Search

Now showing items 1-10 of 87

Title:Forecasting with factor-augmented error correction models Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano EUI 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, Massimiliano EUI affiliated

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:The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap Author(s):MARCELLINO, Massimiliano EUI 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 ...

Title:Anchors for Inflation Expectations Author(s):DEMERTZIS, Maria; MARCELLINO, Massimiliano EUI 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 ...

Title:Survey Data as Coincident or Leading Indicators Author(s):FRALE, Cecilia; MARCELLINO, Massimiliano EUI 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 ...

Title:Forecasting with Factor-augmented Error Correction Models Author(s):MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano EUI affiliated

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, ...