Narrow search
Showing 1 - 10 of 1,424
Cover Image
Forecasting with Factor-augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - C.E.P.R. Discussion Papers - 2010
latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …
Persistent link: https://www.econbiz.de/10008468646
Cover Image
Forecasting with Factor-Augmented Error Correction Models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, University of Birmingham - 2009
latter's specification in differences. In this paper we examine the forecasting performance of the FECM by means of an … generally offers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …
Persistent link: https://www.econbiz.de/10005007666
Cover Image
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
Cover Image
Forecasting with factor-augmented error correction models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International Journal of Forecasting 30 (2014) 3, pp. 589-612
specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example …, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting … precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets. …
Persistent link: https://www.econbiz.de/10010786468
Cover Image
Forecasting with Factor-augmented Error Correction Models
Masten, Igor; Marcellino, Massimiliano; Banerjeey, Anindya - Robert Schuman Centre for Advanced Studies (RSCAS), … - 2009
latter's specification in di¤erences. In this paper we examine the forecasting performance of the FECM by means of an … generally o¤ers a higher forecasting precision and in general marks a very useful step forward for forecasting with large …
Persistent link: https://www.econbiz.de/10005030829
Cover Image
Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common and an idiosyncratic component. The common...
Persistent link: https://www.econbiz.de/10012605977
Cover Image
Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common and an idiosyncratic component. The common...
Persistent link: https://www.econbiz.de/10012596987
Cover Image
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 and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly...
Persistent link: https://www.econbiz.de/10005136642
Cover Image
An Overview of the Factor-augmented Error-Correction Model
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, University of Birmingham - 2015
differences. In this paper we review the specification and estimation of the FECM, and illustrate its use for forecasting and …
Persistent link: https://www.econbiz.de/10011164331
Cover Image
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