An overview of the factor-augmented error-correction model

Advances in Econometrics

Volumn 35, Issue , 2016, Pages 3-41

  Banerjee, Anindya ^a   Marcellino, Massimiliano ^b   Masten, Igor ^c,d  

^a UNIVERSITY OF BIRMINGHAM   (United Kingdom)

^b BOCCONI UNIVERSITY   (Italy)

^c UNIVERSITY OF LJUBLJANA   (Slovenia)

^d BANK OF SLOVENIA   (Slovenia)

Author keywords

Cointegration; Dynamic factor models; Factor augmented error correction models; FAVAR; Structural analysis

Indexed keywords

EID: 84954183134     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1108/S0731-905320150000035001     Document Type: Review

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