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Forecasting with factor-augmented error correction models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International journal of forecasting 30 (2014) 3, pp. 589-612

Persistent link: https://www.econbiz.de/10010513599

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …

Persistent link: https://www.econbiz.de/10012596987

Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - In: The econometrics journal 25 (2022) 2, pp. 494-514

Persistent link: https://www.econbiz.de/10013253846

An Overview of the Factor-augmented Error-Correction Model

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, University of Birmingham - 2015

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 information lacking from the FAVAR because of the latter's specification in …

Persistent link: https://www.econbiz.de/10011164331

Structural FECM: Cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014

responses in a FAVAR model is positively related to the strength of the error-correction mechanism and the cross …

Persistent link: https://www.econbiz.de/10011083358

Large-dimensional dynamic factor models : estimation of impulse–response functions with I(1) cointegrated factors

Barigozzi, Matteo; Lippi, Marco; Luciani, Matteo - In: Journal of econometrics 221 (2021) 2, pp. 455-482

Persistent link: https://www.econbiz.de/10012619245

Remittances in Mexico and their unobserved components

Corona, Francisco; Orraca, Pedro - In: Journal of international trade & economic development : … 28 (2019) 8, pp. 1047-1066

Persistent link: https://www.econbiz.de/10012203679

The impact of foreign direct investment on Namibia’s economic growth : a time series investigation

Sunde, Tafirenyika - In: Cogent economics & finance 11 (2023) 1, pp. 1-15

2020 using the ARDL cointegration method. The results reveal that FDI, the interactive variable of FDI and trade openness …

Persistent link: https://www.econbiz.de/10014500822

Foreign exchange market interventions and the $-Yen exchange rate in the long run

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2013

This paper tries to clarify the question of whether foreign exchange market interventions conducted by the Bank of Japan are important for the dollar-yen exchange rate in the long run. Our strategy relies on a re-examination of the empirical performance of a monetary exchange rate model. This is...

Persistent link: https://www.econbiz.de/10009779186

Multimodal public transport demand : a cointegration time-series approach

Milioti, Christina P.; Karlaftis, Matthew G. - In: International journal of transport economics 41 (2014) 3, pp. 361-382

Persistent link: https://www.econbiz.de/10010469316