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Classical time-varying FAVAR models : estimation, forecasting and structural analysis
Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...
Persistent link: https://www.econbiz.de/10008936114
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The financial accelerator mechanism : does frequency matter?
Foroni, Claudia; Gelain, Paolo; Marcellino, Massimiliano - 2022
We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism a la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the...
Persistent link: https://www.econbiz.de/10012815038
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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
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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
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A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market
Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...
Persistent link: https://www.econbiz.de/10011277856
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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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A Markov-switching vector equilibrium correction model of the UK labour market
Marcellino, Massimiliano; Mizon, Grayham E.; Krolzig, … - In: Empirical Economics 27 (2002) 2, pp. 233-254
There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. In this paper we present a statistical model that offers a congruent representation of part of the UK labour market since the mid 1960s. We use a cointegrated vector autoregressive...
Persistent link: https://www.econbiz.de/10005758339
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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 - 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
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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