Title:Factor Augmented Error Correction Models Author(s):BANERJEE, Anindya; MARCELLINO, MassimilianoDate: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:Dating the Euro Area Business Cycle Author(s):ARTIS, Michael J.; MARCELLINO, Massimiliano; PROIETTI, TommasoDate:2004Citation:
- Lucrezia REICHLIN (ed.), The Euro Area Business Cycle: stylized facts and measurement issues, 2004, Brussels, CEPR, pp. 7-34
Type:Contribution to bookAbstract:Proposes a number of improvements to standard techniques to detect the peaks and troughs of business cycles that allow them to isolate major fluctuations in economic activity. For the US economy their model produces a good ...
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