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Tucker Sprague McElroy

Personal Details

First Name:Tucker
Middle Name:Sprague
Last Name:McElroy
Suffix:
RePEc Short-ID:pmc150

Affiliation

Census Bureau
Department of Commerce
Government of the United States

Washington, District of Columbia (United States)
http://www.census.gov/
RePEc:edi:cengvus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Henry R. Hyatt & Tucker S. McElroy, 2017. "Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence," Working Papers 17-11, Center for Economic Studies, U.S. Census Bureau.
  2. McElroy, Tucker & Politis, Dimitris, 2013. "Spectral Density and Spectral Distribution Inference for Long Memory Time Series via Fixed-b Asymptotics," University of California at San Diego, Economics Working Paper Series qt6164c110, Department of Economics, UC San Diego.
  3. McElroy, Tucker S. & Politis, Dimitris N., 2012. "Distribution Theory for the Studentized Mean for Long, Short, and Negative Memory Time Series," University of California at San Diego, Economics Working Paper Series qt35c7r55c, Department of Economics, UC San Diego.
  4. Michael W. McCracken & Tucker S. McElroy, 2012. "Multi-step ahead forecasting of vector time series," Working Papers 2012-060, Federal Reserve Bank of St. Louis.
  5. Tucker S. McElroy & Thomas M. Trimbur, 2012. "Signal extraction for nonstationary multivariate time series with illustrations for trend inflation," Finance and Economics Discussion Series 2012-45, Board of Governors of the Federal Reserve System (U.S.).
  6. Politis, D N & McElroy, Tucker S, 2009. "Fixed-b asymptotics for the studentized mean from time series with short, long or negative memory," University of California at San Diego, Economics Working Paper Series qt70c4x0sq, Department of Economics, UC San Diego.
  7. Tucker S. McElroy & Thomas M. Trimbur, 2007. "Continuous time extraction of a nonstationary signal with illustrations in continuous low-pass and band-pass filtering," Finance and Economics Discussion Series 2007-68, Board of Governors of the Federal Reserve System (U.S.).

Articles

  1. McElroy, Tucker S. & Jach, Agnieszka, 2023. "Identification of the differencing operator of a non-stationary time series via testing for zeroes in the spectral density," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
  2. Tucker McElroy & Anindya Roy, 2022. "A Review of Seasonal Adjustment Diagnostics," International Statistical Review, International Statistical Institute, vol. 90(2), pages 259-284, August.
  3. Chen Baoline & McElroy Tucker S. & Pang Osbert C., 2022. "Assessing Residual Seasonality in the U.S. National Income and Product Accounts Aggregates," Journal of Official Statistics, Sciendo, vol. 38(2), pages 399-428, June.
  4. Tucker S. McElroy & Anindya Roy, 2022. "Model identification via total Frobenius norm of multivariate spectra," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 473-495, April.
  5. Tucker S. McElroy & Dimitris N. Politis, 2022. "Optimal linear interpolation of multiple missing values," Statistical Inference for Stochastic Processes, Springer, vol. 25(3), pages 471-483, October.
  6. Carola Binder & Tucker S. Mcelroy & Xuguang S. Sheng, 2022. "The Term Structure of Uncertainty: New Evidence from Survey Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 39-71, February.
  7. McElroy Tucker, 2021. "A Diagnostic for Seasonality Based Upon Polynomial Roots of ARMA Models," Journal of Official Statistics, Sciendo, vol. 37(2), pages 367-394, June.
  8. Tucker McElroy & Srinjoy Das, 2021. "Nonlinear prediction via Hermite transformation," Statistical Theory and Related Fields, Taylor & Francis Journals, vol. 5(1), pages 49-54, January.
  9. McElroy, Tucker S. & Wildi, Marc, 2020. "The Multivariate Linear Prediction Problem: Model-Based and Direct Filtering Solutions," Econometrics and Statistics, Elsevier, vol. 14(C), pages 112-130.
  10. Scott R. Baker & Tucker S. McElroy & Xuguang S. Sheng, 2020. "Expectation Formation Following Large, Unexpected Shocks," The Review of Economics and Statistics, MIT Press, vol. 102(2), pages 287-303, May.
  11. Wei Lin & Jianhua Z. Huang & Tucker McElroy, 2020. "Time Series Seasonal Adjustment Using Regularized Singular Value Decomposition," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 487-501, July.
  12. Wildi, Marc & McElroy, Tucker S., 2019. "The trilemma between accuracy, timeliness and smoothness in real-time signal extraction," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1072-1084.
  13. Tucker McElroy & Agnieszka Jach, 2019. "Subsampling Inference for the Autocorrelations of GARCH Processes," Journal of Financial Econometrics, Oxford University Press, vol. 17(3), pages 495-515.
  14. Tucker S McElroy & Agnieszka Jach, 2019. "Testing collinearity of vector time series," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 97-116.
  15. Henry R. Hyatt & Tucker S. McElroy, 2019. "Labor Reallocation, Employment, and Earnings: Vector Autoregression Evidence," LABOUR, CEIS, vol. 33(4), pages 463-487, December.
  16. Tucker McElroy, 2018. "Seasonal adjustment subject to accounting constraints," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 574-589, November.
  17. Tucker McElroy, 2018. "Recursive Computation for Block†Nested Covariance Matrices," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(3), pages 299-312, May.
  18. Tucker McElroy & Anindya Roy, 2018. "The Inverse Kullback–Leibler Method for Fitting Vector Moving Averages," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(2), pages 172-191, March.
  19. Nagaraja, Chaitra H. & McElroy, Tucker, 2018. "The multivariate bullwhip effect," European Journal of Operational Research, Elsevier, vol. 267(1), pages 96-106.
  20. Trimbur Thomas & McElroy Tucker, 2017. "Signal Extraction for Nonstationary Time Series with Diverse Sampling Rules," Journal of Time Series Econometrics, De Gruyter, vol. 9(1), pages 1-37, January.
  21. Tucker McElroy & Michael W. McCracken, 2017. "Multistep ahead forecasting of vector time series," Econometric Reviews, Taylor & Francis Journals, vol. 36(5), pages 495-513, May.
  22. Tucker McElroy, 2017. "Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 611-625, October.
  23. McElroy, Tucker, 2017. "Computation of vector ARMA autocovariances," Statistics & Probability Letters, Elsevier, vol. 124(C), pages 92-96.
  24. Tucker S. McElroy, 2017. "Time Series Econometrics Klaus Neusser Springer International Publishing , 2016 , xxiv + 409 pages, £99.00, hardcover ISBN: 978-3-319-32861-4," International Statistical Review, International Statistical Institute, vol. 85(1), pages 181-183, April.
  25. Chris Blakely & Tucker McElroy, 2017. "Signal extraction goodness-of-fit diagnostic tests under model parameter uncertainty: Formulations and empirical evaluation," Econometric Reviews, Taylor & Francis Journals, vol. 36(4), pages 447-467, April.
  26. Wildi Marc & McElroy Tucker, 2016. "Optimal Real-Time Filters for Linear Prediction Problems," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 155-192, July.
  27. Agnieszka Jach & Tucker S. McElroy & Dimitris N. Politis, 2016. "Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 713-720, September.
  28. T. S. McElroy, 2016. "Nonnested model comparisons for time series," Biometrika, Biometrika Trust, vol. 103(4), pages 905-914.
  29. Ryan Janicki & Tucker S. McElroy, 2016. "Hermite expansion and estimation of monotonic transformations of Gaussian data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 28(1), pages 207-234, March.
  30. McElroy, Tucker S. & Holan, Scott H., 2016. "Computation of the autocovariances for time series with multiple long-range persistencies," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 44-56.
  31. Tucker McElroy, 2015. "When are Direct Multi‐step and Iterative Forecasts Identical?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 315-336, July.
  32. Tucker McElroy & Brian Monsell, 2015. "Model Estimation, Prediction, and Signal Extraction for Nonstationary Stock and Flow Time Series Observed at Mixed Frequencies," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(511), pages 1284-1303, September.
  33. Tucker McElroy & Thomas Trimbur, 2015. "Signal Extraction for Non-Stationary Multivariate Time Series with Illustrations for Trend Inflation," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 209-227, March.
  34. McElroy Tucker S. & Maravall Agustin, 2014. "Optimal Signal Extraction with Correlated Components," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 237-273, July.
  35. McElroy, Tucker S. & Politis, Dimitris N., 2014. "Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics," Journal of Econometrics, Elsevier, vol. 182(1), pages 211-225.
  36. McElroy, Tucker & Politis, Dimitris N., 2013. "Distribution theory for the studentized mean for long, short, and negative memory time series," Journal of Econometrics, Elsevier, vol. 177(1), pages 60-74.
  37. Tucker McElroy, 2013. "Forecasting continuous-time processes with applications to signal extraction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(3), pages 439-456, June.
  38. McElroy, Tucker & Wildi, Marc, 2013. "Multi-step-ahead estimation of time series models," International Journal of Forecasting, Elsevier, vol. 29(3), pages 378-394.
  39. McElroy, Tucker, 2012. "The perils of inferring serial dependence from sample autocorrelations of moving average series," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1632-1636.
  40. Agnieszka Jach & Tucker McElroy & Dimitris N. Politis, 2012. "Subsampling inference for the mean of heavy‐tailed long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 96-111, January.
  41. Theodore Alexandrov & Silvia Bianconcini & Estela Bee Dagum & Peter Maass & Tucker S. McElroy, 2012. "A Review of Some Modern Approaches to the Problem of Trend Extraction," Econometric Reviews, Taylor & Francis Journals, vol. 31(6), pages 593-624, November.
  42. McElroy, Tucker & Politis, Dimitris N., 2012. "Fixed-B Asymptotics For The Studentized Mean From Time Series With Short, Long, Or Negative Memory," Econometric Theory, Cambridge University Press, vol. 28(2), pages 471-481, April.
  43. McElroy, Tucker & Jach, Agnieszka, 2012. "Tail index estimation in the presence of long-memory dynamics," Computational Statistics & Data Analysis, Elsevier, vol. 56(2), pages 266-282.
  44. Tucker McElroy & Agnieszka Jach, 2012. "Subsampling inference for the autocovariances and autocorrelations of long-memory heavy- tailed linear time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(6), pages 935-953, November.
  45. Tucker McElroy & Thomas M. Trimbur, 2011. "On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 475-513, October.
  46. Tucker McElroy, 2011. "A nonparametric method for asymmetrically extending signal extraction filters," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(7), pages 597-621, November.
  47. McElroy Tucker S, 2010. "A Nonlinear Algorithm for Seasonal Adjustment in Multiplicative Component Decompositions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-23, September.
  48. McElroy Tucker & Wildi Marc, 2010. "Signal Extraction Revision Variances as a Goodness-of-Fit Measure," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-32, June.
  49. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.
  50. McElroy, Tucker, 2008. "Matrix Formulas For Nonstationary Arima Signal Extraction," Econometric Theory, Cambridge University Press, vol. 24(4), pages 988-1009, August.
  51. Tucker McElroy, 2008. "Exact formulas for the Hodrick-Prescott filter," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 209-217, March.
  52. McElroy, Tucker & Sutcliffe, Andrew, 2006. "An iterated parametric approach to nonstationary signal extraction," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2206-2231, May.
  53. McElroy, Tucker & Politis, Dimitris N., 2002. "Robust Inference For The Mean In The Presence Of Serial Correlation And Heavy-Tailed Distributions," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1019-1039, October.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (5) 2008-02-16 2012-03-28 2012-05-22 2012-07-14 2013-01-07. Author is listed
  2. NEP-ECM: Econometrics (4) 2008-02-16 2012-03-28 2012-07-14 2013-01-07
  3. NEP-FOR: Forecasting (1) 2013-01-07

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