Title:Factor Analysis in a Model with Rational Expectations Author(s):BEYER, Andreas; FARMER, Roger E. A.; HENRY, Jérôme; MARCELLINO, MassimilianoDate:2008-01-01Citation:
- Econometrics Journal, 2008, 11, 2, 271-286
Type:ArticleAbstract:DSGE models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation ...
Title:Guest editors' introduction to special issue on encompassing Author(s):HENDRY, David F.; MARCELLINO, Massimiliano; MIZON, Grayham E.Date:2008Citation:
- Oxford bulletin of economics and statistics, 2008, 70, Supp., 715-720
Title:Model Selection for Nested and Overlapping Nonlinear Dynamic and Possibly Mis-specified Models Author(s):MARCELLINO, Massimiliano; ROSSI, BarbaraDate:2008Citation:
- Oxford Bulletin of Economics and Statistics, 2008, 70, s1, 867-893.
Title:Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs Author(s):MARCELLINO, Massimiliano; SIVEC, VasjaDate:2016Type:ArticleAbstract:Large scale factor models have been often adopted both for forecasting and to identify structural shocks and their transmission mechanism. Mixed frequency factor models have been also used in a reduced form context, but ...
Title:A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 554-568
Type:ArticleAbstract:In this paper, we focus on the different methods which have been proposed in the literature to date for dealing with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency ...
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:Forecasting Macroeconomic Variables for the New Member States Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2006Citation:
- Anindya BANERJEE, Michael ARTIS, Massimiliano MARCELLINO (eds), The Central and Eastern European Countries and the European Union, Cambridge, Cambridge University Press, 2006, 108-134
Type:Contribution to book
Title:Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/13Abstract:This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due ...