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Forecasting with factor-augmented error correction models · Study

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ArticleForecasting with factor-augmented error correction models

Anindya Banerjee2013

OA

Articlegreen2013

Forecasting with factor-augmented error correction models

Anindya Banerjee · Massimiliano Giuseppe Marcellino · Igor Masten

82 citations·0/0 files stored·International Journal of Forecasting

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Forecasting Techniques and Applications Monetary Policy and Economic Impact Statistical and numerical algorithms

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 82 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models 1983Empirical exchange rate models of the seventies 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2002Macroeconomic Forecasting Using Diffusion Indexes 2006Approximately normal tests for equal predictive accuracy in nested models

Cited by

2019Macroeconomic forecast accuracy in a data‐rich environment 2021Macroeconomic data transformations matter 2019Non cash payment and demand for real money in Indonesia 2016Non-Stationary Dynamic Factor Models for Large Datasets 2019Unit Roots and Cointegration 2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors 2017Structural FECM: Cointegration in large‐scale structural FAVAR models 2016Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Details

Year2013

Typearticle

Published2013-06-06

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations82

Files0 public / 0

ShelfForecasting Techniques and Applications

Identifiers

doi10.1016/j.ijforecast.2013.01.009

openalex_workW2140565338

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