Browsing by Subject "E17"

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Browsing by Subject "E17"

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    Title: Forecasting with Factor-augmented Error Correction Models  Author(s): MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
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    Title: Factor-Augmented Error Correction Models  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...