Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: Dynamic factor models, (pp. 3-41). 2016
The Factor-augmented Error-Correction Model (FECM) generalizes the factor-augmented VAR (FAVAR) and the Error-Correction Model (ECM), combining error-correction, cointegration and dynamic factor models. It uses a larger set of variables compared to the ECM and incorporates the long-run...
