An Overview of the Factor-augmented Error-Correction Model
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- Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2016. "An Overview of the Factor-augmented Error-Correction Model," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 3-41, Emerald Group Publishing Limited.
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- Francesca Di Iorio & Stefano Fachin, 2017. "Evaluating Restricted Common Factor models for non-stationary data," DSS Empirical Economics and Econometrics Working Papers Series 2017/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Tobias Hartl, 2020. "Macroeconomic Forecasting with Fractional Factor Models," Papers 2005.04897, arXiv.org.
- Stoupos, Nikolaos & Nikas, Christos & Kiohos, Apostolos, 2023. "Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets," Emerging Markets Review, Elsevier, vol. 54(C).
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More about this item
Keywords
Dynamic Factor Models; Cointegration; Structural Analysis; Factor-augmented Error Correction Models; FAVAR;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-02-28 (Econometrics)
- NEP-ETS-2015-02-28 (Econometric Time Series)
- NEP-MAC-2015-02-28 (Macroeconomics)
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