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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:Essays in empirical macroeconomics Author(s):KOZLUK, TomaszDate:2007Citation: Florence, European University Institute, 2007 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:On the Ist of January 1999 eleven European Union (EU) members fixed their currencies to form the Economic and Monetary Union (EMU). In the run-up to the formation of the euro area candidate countries had to fulfil a set ...

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 ...

Title:Essays on empirical macroeconomics Author(s):MEHROTRA, AaronDate:2006Citation: Florence, European University Institute, 2006 Type:ThesisSeries/Number:EUI PhD theses; Department of Economics

Title:Essays on empirical international economics and finance Author(s):PELTONEN, Tuomas AnteroDate:2006Citation: Florence : European University Institute, 2006 Type:ThesisSeries/Number:EUI PhD theses; Department of Economics

Title:Three essays on EMU, exchange rates and time series econometrics Author(s):BOREIKO, DmitriDate:2006Citation: Florence : European University Institute, 2006 Type:ThesisSeries/Number:EUI PhD theses; Department of Economics

Title:Monetary policy rules in the pre-emu era : is there a common rule? Author(s):ELEFTHERIOU, Maria; GERDESMEIER, Dieter; ROFFIA, BarbaraDate:2006Type:Working PaperSeries/Number:ECB Working Paper; 2016/659Abstract:Despite the great importance and final success of the convergence process that led to the establishment of the European Monetary Union, there is no clear agreement regarding the monetary policy pursued in the member countries ...

Title:The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study Author(s):HLOUSKOVA, Jaroslava; WAGNER, MartinDate:2005Type:Working PaperSeries/Number:EUI ECO 2005/05

Title:Designing Poland's Macroeconomic Strategy on the Way to the Euro Area Author(s):BOROWSKI, Jakub; BRZOZA-BRZEZINA, MichalDate:2004Type:Working PaperSeries/Number:EUI RSC; 2004/10

Title:The degree of independence in goods and capital markets : an econometric degustation Author(s):HAMMERSLAND, RogerDate:2002Citation: Florence : European University Institute, 2002 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:The purposes of this thesis are manifold. Nevertheless one may say that one of its governing ideas has been to make use of some o f the most advanced and recently developed state of the art time series techniques that exist ...

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