Factor-augmented Error Correction Models

The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry

Volumn , Issue , 2009, Pages

  Banerjee, Anindya ^a   Marcellino, Massimiliano ^b,c  

^a UNIVERSITY OF BIRMINGHAM   (United Kingdom)

^b BOCCONI UNIVERSITY   (Italy)

^c EUROPEAN UNIVERSITY INSTITUTE   (Italy)

Author keywords

Cointegration; Dynamic factor models; Error correction models; Factoraugmented error correction models; FAVAR; FECM; VAR

Indexed keywords

EID: 84919628628     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1093/acprof:oso/9780199237197.003.0009     Document Type: Chapter

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