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Structural FECM : cointegration in large-scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - 2014
Persistent link: https://www.econbiz.de/10010363312
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Structural FECM : cointegration in large‐scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: Journal of applied econometrics 32 (2017) 6, pp. 1069-1086
Persistent link: https://www.econbiz.de/10011862314
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Gaussian process vector autoregressions and macroeconomic uncertainty
Hauzenberger, Niko; Huber, Florian; Marcellino, Massimiliano - 2022
Persistent link: https://www.econbiz.de/10013426600
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Missing aggregate dynamics : on the slow convergence of lumpy adjustment models
Berger, David; Caballero, Ricardo J.; Engel, Eduardo - 2015
Persistent link: https://www.econbiz.de/10011577984
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Missing aggregate dynamics : on the slow convergence of lumpy adjustment models
Berger, David; Caballero, Ricardo J.; Engel, Eduardo - 2017
Persistent link: https://www.econbiz.de/10011776554
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Classical time-varying FAVAR models : estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts …-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s. -- FAVAR ; time …
Persistent link: https://www.econbiz.de/10008936114
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The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
financial crisis shock' being very large by historical standards and explaining 30 percent of the variation in GDP growth on …
Persistent link: https://www.econbiz.de/10008937395
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The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
Persistent link: https://www.econbiz.de/10009011917
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Classical time-varying FAVAR models ; Estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
Persistent link: https://www.econbiz.de/10009012118
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The changing international transmission of financial shocks : evidence from a classical time-varying FAVAR
Abbate, Angela; Eickmeier, Sandra; Lemke, Wolfgang; … - In: Journal of money, credit and banking : JMCB 48 (2016) 4, pp. 573-601
Persistent link: https://www.econbiz.de/10011615515