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: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
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
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 ...
Title:Dating Business Cycles: a Methodological Contribution with an Application to the Euro Area Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2004Citation:
- Oxford Bulletin of Economics and Statistics, 2004, 66, 4, 537-565
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 ...
Title:Fiscal forecasting: The track record of the IMF, OECD and EC Author(s):ARTIS, Michael J.; MARCELLINO, MassimilianoDate:2001Citation:
- The Econometrics Journal, 2001, 4, 1, 20-36
Type:ArticleAbstract:We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis ...
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:Factor-MIDAS for nowcasting and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010Citation:
- Oxford Bulletin of Economics and Statistics, 2010, 72, 4, 518-550
Type:ArticleAbstract:In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...