James Mitchell's Research Papers
Fields of Interest: Empirical Macroeconomics; Econometrics; Forecasting
Research Department, Federal Reserve Bank of Cleveland
https://scholar.google.co.uk/citations?user=V_LIq5YAAAAJ&hl=en
https://ideas.repec.org/e/pmi127.html
Disclaimer: The contents of this website are my own and do not necessarily reflect the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.
Published Journal Articles
"Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics", Journal of Applied Econometrics (with A. Poon and D. Zhu). Forthcoming.
"Incorporating Short Data into Large Mixed Frequency VARs for Regional Nowcasting", Journal of the Royal Statistical Society: Series A, 187, 477-495 (with G. Koop, S. McIntyre, A. Poon and P. Wu). 2024.
"Using stochastic hierarchical aggregation constraints to nowcast regional economic aggregates", International Journal of Forecasting, 40, 626-640 (with G. Koop, S. McIntyre and A. Poon). 2024.
“Communicating data uncertainty: multiwave experimental evidence for UK GDP”, Journal of Money, Credit and Banking, 56, 81-114 (with A. Galvao). 2024.
“Censored density forecasts: production and evaluation”, Journal of Applied Econometrics, 38, 714-734 (with M. Weale). 2023. online appendix.
“Real-time perceptions of historical GDP data uncertainty”, Oxford Bulletin of Economics and Statistics, 85, 457-481 (with A. Galvao). 2023. online appendix
"Reconciled Estimates of Monthly GDP in the US". Journal of Business and Economic Statistics, 41, 563-577 (with G. Koop, S. McIntyre and A. Poon). 2023. (Online appendix; Excel: Latest monthly true GDP estimates. [Older Vintage monthly true GDP estimates]. Coverage in The Economist; New York Times)
"Nowcasting Euro Area GDP growth using Bayesian quantile regression”. Advances in Econometrics, 43, 51-72. (Special issue in honor of Hashem Pesaran) (with A. Poon and G-L. Mazzi). 2022.
“Nowcasting 'True' GDP During the Pandemic”, National Institute Economic Review, 256, 44-70 (special issue on Covid-19 pandemic and macroeconomic forecasting), (with G. Koop, S. McIntyre and A. Poon). 2021.
"Does judgment improve macroeconomic density forecasts?". International Journal of Forecasting, 37, 1247-1260. (with A. Galvao and A. Garratt). 2021.
"Measuring and communicating the uncertainty in official statistics". Journal of Official Statistics, 37, 289-316. (with G-L. Mazzi and F. Carausu). 2021.
"Reconciled estimates and nowcasts of regional output
in the UK”. National Institute Economic Review, 253, 44-59 (with G. Koop, S. McIntyre and A. Poon). 2020.
“Regional output growth in the United Kingdom: more timely and higher frequency estimates from 1970”. Journal of Applied Econometrics, 35, 176-197 (with G. Koop, S. McIntyre and A. Poon). 2020.
“UK regional nowcasting using a mixed frequency Vector Autoregressive model with entropic tilting” , Journal of the Royal Statistical Society: Series A, 183, 91-119 (with G. Koop and S. McIntyre). 2020
“R2 bounds for predictive models: what univariate properties tell us about multivariate predictability”, Journal of Business and Economic Statistics, 37, 681-695 (with D. Robertson and S. Wright). 2019
“Communicating uncertainty about facts, numbers and science”, Royal Society Open Science (with A.M. van der Bles, S. Van der Linden, A.L.J. Freeman, A.B. Galvao, L. Zaval and D. Spiegelhalter). 2019
“Generalised density forecast combinations”, Journal of Econometrics, 188, 150-165. (with G. Kapetanios, S. Price and N. Fawcett). 2015
“Discussion of "Forecasting macroeconomic variables using collapsed dynamic factor analysis" by Falk Brauning and Siem Jan Koopman”, International Journal of Forecasting, 30, 585-588. 2014.
“A Nonlinear Panel Data Model of Cross-Sectional Dependence”, Journal of Econometrics,179, 134-157 (with G. Kapetanios and Y. Shin). 2014
“Density nowcasts and model combination: Nowcasting Euro-area GDP growth over the 2008-9 recession”, Oxford Bulletin of Economics and Statistics, 76, 233-256. (with G-L. Mazzi and G. Montana). 2014
“Measuring output gap nowcast uncertainty”, International Journal of Forecasting, 30, 268- 279. (with A. Garratt and S.P. Vahey). 2014
“Efficient aggregation of panel qualitative survey data”, Journal of Applied Econometrics, 28, 580-603 (with R.J. Smith and M. Weale). 2013
“Monthly GDP estimates for inter-war Britain”, Explorations in Economic History, 49, 543- 556 (with S. Solomou and M. Weale). 2012
“The drivers of international migration to the UK: A panel-based Bayesian model averaging approach”, Economic Journal, 121, 1398–1444 (with N. Pain and R. Riley). 2011
“The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys”, International Journal of Forecasting, 27, 1128-1146 (with S. Lui and M. Weale). 2011
“Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness”, Journal of Applied Econometrics, 26, 1023-1040 (with K.F. Wallis). 2011
“Combining VAR and DSGE Forecast Densities”, Journal of Economic Dynamics and Control, 35, 1659-1670 (with I.W. Bache, A.S. Jore and S.P. Vahey). 2011
“Real-time Inflation Forecast Densities from Ensemble Phillips Curves”, North American Journal of Economics and Finance, 22, 77-87 (with A. Garratt, S.P. Vahey and E. Wakerly). 2011
“Qualitative business surveys: signal or noise?”, Journal of the Royal Statistical Society: Series A, 174, 327-348 (with S. Lui and M. Weale). 2011
“Nowcasting and predicting data revisions using panel survey data”, Journal of Forecasting, 29, 313-330. (with T.D. Matheson and B. Silverstone). 2010
“Combining forecast densities from VARs with uncertain instabilities”, Journal of Applied Econometrics, 25, 621-634. (with A.S. Jore and S.P. Vahey). 2010
“Architects as nowcasters of housing construction”, National Institute Economic Review, 210, 111-122 (with M.J. Holmes and B. Silverstone). 2009
“Where are we now? The UK recession and nowcasting GDP growth using statistical models”, National Institute Economic Review, 209, 60-69. 2009
“Incidence-based estimates of life expectancy of the healthy for the UK: coherence between transition probabilities and aggregate life-tables”, Journal of the Royal Statistical Society: Series A, 171, 203-222. (with E. Khoman and M. Weale). 2008
“Uncertainty in UK manufacturing: evidence from qualitative survey data”, Economics Letters, 94, 245-252 (with K. Mouratidis and M. Weale). 2007
“Combining density forecasts”, International Journal of Forecasting, 23, 1-13 (with S.G. Hall). 2007
“Prudence and UK trend growth”, National Institute Economic Review, 197, 58-64 (with S. Kirby). 2006
“The National Institute density forecasts of inflation”, National Institute Economic Review, 193, 60-69. 2005
“An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth”, Economic Journal, 115, 108-129. (with R.J. Smith, M. Weale, S. Wright and E.L. Salazar). 2005
“Forecasting manufacturing output growth using firm-level survey data”, Manchester School, 73, 479-499. (with R.J. Smith and M. Weale). 2005
“Evaluating, comparing and combining density forecasts using the KLIC with an application to the Bank of England and NIESR ‘fan’ charts of inflation”, Oxford Bulletin of Economics and Statistics, 67, 995-1033. (with S.G. Hall). 2005
“Reconsidering the Evidence: Are Eurozone Business Cycles Converging?”, OECD Journal of Business Cycle Measurement and Analysis, 1(3), 275-307. (with M. Massmann). 2004
“Business cycles and turning points: a survey of statistical techniques”, National Institute Economic Review, 183, 90-106. (with M. Massmann and M. Weale). 2003
“Cyclicity and international financial developments”, Monetary Policy, Economic Cycles and Financial Dynamics, Bank of France Bulletin (with R. Barrell). 2003
“The use of non-normal distributions in quantifying qualitative survey data”, Economics Letters, 76, 101-107. 2002
“Quantification of qualitative firm-level survey data”, Economic Journal, 112, 117-135. (with R.J. Smith and M. Weale). 2002
“Have UK and Eurozone business cycles become more correlated?", National Institute Economic Review, 182, 58-71. (with M. Massmann). 2002
Completed Working Papers
"The Effects of Interest Rate Increases on Consumers' Inflation Expectations: The Roles of Informedness and Compliance" (with E. Knotek, M. Pedemonte and T. Shiroff)
"The Distributional Predictive Content of Measures of Inflation Expectations" (with S. Zaman)
"Predictive Density Combination Using a Tree-Based Synthesis Function" (with T. Chernis, N. Hauzenberger, F. Huber and G. Koop)
"The FOMC versus the Staff: Do Policymakers Add Value in Their Tales?" (with I. Filippou and M.T. Nguyen)
"Deep Neural Network Estimation in Panel Data Models" (with I. Chronopoulos, K. Chrysikou, G. Kapetanios and A. Raftapostolos)
"Bayesian Modeling of TVP-VARs Using Regression Trees" (with N. Hauzenberger, F. Huber and G. Koop)
"The rationality and reliability of expectations reported by British households: micro evidence from the British household panel survey" (with M. Weale). Permanent WP.
Policy Papers and Chapters in Books
“Regional Economic Sentiment: Constructing Quantitative Estimates from the Beige Book and Testing Their Ability to Forecast Recessions.” Federal Reserve Bank of Cleveland, Economic Commentary (with I. Filippou, C. Garciga and M.T. Nguyen). 2024. Excel: Sentiment data (updated from Commentary)
“A New Measure of Consumers’ (In)Attention to Inflation.” Federal Reserve Bank of Cleveland, Economic Commentary (with H. Braitsch). 2022.
“The evolution of forecast density combinations in Economics” (with K-A. Aastveit, H. van Dijk and F. Ravazzolo). Oxford Research Encyclopedia of Economics and Finance. 2019.
“Model specifications and a typology of rapid estimates” (with D. Ladiray and F. Bachini). In Handbook on Rapid Estimates. European Commission and United Nations, 2017.
“Alternative Detrending Methods” (with G.L. Mazzi and A. Ozyildiri). In Handbook on Cyclical Composite Indicators: For Business Cycle Analysis in Collaboration with The Conference Board, Inc. European Commission and United Nations, 2017
“Aggregate versus disaggregate approaches to constructing rapid estimates” (with S. Lui and G-L. Mazzi). In Handbook on Rapid Estimates, European Commission and United Nations, 2017.
Peer Review of and Comment on “Evaluating Forecast Performance”, Bank of England. 2015.
“Nowcasting quarterly Euro Area GDP growth using a Global VAR model”. In The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (eds. F. di Mauro and M.H. Pesaran), Oxford University Press, Chapter 9 (with S. Lui). 2013
“Macro modelling with many models”. In Twenty Years of Inflation Targeting: Lessons Learned and Future Prospects (eds. D. Cobham, Ø. Eitrheim, S. Gerlach and J. Qvigstad), Cambridge University Press, Cambridge, pp. 398-418 (with I.W. Bache, F. Ravazzolo and S.P. Vahey). 2010
“Uncertainty bounds for cyclically adjusted budget balances”, Fiscal Policy Making in the European Union: an assessment of current practice and challenges (eds. M Larch and J. Nogueira Martins), Routledge, Oxford, pp. 173-191 (with R. Barrell and I. Hurst). 2009
“Recent developments in density forecasting”. In Palgrave Handbook of Econometrics Volume II (ed. K. Patterson and T. Mills), pp. 199-239 (with S.G. Hall). 2009
“Density estimates for real-time Eurozone output gap estimates”. In Growth and Cycle in the Eurozone (eds. G-L. Mazzi and G. Savio), Palgrave, Basingstoke, pp. 310-321. 2007
“Is there a common Eurozone business cycle?”, Monographs of Official Statistics: Papers and Proceedings of the third Eurostat Colloquium on modern tools for business cycle analysis (eds. G- L. Mazzi and G. Savio), Luxembourg: Office for Official Publications of the European Communities (with K. Mouratidis). 2004
“Revisions to Economic Statistics”. Statistics Commission Report No. 17, Volume 2. 2004
“A review of ‘Matrix Calculus & Zero-One Matrices: Statistical and Econometric Applications’ by Darrell A. Turkington”, Economic Journal, 113, 398-400. 2003