Professor Michael P. Clements
Professor of Econometrics
Research Division Lead
Specialisms
Location
ICMA Centre, Whiteknights Campus
Michael P Clements is Professor of Econometrics at the ICMA Centre, Henley Business School, University of Reading. He obtained a DPhil in Econometrics from Nuffield College, University of Oxford in 1993, moved to Warwick University Economics Department as a Research Fellow in 1995, and became a full professor in 2007. He moved to Reading in 2013.
Mike’s interests are in the areas of time-series econometrics and forecasting, and he has published widely in academic journals on forecast evaluation, mixed-frequency data modelling, non-linear modelling and business cycle analysis, real-time modelling and forecasting, factor model forecasting, and the analysis of survey expectations. He has (co-)authored 5 books and over 100 papers in journals and chapters in books.
Mike became a Journal of Applied Econometrics Distinguished Author in 2008.
He served as an editor of the International Journal of Forecasting between 2001 and 2012, and since standing down from this role has served as an associate editor.
He was elected an Honorary Fellow of the International Institute of Forecasters in 2014: http://forecasters.org/activities/funding-awards/fellows/.
He became series editor of the Palgrave Texts in Econometrics and Palgrave Advanced Texts in Econometrics in 2017.
He was elected a Fellow of the International Association for Applied Econometrics in 2018.
He became a member of the Editorial Advisory Board for the National Institute Economic Review in 2021.
He is an Associate of INET, the Institute for New Economic Thinking, at the Oxford Martin School, University of Oxford. https://www.inet.ox.ac.uk/people/michael-p-clements
All of Mike’s publications are available at http://ideas.repec.org/e/pcl24.html and some recent Discussion Papers at http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=157383.
Reference: Clements, M. P. , Rich, R. and Tracy, J. (2025) An investigation into the uncertainty revision process of professional forecasters. Journal of Economic Dynamics and Control, 173. 105060. ISSN 1879-1743 doi: 10.1016/j.jedc.2025.105060
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2025) Inconsistent survey histograms and point forecasts revisited. Journal of Economic Behavior and Organization, 236. 107097. ISSN 2328-7616 doi: 10.1016/j.jebo.2025.107097
Henley faculty authors:
Professor Michael P. Clements
Reference: Li, Y., Clements, M. , Padgett, C. and Zhang, X.‐Y. (2024) Does the age of compensation committee members matter for CEO compensation? Corporate Governance: An International Review, 32 (4). pp. 600-624. ISSN 1467-8683 doi: 10.1111/corg.12560
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2024) Do professional forecasters believe in the Phillips curve? International Journal of Forecasting, 40 (3). pp. 1238-1254. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2023.11.004
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2024) Survey respondents’ inflation forecasts and the COVID period. Journal of Forecasting, 43 (8). pp. 3035-3050. ISSN 1099-131X doi: 10.1002/for.3169
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2024) Survey expectations and adjustments for multiple testing. Journal of Economic Behavior and Organization, 224. pp. 338-354. ISSN 2328-7616 doi: 10.1016/j.jebo.2024.06.009
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. , Rich, R. W. and Tracy, J. S. (2023) Surveys of professionals. In: Bachmann, R., Topa, G. and van der Klaauw, W. (eds.) Handbook of Economic Expectations. Academic Press, pp. 71-106. ISBN 9780128229279 doi: 10.1016/B978-0-12-822927-9.00009-4
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Galvão, A. B. (2023) Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty. Journal of Applied Econometrics, 38 (2). pp. 164-185. ISSN 1099-1255 doi: 10.1002/jae.2944
Henley faculty authors:
Professor Michael P. Clements
Reference: Bantis, E., Clements, M. P. and Urquhart, A. (2023) Forecasting GDP growth rates in the United States and Brazil using Google Trends. International Journal of Forecasting, 39 (4). pp. 1909-1924. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2022.10.003
Henley faculty authors:
Professor Michael P. Clements
Reference: Cepni, O. and Clements, M. P. (2023) How local is the local inflation factor? Evidence from emerging European countries. International Journal of Forecasting, 40 (1). pp. 160-183. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2023.01.008
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2022) Individual forecaster perceptions of the persistence of shocks to GDP. Journal of Applied Econometrics, 37 (3). pp. 640-656. ISSN 1099-1255 doi: 10.1002/jae.2884
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2022) Forecaster efficiency, accuracy and disagreement: evidence using individual-level survey data. Journal of Money, Credit and Banking, 54 (2-3). pp. 537-568. ISSN 1538-4616 doi: 10.1111/jmcb.12867
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2021) Do survey joiners and leavers differ from regular participants? International Journal of Forecasting, 37 (2). pp. 634-646. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2020.08.003
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Galvao, A. B. (2021) Measuring the effects of expectations shocks. Journal of Economic Dynamics and Control, 124. 104075. ISSN 0165-1889 doi: 10.1016/j.jedc.2021.104075
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2021) Rounding behaviour of professional macro-forecasters. International Journal of Forecasting, 37 (4). pp. 1614-1631. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2021.03.003
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Reade, J. J. (2020) Forecasting and forecast narratives: the Bank of England inflation reports. International Journal of Forecasting, 36 (4). pp. 1488-1500. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2019.08.013
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2020) Are some forecasters' probability assessments of macro variables better than those of others? Econometrics, 8 (2). 16. ISSN 2225-1146 doi: 10.3390/econometrics8020016
Henley faculty authors:
Professor Michael P. Clements
Reference: Castle, J. L., Clements, M. P. and Hendry, D. F. (2019) Forecasting: an essential introduction. Yale University Press, Connecticut, USA, pp240. ISBN 9780300244663
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2019) Macroeconomic survey expectations. Palgrave Texts in Econometrics. Palgrave Macmillan, pp214. ISBN 9783319972220 doi: 10.1007/978-3-319-97223-7
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2019) Do forecasters target first or later releases of national accounts data? International Journal of Forecasting, 35 (4). pp. 1240-1249. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2018.11.009
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Galvão, A. B. (2019) Data revisions and real-time forecasting. Oxford Research Encyclopedia of Economics and Finance. doi: 10.1093/acrefore/9780190625979.013.248
Henley faculty authors:
Professor Michael P. Clements Ana Beatriz Galvão
Reference: Clements, M. (2018) Are macroeconomic density forecasts informative? International Journal of Forecasting, 34 (2). pp. 181-198. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2017.10.004
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. (2018) Do macro-forecasters herd? Journal of Money, Credit and Banking, 50 (2-3). pp. 265-292. ISSN 1538-4616 doi: 10.1111/jmcb.12460
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. and Galvão, A. B. (2017) Model and survey estimates of the term structure of US macroeconomic uncertainty. International Journal of Forecasting, 33 (3). pp. 591-604. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2017.01.004
Henley faculty authors:
Professor Michael P. Clements Ana Beatriz Galvão
Reference: Clements, M. P. (2016) Long-run restrictions and survey forecasts of output, consumption and investment. International Journal of Forecasting, 32 (3). pp. 614-628. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2015.10.005
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2016) Real-time factor model forecasting and the effects of instability. Computational Statistics and Data Analysis, 100. pp. 661-675. ISSN 0167-9473 doi: 10.1016/j.csda.2015.01.011
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2015) Do US macroeconomic forecasters exaggerate their differences? Journal of Forecasting, 34 (8). pp. 649-660. ISSN 1099-131X doi: 10.1002/for.2358
Henley faculty authors:
Professor Michael P. Clements
Reference: Carriero, A., Clements, M. P. and Galvao, A. B. (2015) Forecasting with Bayesian multivariate vintage-based VARs. International Journal of Forecasting, 31 (3). pp. 757-768. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2014.05.007
Henley faculty authors:
Professor Michael P. Clements A. Carriero- A. Carriero- A. B. Galvao
Reference: Clements, M. (2014) Forecast uncertainty—ex Ante and ex Post: U.S. inflation and output growth. Journal of Business & Economic Statistics, 32 (2). pp. 206-216. ISSN 0735-0015 doi: 10.1080/07350015.2013.859618
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2014) Probability distributions or point predictions? Survey forecasts of US output growth and inflation. International Journal of Forecasting, 30 (1). pp. 99-117. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2013.07.010
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2014) US inflation expectations and heterogeneous loss functions, 1968-2010. Journal of Forecasting, 33 (1). pp. 1-14. ISSN 1099-131X doi: 10.1002/for.2277
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. and Galvao, A.B. (2013) Forecasting with vector autoregressive models of data vintages: US output growth and inflation. International Journal of Forecasting, 29 (4). pp. 698-714. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2011.09.003
Henley faculty authors:
Professor Michael P. Clements A.B. Galvao
Reference: Clements, M. and Galvao, A.B. (2013) Real-time forecasting of inflation and output growth with autoregressive models in the presence of data revisions. Journal of Applied Econometrics, 28 (3). pp. 458-477. ISSN 1099-1255 doi: 10.1002/jae.2274
Henley faculty authors:
Professor Michael P. Clements A.B. Galvao
Reference: Clements, M. (2012) Do professional forecasters pay attention to data releases? International Journal of Forecasting, 28 (2). pp. 297-308. ISSN 0169-2070 doi: 10.1016/j.ijforecast.2011.09.001
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. (2012) Forecasting US output growth with non-linear models in the presence of data uncertainty. Studies in nonlinear dynamics & econometrics, 16 (1). pp. 1-25. ISSN 1558-3708 doi: 10.1515/1558-3708.1865
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Galvao, A. B. (2012) Improving real-time estimates of output and inflation gaps with multiple-vintage models. Journal of Business and Economic Statistics, 30 (4). pp. 554-562. ISSN 0735-0015 doi: 10.1080/07350015.2012.707588
Henley faculty authors:
Professor Michael P. Clements Ana Beatriz Galvao
Reference: Clements, M. P. and Harvey, D. I. (2010) Forecast encompassing tests and probability forecasts. Journal of Applied Econometrics, 25 (6). pp. 1028-1062. ISSN 1099-1255 doi: 10.1002/jae.1097
Henley faculty authors:
Professor Michael P. Clements David I. Harvey
Reference: Clements, M. (2009) Internal consistency of survey respondents' forecasts: Evidence based on the Survey of Professional Forecasters. In: Castle, J. L. and Shephard, N. (eds.) The Methodology and Practice of Econometrics. A Festschrift in Honour of David F. Hendry. Oxford University Press, pp. 206-226. ISBN 9780199237197
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Hendry, D. F. (2005) Guest editors' introduction: information in economic forecasting. Oxford Bulletin of Economics and Statistics, 67 (Suppl. S1). pp. 713-753. ISSN 1468-0084 doi: 10.1111/j.1468-0084.2005.00139.x
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. and Hendry, D. F. (2005) Evaluating a model by forecast performance. Oxford Bulletin of Economics and Statistics, 67 (Suppl.S1). pp. 931-956. ISSN 1468-0084 doi: 10.1111/j.1468-0084.2005.00146.x
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. and Witt, R. (2005) Forecasting aggregate quarterly crime series. The Manchester School, 73 (6). pp. 709-727. ISSN 1467-9957 doi: 10.1111/j.1467-9957.2005.00473.x
Henley faculty authors:
Professor Michael P. Clements Robert Witt
Reference: Clements, M. and Hendry, D. (2001) An historical perspective on forecast errors. National Institute Economic Review, 177. pp. 70-82. doi: 10.1177/002795010117700109
Henley faculty authors:
Professor Michael P. Clements D. Hendry
Reference: Clements, M. P. and Madlener, R. (1999) Seasonality, cointegration and forecasting UK residential energy demand. Scottish Journal of Political Economy, 46 (2). pp. 185-206. ISSN 1467-9485 doi: 10.1111/1467-9485.00128
Henley faculty authors:
Professor Michael P. Clements Reinhardt Madlener
Reference: Clements, M. P. and Hendry, D. F. (1999) On winning forecasting competitions in economics. Spanish Economic Review, 1 (2). pp. 123-160. ISSN 1435-5477 doi: 10.1007/s101080050006
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. and Hendry, D. (1999) Forecasting non-stationary economic time series. MIT, pp392. ISBN 9780262531894
Henley faculty authors:
Professor Michael P. Clements D. Hendry
Reference: Clements, M. P. and Smith, J. (1999) A Monte Carlo study of the forecasting performance of empirical SETAR models. Journal of Applied Econometrics, 14 (2). pp. 123-141. ISSN 1099-1255 doi: 10.1002/(SICI)1099-1255(199903/04)14:2<123::AID-JAE493>3.0.CO;2-K
Henley faculty authors:
Professor Michael P. Clements Jeremy Smith
Reference: Clements, M. and Hendry, D. (1998) Forecasting Economic Time Series. Cambridge University Press. ISBN 978-0521634809
Henley faculty authors:
Professor Michael P. Clements D. Hendry
Reference: Clements, M. P. and Hendry, D. F. (1998) Forecasting economic processes. International Journal of Forecasting, 14 (1). pp. 111-131. ISSN 0169-2070 doi: 10.1016/S0169-2070(97)00057-5
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. and Krolzig, H.-M. (1998) A comparison of the forecast performance of Markov-switching and threshold autoregressive models of US GNP. Econometrics Journal, 1 (1). pp. 47-75. ISSN 1368-423X doi: 10.1111/1368-423X.11004
Henley faculty authors:
Professor Michael P. Clements Hans-Martin Krolzig
Reference: Clements, M. P. and Smith, J. (1997) The performance of alternative forecasting methods for SETAR models. International Journal of Forecasting, 13 (4). pp. 463-475. ISSN 0169-2070 doi: 10.1016/S0169-2070(97)00017-4
Henley faculty authors:
Professor Michael P. Clements Jeremy Smith
Reference: Clements, M. P. and Hendry, D. F. (1997) An empirical study of seasonal unit roots in forecasting. International Journal of Forecasting, 13 (3). pp. 341-356. ISSN 0169-2070 doi: 10.1016/S0169-2070(97)00022-8
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. (1997) Evaluating the rationality of fixed-event forecasts. Journal of Forecasting, 16 (4). pp. 225-239. ISSN 1099-131X doi: 10.1002/(SICI)1099-131X(199707)16:4<225::AID-FOR656>3.0.CO;2-L
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Hendry, D. F. (1996) Intercept corrections and structural change. Journal of Applied Econometrics, 11 (5). pp. 475-494. ISSN 1099-1255 doi: 10.1002/(SICI)1099-1255(199609)11:5<475::AID-JAE409>3.0.CO;2-9
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. and Hendry, D. F. (1996) Multi-step estimation for forecasting. Oxford Bulletin of Economics and Statistics, 58 (4). pp. 657-684. ISSN 1468-0084 doi: 10.1111/j.1468-0084.1996.mp58004005.x
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. (1995) Rationality and the role of judgement in macroeconomic forecasting. The Economic Journal, 105. pp. 410-420. ISSN 1468-0297
Henley faculty authors:
Professor Michael P. Clements
Reference: Clements, M. P. and Hendry, D. F. (1995) Macro-economic forecasting and modelling. The Economic Journal, 105. pp. 1001-1013. ISSN 1468-0297
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. and Hendry, D. F. (1995) Forecasting in cointegrated systems. Journal of Applied Econometrics, 10 (2). pp. 127-146. ISSN 1099-1255 doi: 10.1002/jae.3950100204
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Hendry, D. F. and Clements, M. P. (1994) Can econometrics improve economic forecasting? Swiss Journal of Economics and Statistics, 130. pp. 267-298.
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. P. and Hendry, D. F. (1993) On the limitations of comparing mean squared forecast errors. Journal of Forecasting, 12 (8). pp. 617-637. ISSN 1099-131X doi: 10.1002/for.3980120802
Henley faculty authors:
Professor Michael P. Clements David F. Hendry
Reference: Clements, M. and Mizon, G. E. (1991) Empirical analysis of macroeconomic time series: VAR and structural models. European Economic Review, 35 (4). pp. 918-922. ISSN 0014-2921 doi: 10.1016/0014-2921(91)90043-I
Henley faculty authors:
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Specialisms
Location
ICMA Centre, Whiteknights Campus