Title:Factor Augmented Error Correction Models
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Type of Publication:Contribution to bookAbstract:This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Title:Forecasting with Factor-augmented Error Correction Models
Author(s):MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Type of Publication:Working PaperSeries/Report no.:EUI RSCASAbstract: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, ...
Title:Factor-Augmented Error Correction Models
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract: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 ...
Title:Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
Title:Inflation, relative price variability and the markup: evidence from the United States and the United Kingdom
Author(s):BANERJEE, Anindya; MIZEN, Paul; RUSSELL, BillDate:2007Type of Publication:ArticleAbstract:This paper links two separate empirical literatures on inflation, relative price variability (RPV) and the price–cost markup. Measures constructed from annual and quarterly data for the US and UK are used to examine the ...
Title:Are there Any Reliable Leading Indicators for US Inflation and GDP growth?
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2006Type of Publication:ArticleAbstract:In this paper, we evaluate the relative merits of three alternative approaches to extracting information from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a ...
Title:A Markup Model for Forecasting Inflation for the Euro Area
Author(s):RUSSELL, Bill; BANERJEE, AnindyaDate:2006Type of Publication:ArticleAbstract:We develop a small model for forecasting inflation for the euro area using quarterly data over the period June 1973 to March 1999. The model is used to provide inflation forecasts from June 1999 to March 2002. We compare ...
Title:A Re-Interpretation of the Linear-Quadratic Model When Inventories and Sales Are Polynomially Cointegrated
Author(s):BANERJEE, Anindya; MIZEN, PaulDate:2006Type of Publication:ArticleAbstract:Estimation of the linear quadratic model, the workhorse of the inventory literature, traditionally takes inventories and sales to be first-difference stationary series, and the ratio of the two variables to be stationary. ...
Title:Cointegration in Panel Data with Breaks and Cross-Section Dependence
Author(s):BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep LluisDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:The power of standard panel cointegration statistics may be affected by misspecification errors if
proper account is not taken of the presence of structural breaks in the data. We propose modifications
to allow for one ...
Title:Testing for PPP: Should we use Panel Methods?
Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, ChiaraDate:2005Type of Publication:ArticleAbstract:A common finding in the empirical literature on the validity of purchasing power parity (PPP) is that it holds when tested for in panel data, but not in univariate (i.e. country-specific) analysis. The usual explanation ...
