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Analyse factorielle dynamique : test du nombre de facteurs, estimation et application à l'enquête de conjoncture dans l'industrie

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  • Catherine DOZ
  • Fabrice LENGLART

Abstract

We suggest a two step procedure to estimate a dynamic factor model. We show that, in a stationary dynamic framework, static factor analysis leads to consistent estimators and allows to build an asymptotic test of the relevant number of factors. Once this number is set, the model can be estimated through a Kalman filter. We then apply this procedure to the French industrial business survey, in order to build a composite index.

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Bibliographic Info

Article provided by ENSAE in its journal Annals of Economics and Statistics.

Volume (Year): (1999)
Issue (Month): 54 ()
Pages: 91-127

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Handle: RePEc:adr:anecst:y:1999:i:54:p:05

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Cited by:
  1. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5724, C.E.P.R. Discussion Papers.
  2. Hélène Erkel-Rousse, 2007. "Business Tendency Surveys: From Short-Term Analysis to Structural Studies," Economie et Statistique, Institut National de la Statistique et des Etudes Economiques, Institut National de la Statistique et des Etudes Economiques, vol. 395, pages 3-11, January.
  3. Bates, Samuel & Vaugirard, Victor, 2009. "Monetary Transmission Channels around the Subprime Crisis : The US Experience," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/1483, Paris Dauphine University.
  4. repec:spo:wpecon:info:hdl:2441/2466 is not listed on IDEAS
  5. Bruno Giancarlo & Lupi Claudio, 2003. "Forecasting Euro-Area Industrial Production Using (Mostly) Business Surveys Data," ISAE Working Papers, ISTAT - Italian National Institute of Statistics - (Rome, ITALY) 33, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
  6. Olivier Biau & Hélène Erkel-Rousse & Nicolas Ferrari, 2007. "Individual Responses to Business Tendency Surveys and the Forecasting of Manufacturing Production," Economie et Statistique, Institut National de la Statistique et des Etudes Economiques, Institut National de la Statistique et des Etudes Economiques, vol. 395, pages 91-116, January.
  7. Libero Monteforte, 2004. "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 534, Bank of Italy, Economic Research and International Relations Area.
  8. Matthieu Cornec & Thierry Deperraz, 2007. "A New Monthly Synthetic Indicator Summarising the Business Climate of the French Service Sector," Economie et Statistique, Institut National de la Statistique et des Etudes Economiques, Institut National de la Statistique et des Etudes Economiques, vol. 395, pages 13-38, January.
  9. Françoise Charpin & Hervé Péléraux, 2000. "L'indicateur avancé de l'OFCE," Sciences Po publications, Sciences Po info:hdl:2441/2466, Sciences Po.
  10. Knetsch, Thomas A., 2004. "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2004,10, Deutsche Bundesbank, Research Centre.
  11. Bruno, Giancarlo & Malgarini, Marco, 2002. "An Indicator of Economic Sentiment for the Italian Economy," MPRA Paper 42331, University Library of Munich, Germany.
  12. Buss, Ginters, 2010. "A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle," MPRA Paper 22147, University Library of Munich, Germany.
  13. L. Clavel & C. Minodier, 2009. "A Monthly Indicator of the French Business Climate," Documents de Travail de la DESE - Working Papers of the DESE, Institut National de la Statistique et des Etudes Economiques, DESE g2009-02, Institut National de la Statistique et des Etudes Economiques, DESE.

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