Title:Modelling Structural Breaks, Long Memory and Stock Market Volatility: an Overview Author(s):BANERJEE, Anindya; URGA, GiovanniDate:2005Citation:
- Journal of Econometrics, 2005, 129, 1-2, 1-34
Title:A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated Author(s):BANERJEE, Anindya; MIZEN, PaulDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/11
Title:Forecasting with Factor-augmented Error Correction Models Author(s):MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2009Type:Working PaperSeries/Number:EUI RSCAS; 2009/32Abstract: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:A Re-Interpretation of the Linear-Quadratic Model When Inventories and Sales Are Polynomially Cointegrated Author(s):BANERJEE, Anindya; MIZEN, PaulDate:2006Citation:
- Journal of Applied Econometrics, 2006, 21, 8, 1249-1264
Type: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:A Markup Model for Forecasting Inflation for the Euro Area Author(s):RUSSELL, Bill; BANERJEE, AnindyaDate:2006Citation:
- Journal of Forecasting, 2006, 25, 7, 495-511
Type: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:The Long-Run Relationship among Relative Price Variability, Inflation and the Markup Author(s):BANERJEE, Anindya; MIZEN, Paul; RUSSELL, BillDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/01
Title:Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, ChiaraDate:2000Type:Working PaperSeries/Number:EUI ECO; 2000/20