Title:Encompassing Editor(s):HENDRY, David F.; MARCELLINO, Massimiliano; MIZON, Grayham E.Date:2008Citation:
- Special issue of Oxford Bulletin of Economics and Statistics, 2008, Vol. 70, No. s1
Type:BookAbstract:With the kind permission of the Editors of the Oxford Bulletin, this Special Issue onEncompassing is a volume in honour of Grayham E. Mizon, to celebrate his majorcontributions to econometrics, and in particular, to the ...
Title:Dating the Euro Area Business Cycle Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2004Citation:
- Lucrezia REICHLIN (ed.), The Euro Area Business Cycle: stylized facts and measurement issues, 2004, Brussels, CEPR, pp. 7-34
Type:Contribution to bookAbstract:Proposes a number of improvements to standard techniques to detect the peaks and troughs of business cycles that allow them to isolate major fluctuations in economic activity. For the US economy their model produces a good ...
Title:Factor Augmented Error Correction Models Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Citation:
- Jennifer CASTLE and Neil SHEPARD (eds), The Methodology and Practice of Econometrics - A Festschrift for David Hendry, Oxford, Oxford University Press, 2009, 227-254
Type: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:Some cautions on the use of panel methods for integrated series of macroeconomic data Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, ChiaraDate:2004Citation:
- The Econometrics Journal, 2004, 7, 2, 322-340
Title:Leading Indicators for Euro-area Inflation and GDP Growth Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2005Citation:
- Oxford Bulletin of Economics and Statistics, 2005, 37, s 1, 785-813
Title:Testing for PPP: Should we use Panel Methods? Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, ChiaraDate:2005Citation:
- Empirical Economics , 2005, 30, 1, 77-91
Type: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 ...
Title:Are there Any Reliable Leading Indicators for US Inflation and GDP growth? Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2006Citation:
- International Journal of Forecasting, 2006, 22, 1, 137-151
Type: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 ...