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:Fiscal forecasting: The track record of the IMF, OECD and EC Author(s):ARTIS, Michael J.; MARCELLINO, MassimilianoDate:2001Citation:
- The Econometrics Journal, 2001, 4, 1, 20-36
Type:ArticleAbstract:We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis ...
Title:Modelling Shifts in the Wage-Price and Unemployment-Inflation Relationships in Italy, Poland and the Uk Author(s):MARCELLINO, Massimiliano; MIZON, Grayham E.Date:2000Citation:
- Economic Modelling, 2000, 17, 3, 387-413
Type:ArticleAbstract:The relationship between wages, prices, productivity, inflation and unemployment in Italy, Poland, and the UK between the 1960s and the early 1990s is modelled as a cointegrated vector autoregression subject to regime ...
Title:Temporal Disaggregation, Missing Observations, Outliers, and Forecasting: A Unifying Non-Model-Based Procedure Author(s):MARCELLINO, MassimilianoDate:1998Citation:
- Advances In Econometrics, Vol 13 1998, 1998, 13, 181-202
Type:ArticleAbstract:We suggest a simple non-model-based procedure to recover a time series from its temporally aggregated realizations. If additional assumptions on the underlying process are introduced, it is shown that the procedure is ...
Title:Some Consequences of Temporal Aggregation in Empirical Analysis Author(s):MARCELLINO, MassimilianoDate:1999Citation:
- Journal of Business & Economic Statistics, 1999, 17, 1, 129-136
Type:ArticleAbstract:I derive the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. I then study the effects of temporal aggregation on 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