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