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: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:Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data Author(s):MARCELLINO, MassimilianoDate:2004Citation:
- The Econometrics Journal, 2004, 7, 2, 322-340
Title:Forecast Pooling for European Macroeconomic Variables Author(s):MARCELLINO, MassimilianoDate:2004Citation:
- Oxford Bulletin of Economics and Statistics, 2004, 66, 1, 91-112
Title:Principal Components at Work: the Empirical Analysis of Monetary Policy with Large Data Sets Author(s):MARCELLINO, MassimilianoDate:2005Citation:
- Journal of Applied Econometrics, 2005, 20, 5, 603-620
Title:Bayesian VARs : specification choices and forecast accuracy Author(s):CARRIERO, Andrea; CLARK, Todd; MARCELLINO, MassimilianoDate:2015Citation:
- Journal of applied econometrics, 2015, Vol. 30, No. 1, pp. 46-73
Type:ArticleAbstract:In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt as a benchmark a common specification in the ...
Title:Forecasting with a DSGE model of a small open economy within the monetary union Author(s):MARCELLINO, Massimiliano; RYCHALOVSKA, YuliyaDate:2014Citation:
- Journal of forecasting, 2014, Vol. 33, No. 5, pp. 315-338
Type:ArticleAbstract:In this paper we lay out a two-region dynamic stochastic general equilibrium (DSGE) model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and ...
Title:Empirical simultaneous prediction regions for path-forecasts Author(s):JORDÀ, Òscar; KNUEPPEL, Malte; MARCELLINO, MassimilianoDate:2013Citation:
- International journal of forecasting, 2013, Vol. 29, No. 3, pp. 456-468
Type:ArticleAbstract:This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future a path forecast. When the null model is only approximative, or completely unavailable, one ...