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Browsing ECO Contributions to Books by Subject "factor-augmented error correction models"
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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 ...