Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010
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, cointegration and dynamic factor models, and has several conceptual...
