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Title:Factor Augmented Error Correction Models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano
Date:2009Citation:
- Jennifer CASTLE and Neil SHEPARD (eds), The Methodology and Practice of Econometrics - A Festschrift for David Hendry, Oxford, Oxford University Press, 2009, 227-254
Type:Contribution to bookAbstract:This chapter brings together several important strands of the econometrics literature: error-correction, cointegration, and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...
Date:2009Citation:
Title:Some cautions on the use of panel methods for integrated series of macroeconomic data Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, ChiaraDate:2004Citation:
- The Econometrics Journal, 2004, 7, 2, 322-340
Type:Article
; OSBAT, ChiaraDate:2004Citation:
Title:Leading Indicators for Euro-area Inflation and GDP Growth Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2005Citation:
- Oxford Bulletin of Economics and Statistics, 2005, 37, s 1, 785-813
Type:Article
; MASTEN, IgorDate:2005Citation:
Title:Testing for PPP: Should we use Panel Methods? Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, ChiaraDate:2005Citation:
- Empirical Economics , 2005, 30, 1, 77-91
Type:ArticleAbstract:A common finding in the empirical literature on the validity of purchasing power parity (PPP) is that it holds when tested for in panel data, but not in univariate (i.e. country-specific) analysis. The usual explanation ...
; OSBAT, ChiaraDate:2005Citation:
Title:Factor Forecasts for the UK Author(s):ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2005Citation:
- Journal of Forecasting, 2005, 24, 4, 279-298
Type:Article
Date:2005Citation:
Title:Are there Any Reliable Leading Indicators for US Inflation and GDP growth? Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate:2006Citation:
- International Journal of Forecasting, 2006, 22, 1, 137-151
Type:ArticleAbstract:In this paper, we evaluate the relative merits of three alternative approaches to extracting information from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a ...
Date:2006Citation: