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 ...
Title:Information in economics forecasting Author(s):GRANGER, Olive W.J.; CLEMENTS, Michael P.; HENDRY, David F.; FAVERO, Carlo; MARCELLINO, Massimiliano; BANERJEE, Anindya; MASTEN, Igor; HARVEY, David I.; NEWBOLD, Paul; CASTLE, Jennifer L.; ALLEN, P. Geoffrey; FILDES, Robert; KORENOK, Oleg; SWANSON, Norman R.; ANDERSON, Heather M.; VAHID, Farshid; WALLIS, Kenneth F.; MITCHELL, James; HALL, Stephen G.Date:2005Citation:
- Oxford bulletin of economics and statistics, 2005, 67, Supp., 707-1033
Title:Forecasting Macroeconomic Variables for the New Member States Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2006Citation:
- Anindya BANERJEE, Michael ARTIS, Massimiliano MARCELLINO (eds), The Central and Eastern European Countries and the European Union, Cambridge, Cambridge University Press, 2006, 108-134
Type:Contribution to book
Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 589-612
Type:ArticleAbstract: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, ...