Estimation précoce de la croissance

Françoise Charpin ()
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Françoise Charpin: OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po

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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.

Keywords: Prévisions; Modèle à facteurs; Régression LARS (search for similar items in EconPapers)
Date: 2009-01
Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03476082
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Published in Revue de l'OFCE, 2009, 108, pp.31 - 48. ⟨10.3917/reof.108.0031⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-03476082

DOI: 10.3917/reof.108.0031

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