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Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoEUI affiliated; 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, MassimilianoEUI affiliatedDate: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 ...
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Title:The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap Author(s):MARCELLINO, MassimilianoEUI affiliated; MUSSO, AlbertoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/15Abstract:This paper provides real time evidence on the usefulness of the euro area output gap as a leading indicator for inflation and growth. A genuine real-time data set for the euro area is used, including vintages of several ...
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Title:Anchors for Inflation Expectations Author(s):DEMERTZIS, Maria; MARCELLINO, MassimilianoEUI affiliated; VIEGI, NicolaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/10Abstract:We identify credible monetary policy with first, a disconnect between inflation and inflation expectations and second, the anchoring of the latter at the inflation target announced by the monetary authorities. We test ...
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Title:Survey Data as Coincident or Leading Indicators Author(s):FRALE, Cecilia; MARCELLINO, MassimilianoEUI affiliated; MAZZI, Gian Luigi; PROIETTI, TommasoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/19Abstract:In this paper we propose a monthly measure for the euro area Gross Domestic Product (GDP) based on a small scale factor model for mixed frequency data, featuring two factors: the first is driven by hard data, whereas the ...
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Title:Forecasting with Factor-augmented Error Correction Models Author(s):MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, MassimilianoEUI affiliatedDate: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, ...
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Title:In Plato's cave : sharpening the shadows of monetary announcements Author(s):GALLO, Giampiero M.; MARCELLINO, MassimilianoEUI affiliatedDate:1996Type:Working PaperSeries/Number:EUI ECO; 1996/25
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Title:Dating the Euro Area Business Cycle Author(s):ARTIS, Michael J.; MARCELLINO, MassimilianoEUI affiliated; PROIETTI, TommasoDate:2002Type:Working PaperSeries/Number:EUI ECO; 2002/24
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Title:The Transmission Mechanism in a Changing World Author(s):ARTIS, Michael J.; GALVAO, Ana Beatriz C.; MARCELLINO, MassimilianoEUI affiliatedDate:2003Type:Working PaperSeries/Number:EUI ECO; 2003/18
 
Title:Some cautions on the use of panel methods for integrated series of macroeconomic data Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoEUI affiliated; OSBAT, ChiaraDate:2004Citation: The Econometrics Journal, 2004, 7, 2, 322-340 Type:Article
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MARCELLINO, Massimiliano (87)
BANERJEE, Anindya (18)ARTIS, Michael J. (12)KAPETANIOS, George (9)CARRIERO, Andrea (8)MASTEN, Igor (8)PROIETTI, Tommaso (7)SCHUMACHER, Christian (5)FRALE, Cecilia (4)HENDRY, David F. (4)... View MoreSubjectC53 (12)E37 (9)Forecasting (6)MIDAS (6)C32 (5)C11 (4)FAVAR (4)forecasting (4)mixed-frequency data (4)nowcasting (4)... View MoreTypeArticle (41)Working Paper (40)Contribution to book (4)Book (1)Thesis (1)Date Issued2010 - 2016 (30)2000 - 2009 (46)1995 - 1999 (11)Series/NumberEUI ECO (34)CEPR Discussion Paper (4)2009/32 (2)1995/39 (1)1995/40 (1)1996/25 (1)1997/30 (1)1998/02 (1)1999/22 (1)2000/20 (1)... View More
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