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Title:Factor-Augmented Error Correction Models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano EUI affiliated

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 ...

Title:Cointegration in Panel Data with Breaks and Cross-Section Dependence Author(s):BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep LluisDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/5Abstract:The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one ...