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An Overview of the Factor-augmented Error-Correction Model

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, University of Birmingham - 2015

Correction Model (ECM), combining error-correction, cointegration and dynamic factor models. It uses a larger set of variables …

Persistent link: https://www.econbiz.de/10011164331

Forecasting with factor-augmented error correction models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International Journal of Forecasting 30 (2014) 3, pp. 589-612

-correction, cointegration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. In particular …

Persistent link: https://www.econbiz.de/10010786468

Structural FECM: Cointegration in large-scale structural FAVAR models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2014

Starting from the dynamic factor model for non-stationary data we derive the factor-augmented error correction model (FECM) and, by generalizing the Granger representation theorem, its moving-average representation. The latter is used for the identification of structural shocks and their...

Persistent link: https://www.econbiz.de/10011083358

Forecasting with Factor-Augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, University of Birmingham - 2009

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

Persistent link: https://www.econbiz.de/10005007666

Modelling Thirty Five Years of Coffee Prices in Brazil, Guatemala and India and the Law of One Price

Banerjee, Anindya; Mohan, Sushil; Russell, Bill - Department of Economics, University of Birmingham - 2010

The standard approach to modelling coffee prices ignores the impact that changes in government policies and market structures has on coffee prices. These changes have led to large structural breaks in coffee prices implying the standard estimates are biased. This paper models coffee princes in...

Persistent link: https://www.econbiz.de/10008524307

Forecasting with Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010

-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it …

Persistent link: https://www.econbiz.de/10008468646

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - Department of Economics, European University Institute - 2008

This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and … standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration analysis on … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005557701

Factor-augmented Error Correction Models

Banerjee, Anindya; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2008

This paper brings together several important strands of the econometrics literature: error-correction, cointegration … the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration … cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural …

Persistent link: https://www.econbiz.de/10005136642

Looking for structural breaks in co-integrated systems

Banerjee, Anindya; Urga, Giovanni - 1995

Persistent link: https://www.econbiz.de/10000910189

On the power of cointegration tests : dimension invariance vs. common factors

Banerjee, Anindya; Dolado, Juan J.; Mestre, Ricardo - 1995 - rev.

Persistent link: https://www.econbiz.de/10000561596