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Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano - Department of Economics, European University Institute - 2008
This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and … standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration analysis on … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …
Persistent link: https://www.econbiz.de/10005557701
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Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008
This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …
Persistent link: https://www.econbiz.de/10005136642
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Forecasting with Factor-augmented Error Correction Models
Masten, Igor; Marcellino, Massimiliano; Banerjeey, Anindya - Robert Schuman Centre for Advanced Studies (RSCAS), … - 2009
-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …
Persistent link: https://www.econbiz.de/10005030829
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Forecasting with Factor-Augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, University of Birmingham - 2009
-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …
Persistent link: https://www.econbiz.de/10005007666
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Factor-augmented error correction models
Banerjee, Anindya; Marcellino, Massimiliano - In: The methodology and practice of econometrics : a …, (pp. 227-254). 2009
Persistent link: https://www.econbiz.de/10003857845
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Forecasting with factor-augmendted error correction models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2010
Persistent link: https://www.econbiz.de/10003948826
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Factor-augmented error correction models
Banerjee, Anindya; Marcellino, Massimiliano - 2008
Persistent link: https://www.econbiz.de/10003913419
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A Markov-switching vector equilibrium correction model of the UK labour market
Marcellino, Massimiliano; Mizon, Grayham E.; Krolzig, … - In: Empirical Economics 27 (2002) 2, pp. 233-254
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...
Persistent link: https://www.econbiz.de/10005758339
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Forecasting with Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010
-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …
Persistent link: https://www.econbiz.de/10008468646
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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
-correction, cointegration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. In particular …
Persistent link: https://www.econbiz.de/10010786468