting With Mixed-Frequency Data: Forecasting Output Growth in the United States. Journal of Business and Economic Statistics, Vol.26 (No.4). pp. 546-554. doi:10.1198/073500108000000015

Clements, Michael P. and Hendry, David F. (2008) Economic forecasting in a changing world. Capitalism and Society, Vol.3 (No.2). Article 1. doi:10.2202/1932-0213.1039

Clements, Michael P. (2008) Consensus and uncertainty : using forecast probabilities of output declines. International Journal of Forecasting, Vol.24 (No.1). pp. 76-86. doi:10.1016/j.ijforecast.2007.06.003

Clements, Michael P., Galvão, Ana Beatriz and Kim, Jae H. (2008) Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. Journal of Empirical Finance, 15 (4). pp. 729-750. doi:10.1016/j.jempfin.2007.12.001

Clements, Michael P. and Kim, Jae H. (2007) Bootstrap prediction intervals for autoregressive time series. Computational Statistics & Data Analysis, Vol.51 (No.7). pp. 3580-3594. doi:10.1016/j.csda.2006.09.012

Clements, Michael P., Joutz, Fred and Stekler, Herman O. (2007) An evaluation of the forecasts of the federal reserve : a pooled approach. Journal of Applied Econometrics, Volume 22 (Number 1). pp. 121-136. doi:10.1002/jae.954

Clements, Michael P. (2006) Evaluating the Survey of Professional Forecasters probability distributions of expected inflation based on derived event probability forecasts. Empirical Economics, Vol.31 (No.1). pp. 49-64. doi:10.1007/s00181-005-0014-9

Clements, Michael P. and Galvão, Ana Beatriz C. (Ana Beatriz Camatari) (2003) Testing the expectations theory of the term structure of interest rates in threshold models. Macroeconomic Dynamics, Vol.7 (No.4). pp. 567-585. doi:10.1017/S1365100502020163

Clements, Michael P., Hans Franses, Philip, Smith, Jeremy and van Dijk, Dick (2003) On SETAR non-linearity and forecasting. Journal of Forecasting, Volume 22 (Number 5). pp. 359-375. doi:10.1002/for.863

Clements, Michael P. and Smith, Jeremy (2002) Evaluating multivariate forecast densities : a comparison of two approaches. International Journal of Forecasting, Volume 18 (Number 3). pp. 397-407. doi:10.1016/S0169-2070(01)00126-1

Clements, Michael P. and Smith, Jeremy (2001) Dropping out of university : a statistical analysis of the probability of withdrawal for UK university students. Journal Of The Royal Statistical Society Series A-Statistics In Society, Volume 164 (Part 2). pp. 389-405. doi:10.1111/1467-985X.00209

Clements, Michael P. and Smith, Jeremy (2001) Evaluating forecasts from SETAR models of exchange rates. Journal of International Money and Finance, Volume 20 (Number 1). pp. 133-148. doi:10.1016/S0261-5606(00)00039-5

Clements, Michael P. and Smith, Jeremy (2000) Evaluating the forecast densities of linear and non-linear models : Applications to output growth and unemployment. Journal of Forecasting, Volume 19 (Number 4). pp. 255-276. doi:10.1002/1099-131X(200007)19:4<255::AID-FOR773>3.0.CO;2-G

Clements, Michael P. and Smith, Jeremy (1999) A Monte Carlo study of the forecasting performance of empirical SETAR models. Journal of Applied Econometrics, Volume 14 (Number 2). pp. 123-141. doi:10.1002/(SICI)1099-1255(199903/04)14:2<123::AID-JAE493>3.0.CO;2-K

Clements, Michael P. and Smith, Jeremy (1997) The performance of alternative forecasting methods for SETAR models. International Journal of Forecasting, Volume 13 (Number 4). pp. 463-475. doi:10.1016/S0169-2070(97)00017-4

Book Item

Clements, Michael P. and Hendry, David F. (2011) Forecasting from mis-specified models in the presence of unanticipated location shifts. In: Clements, Michael P. and Hendry, David F., (eds.) Oxford handbook of economic forecasting. Oxford Handbooks in Economics . New York: Oxford University Press, pp. 271-314. ISBN 9780195398649

Clements, Michael P. (2009) Forecast combination and encompassing. In: Mills, Terence C. and Patterson, Kerry, (eds.) Palgrave handbook of econometrics. Vol. 2 : applied econometrics. Basingstoke ; New York: Palgrave Macmillan, pp. 169-198. ISBN 9781403917997

Clements, Michael P. (2009) Internal consistency of survey respondents' forecasts : evidence based on the survey of professional forecasters. In: Castle, Jennifer L. and Shephard, Neil, (eds.) The methodology and practice of econometrics : a festschrift in honour of David F. Hendry. Oxford: Oxford University Press, pp. 206-226. ISBN 9780199237197

Clements, Michael P. and Hendry, David F. (2008) Forecasting annual UK inflation using an econometric model over 1875–1991. In: Rapach, David E. and Wohar, Mark E., (eds.) Frontiers of economics and globalization. Bingley, UK: Emerald Group Publishing Limited, pp. 3-39. ISBN 9780444529428

Conference Item

Clements, Michael P., Galvão, Ana Beatriz and Kim, Jae H. (2005) Interval forecasting of daily exchange rate returns using realised volatility. In: International Conference on Computational Methods in Sciences and Engineering (ICCMSE 2005), Corinth, GREECE, OCT 21-26, 2005. Published in: Advances in Computational Methods in Sciences and Engineering 2005, Vols 4 A & 4 B, 4A-4B pp. 1285-1288. ISBN 90-6764-443-9. ISSN 1573-4196.

Working or Discussion Paper

Castle, Jennifer L., Clements, Michael P. and Hendry, David F. (2012) Forecasting by factors, by variables, or both? Working Paper. Oxford: Department of Economics, University of Oxford. Department of Economics Discussion Paper Series, Vol.2012 (No.600). (Unpublished)

Clements, Michael P. (2012) Probability distributions or point predictions? Survey forecasts of US output growth and inflation. Working Paper. Coventry: Department of Economics, University of Warwick. Warwick economics research paper series (TWERPS) (Number 976). (Unpublished)

Clements, Michael P. (2012) Subjective and ex post forecast uncertainty : US inflation and output growth. Working Paper. Coventry: Economics Department, University of Warwick. Warwick economics research paper series (TWERPS), Volume 2012 (Number 995). (Unpublished)

Clements, Michael P. (2012) US inflation expectations and heterogeneous loss functions, 1968-2010. Working Paper. Coventry: Department of Economics, University of Warwick. Warwick economics research paper series (TWERPS), Volume 2012 (Number 986). (Unpublished)

Clements, Michael P. and Galvão, Ana Beatriz (2011) Improving real-time estimates of output gaps and inflation trends with multiple-vintage models. Working Paper. London: Queen Mary University. Queen Mary University Working Papers (No.678). (Unpublished)

Clements, Michael P. (2011) Do professional forecasters pay attention to data releases? Working Paper. Coventry: University of Warwick. Dept. of Economics. Warwick economics research paper series (TWERPS), Vol.2011 (No.956).

Clements, Michael P. and Galvão, Ana Beatriz (2010) Real-time forecasting of inflation and output growth in the presence of data revisions. Working Paper. Coventry: University of Warwick. Dept. of Economics. Warwick economics research paper series (TWERPS), Vol.2010 (No.953).

Clements, Michael P. (2010) Why are survey forecasts superior to model forecasts? Working Paper. Coventry: University of Warwick. Dept. of Economics. Warwick economics research paper series (TWERPS), Vol.2010 (No.954).

Clements, Michael P. and Galvão, Ana Beatriz C. (Ana Beatriz Camatari) (2008) First announcements and real economic activity. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.885).

Clements, Michael P. (2008) Rounding of probability forecasts: the SPF forecast probabilities of negative output growth. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.869).

Clements, Michael P. (2008) Explanations of the inconsistencies in survey respondents’ forecasts. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.870).

Clements, Michael P. (2006) Internal consistency of survey respondents’ forecasts: evidence based on the Survey of Professional Forecasters. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.772).

Clements, Michael P. and Harvey, David Ian (2006) Forecast encompassing tests and probability forecasts. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.774).

Clements, Michael P. and Galvão, Ana Beatriz C. (Ana Beatriz Camatari) (2006) Macroeconomic forecasting with mixed frequency data: forecasting US output growth and inflation. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.773).

Clements, Michael P. and Krolzig, Hans-Martin (1998) Business cycle asymmetries: characterisation and testing based on Markov-switching autoregressions. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.522).

Clements, Michael P. and Smith, Jeremy (1997) A Monte Carlo study of the forecasting performance of empirical SETAR models. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.464).

Clements, Michael P. and Smith, Jeremy (1997) Forecasting seasonal UK consumption components. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.487).

Clements, Michael P. and Smith, Jeremy (1996) The performance of alternative forecasting methods for SETAR models. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.467).

Book

Clements, Michael P. and Hendry, David F., eds. (2011) The Oxford handbook of economic forecasting. Oxford Handbooks in Economics . New York: Oxford University Press. ISBN 9780195398649

Journal Item

Clements, Michael P. (2009) Comments on "Forecasting economic and financial variables with global VARs". International Journal of Forecasting, Vol.25 (No.4). pp. 680-683. doi:10.1016/j.ijforecast.2009.05.007

Clements, Michael P., Milas, Costas and van Dijk, Dick (2009) Forecasting returns and risk in financial markets using linear and nonlinear models. International Journal of Forecasting, Vol.25 (No.2 Sp. Iss. SI). pp. 215-217. doi:10.1016/j.ijforecast.2009.01.003