Estimation précoce de la croissance. De la régression LARS au modèle à facteurs

Françoise Charpin

Revue de l'OFCE, 2009, vol. n° 108, issue 1, 31-48

Abstract: In this paper, nowcasts are provided by a factor model, where factors are extracted from a small number of monthly series, selected using the LARS algorithm (Least Angle Regression). We follow the work of Bai and Ng (2008) which contrasts strongly with the traditional factor model based on a large information set. They recommend selecting only targeted predictors, i.e. the most informative series to forecast growth. A pseudo real time analysis is carried out to estimate French growth over the period 2001-2007. JEL Classification: C22, C53.

Keywords: forecasting; factor model; targeted predictors (search for similar items in EconPapers)
JEL-codes: C22 C53 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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