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Title:Forecasting with Factor-augmented Error Correction Models Author(s):MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano
Date:2009Type:Working PaperSeries/Number:EUI RSCAS; 2009/32Abstract:As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
Date:2009Type:Working PaperSeries/Number:EUI RSCAS; 2009/32Abstract:As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...
Title:Interpolation with a large information set Author(s):ANGELINI, Elena; HENRY, Jérôme; MARCELLINO, MassimilianoDate:2006Citation:
- Journal of economic dynamics and control, 2006, Vol. 30, No. 12, pp. 2693-2724
Type:ArticleAbstract:Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets ...
Date:2006Citation:
Title:A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series Author(s):MARCELLINO, Massimiliano; STOCK, James H.; WATSON, Mark W.Date:2006Citation:
- Journal of econometrics, 2006, Vol. 135, No. 1-2, pp. 499-526
Type:ArticleAbstract:“Iterated” multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas “direct” forecasts are made using a horizon-specific estimated model, ...
; STOCK, James H.; WATSON, Mark W.Date:2006Citation:
Title:Pooling-based data interpolation and backdating Author(s):MARCELLINO, MassimilianoDate:2007Citation:
- Journal of time series analysis, 2007, Vol. 28, No. 1, pp. 53-71
Type:ArticleAbstract:Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improve the quality of the forecast. In this paper, we evaluate whether pooling-interpolated or-backdated ...
Date:2007Citation:
Title:Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
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 ...
Title:Empirical Simultaneous Confidence Regions for Path-Forecasts Author(s):JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Title:The Multiscale Causal Dynamics of Foreign Exchange Markets Author(s):BEKIROS, Stelios D.; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/23Abstract:This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...