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Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano
; MASTEN, IgorDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 589-612
Type:ArticleAbstract: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: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 ...

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, ...

Title:The econometric analysis of economic policy Author(s):BANERJEE, Anindya; HENDRY, David F.; MIZON, Grayham E.Date:1996Type:Working PaperSeries/Number:EUI ECO; 1996/34
Title:Inflation Measures of the Markup Author(s):BANERJEE, Anindya; RUSSELL, BillDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/15
Title:A Markup Model for Forecasting Inflation in the Euro AreaI Author(s):BANERJEE, Anindya; RUSSELL, BillDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/16
Title:A reinvestigation of the markup and the business cycle Author(s):BANERJEE, Anindya; RUSSELL, BillDate:2004Citation:
- Economic Modelling, 2004, 21, 2, 267-284
Type:Article
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

Title:Inflation and Measures of the Markup Author(s):BANERJEE, Anindya; RUSSELL, BillDate:2005Citation:
- Journal of Macroeconomics, 2005, 27, 3, 289-306
Type:Article
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
