scientific article; zbMATH DE number 6811485

MaRDI QIDQ4593684zbMATHFDO

Authors Anindya Banerjee, Massimiliano Marcellino

Publication date 22 November 2017

zbMATH Keywords

macroeconomic variableserror-correction mechanics (ECM)factor-augmented error correction models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Factor-augmented regression models with structural change
• Model selection in factor-augmented regressions with estimated factors
• Exogeneity in error correction models
• Error-correction factor models for high-dimensional cointegrated time series
• Estimation of nonlinear error correction models
• Estimation in second-order models with errors in the factor levels
• Bayesian analysis of the error correction model
• Bootstrapping factor-augmented regression models

Cited in

(5)

• FECM based measurement of aggregate financing to the real economy influence on macro economy
• Analysis of cointegrated models with measurement errors
• Testing for structural stability of factor augmented forecasting models
• Using large data sets to forecast sectoral employment
• Factor-augmented regression models with structural change

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