differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …

multiple cointegration. Financial frictions are captured by including balance sheet indicators of firms and banks (cash flow …

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

differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …

Reduced rank regression procedures in error correction models (ECM's) permit consistent estimation of the cointegration … space but do not provide consistent estimates of individual structural relations when the dimension of the cointegration …

1996:9 to 2001:7 and refer to consumer price indexes and wholesale price indexes of all products. Cointegration method is …

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

exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration … setting, we estimate the relationship between exchange rate and a set of economic fundamentals, such as traded … long-run equilibrium value of the fundamentals are estimated and used to derive equilibrium exchange rates and …

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 …