Banerjee, Anindya (contributor); … - 2008
Correction Model (FECM), where the factors estimated from a large set of variables in levels
are jointly modelled with a few key … in
some cases a refinement of the standard Dynamic Factor Model (DFM), since it allows us to
include the error correction … cointegration information may be unknown or difficult to model, will lead to a dependence of the
performance of the macroeconomic …