G2TT
来源类型Discussion paper
规范类型论文
来源IDDP6717
DP6717 Brain Drained: A Tale of Two Countries
Dan Ben-David
发表日期2008-02-22
出版年2008
语种英语
摘要This paper brings together several important strands of the econometrics literature: error-correction, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the factors estimated from a large set of variables in levels are jointly modelled with a few key economic variables of interest. With respect to the standard ECM, the FECM protects, at least in part, from omitted variable bias and the dependence of cointegration analysis on the specific limited set of variables under analysis. It may also be in some cases a refinement of the standard Dynamic Factor Model (DFM), since it allows us to include the error correction terms into the equations, and by allowing for cointegration prevent the errors from being non-invertible moving average processes. In addition, the FECM is a natural generalization of factor augmented VARs (FAVAR) considered by Bernanke, Boivin and Eliasz (2005) inter alia, which are specified in first differences and are therefore misspecified in the presence of cointegration. The FECM has a vast range of applicability. A set of Monte Carlo experiments and two detailed empirical examples highlight its merits in finite samples relative to standard ECM and FAVAR models. The analysis is conducted primarily within an in-sample framework, although the out-of-sample implications are also explored.
主题International Macroeconomics
关键词Cointegration Dynamic factor models Error correction models Factor-augmented error correction models Favar Var
URLhttps://cepr.org/publications/dp6717
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/535555
推荐引用方式
GB/T 7714
Dan Ben-David. DP6717 Brain Drained: A Tale of Two Countries. 2008.
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