Browsing ECO Working Papers by Subject "VAR"

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Browsing ECO Working Papers by Subject "VAR"

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    Title: Factor-Augmented Error Correction Models  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
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    Title: Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries  Author(s): CORSETTI, Giancarlo; DEDOLA, Luca; LEDUC, Sylvain Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper investigates the international transmission of productivity shocks in a sample of ve G7 countries. For each country, using long-run restrictions, we identify shocks that increase permanently domestic labor ...