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Structural FECM: Cointegration in large-scale structural FAVAR models. (2014). Masten, Igor ; Marcellino, Massimiliano ; Banerjee, Anindya.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:9858.

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  5. Banerjee, A. and M. Marcellino (2009). Factor-augmented error correction models, in J.L. Castle and N. Shephard, N. (eds.), The Methodology and Practice of Econometrics –A Festschrift for David Hendry. Oxford: Oxford University Press, 227-254.
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  6. Banerjee, A., M. Marcellino and I. Masten (2013). Forecasting with Factor-augmented Error Correction Models. International Journal of Forecasting, forthcoming.
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  7. Bernanke, B.S., J. Boivin and P. Eliasz (2005). Measuring the eects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, 120, 387-422.
    Paper not yet in RePEc: Add citation now
  8. Choi, In (2011). E cient Estimation of Nonstationary Factor Models, RIME Working paper No. 2011-13.
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  9. Eickmeier, S. (2009), Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model, Journal of Applied Econometrics, 24(6), 933-959.

  10. Forni, M., D. Giannone, M. Lippi and L. Reichlin (2009). Opening the black box: Structural factors models with large cross sections, Econometrci Theory, 25, 13191347.

  11. Gengenbach, C., J-P. Urbain and J. Westerlund (2008). Panel error correction testing with global stochastic trends. METEOR Research Memorandum 51.

  12. Johansen, S. (1995). Likelihood-based inference in cointegrated vector autoregressive models. Oxford University Press, Oxford and New York.

  13. Stock, J.H. and M.W. Watson (2005). Implications of dynamic factor models for VAR analysis. NBER Working Paper 11467.

  14. Warne, A. (1993), “A Common Trends Model: Identi…cation, Estimation and Inference ” , University of Stockholm, IIES Seminar Paper No. 555.

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