Search
Now showing items 1-2 of 2
Title:Structural FECM : cointegration in large-scale structural FAVAR models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano
; MASTEN, IgorDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9858Abstract: for the identification of structural shocks and their propagation mechanism. Besides discussing contemporaneous restrictions along the lines of Bernanke et al. (2005), we show how to implement classical identification ...
; MASTEN, IgorDate:2014Type:Working PaperSeries/Number:CEPR Discussion Paper; 2014/9858Abstract: for the identification of structural shocks and their propagation mechanism. Besides discussing contemporaneous restrictions along the lines of Bernanke et al. (2005), we show how to implement classical identification ...
Title:Factor-Augmented Error Correction Models Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/15Abstract: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 ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/15Abstract: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 ...