An overview of the factor-augmented error-correction model

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dc.contributor.authorBANERJEE, Anindya
dc.contributor.authorMARCELLINO, Massimiliano
dc.contributor.authorMASTEN, Igor
dc.date.accessioned2016-03-09T10:07:39Z
dc.date.available2016-03-09T10:07:39Z
dc.date.issued2015
dc.description.abstractThe Factor-augmented Error Correction Model (FECM) generalizes the factoraugmented VAR (FAVAR) and the Error Correction Model (ECM), combining errorcorrection, cointegration and dynamic factor models. It uses a larger set of variables compared to the ECM and incorporates the long-run information lacking from the FAVAR because of the latter’s specification in differences. In this paper we review the specification and estimation of the FECM, and illustrate its use for forecasting and structural analysis by means of empirical applications based on Euro Area and US data.
dc.identifier.urihttps://hdl.handle.net/1814/39409
dc.language.isoen
dc.relation.ispartofseriesUniversity of Birminghamen
dc.relation.ispartofseriesDepartment of Economics Discussion Papersen
dc.relation.ispartofseries2015/03en
dc.relation.urihttp://www.birmingham.ac.uk/Documents/college-social-sciences/business/economics/2015-discussion-papers/15-03.pdf
dc.titleAn overview of the factor-augmented error-correction model
dc.typeWorking Paper
dspace.entity.typePublication
eui.subscribe.skiptrue
person.identifier.other26452
relation.isAuthorOfPublication40c8706f-96c5-4201-aba5-626a9232e5d7
relation.isAuthorOfPublication.latestForDiscovery40c8706f-96c5-4201-aba5-626a9232e5d7
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