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Forecasting with factor-augmented error correction models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International journal of forecasting 30 (2014) 3, pp. 589-612
Persistent link: https://www.econbiz.de/10010513599
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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
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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
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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
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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
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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
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Looking for structural breaks in cointegrated systems
Banerjee, Anindya; Urga, Giovanni - 1995
Persistent link: https://www.econbiz.de/10000151427
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Factor-augmented error correction models
Banerjee, Anindya (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003651962
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Cointegration in panel date with breaks and cross-section dependence
Banerjee, Anindya (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003280708
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Inflation, relative price variability and the markup : evidence from the United States and the United Kingdom
Banerjee, Anindya; Mizen, Paul; Russell, Bill - In: Economic modelling 24 (2007) 1, pp. 82-100
Persistent link: https://www.econbiz.de/10003408607