Title:Factor-Augmented Error Correction Models
Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:This paper brings together several important strands of the econometrics literature: errorcorrection,
cointegration and dynamic factor models. It introduces the Factor-augmented Error
Correction Model (FECM), where the ...
Title:A Measure for Credibility: Tracking US Monetary Developments
Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano; VIEGI, NicolaDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Our objective is to identify a way of checking empirically the extent to which expectations are de-coupled from inflation, how well they might be anchored in the long run, and at what level. This methodology allows us then ...
Title:Forecasting Exchange Rates with a Large Bayesian VAR
Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2008Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:This paper compares different ways to estimate the current state of the economy using factor
models that can handle unbalanced datasets. Due to the different release lags of business cycle
indicators, data unbalancedness ...
Title:Forecasting Euro-Area Variables with German Pre-EMU Data
Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, MassimilianoDate:2006Type of Publication:Working PaperSeries/Report no.:EUI ECOAbstract:It is investigated whether Euro-area variables can be forecast better based on synthetic
time series for the pre-Euro period or by using just data from Germany for the pre-Euro period.
Our forecast comparison is based ...
Title:The Transmission Mechanism in a Changing World
Author(s):ARTIS, Michael J.; GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoDate:2003Type of Publication:Working PaperSeries/Report no.:EUI ECO
Title:Leading Indicators for Euro Area Inflation and GDP Growth
Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2003Type of Publication:Working PaperSeries/Report no.:CEPR discussion paperAbstract:In this Paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB euro area model database, plus a set of similar ...
Title:The Transmission Mechanism in a Changing World
Author(s):ARTIS, Michael J.; GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoDate:2003Type of Publication:Working PaperSeries/Report no.:CEPR Discussion Paper
Title:Factor Forecasts for the UK
Author(s):ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2002Type of Publication:Working PaperSeries/Report no.:CEPR Discussion PaperAbstract:Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only ...
Title:Dating the Euro Area Business Cycle
Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2002Type of Publication:Working PaperSeries/Report no.:EUI ECO
Title:Factor Forecasts for the UK
Author(s):ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2001Type of Publication:Working PaperSeries/Report no.:EUI ECO
