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


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  • Françoise Charpin
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    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.

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    Article provided by Presses de Sciences-Po in its journal Revue de l'OFCE.

    Volume (Year): n° 108 (2009)
    Issue (Month): 1 ()
    Pages: 31-48

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    Handle: RePEc:cai:reofsp:reof_108_0031

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    Keywords: forecasting; factor model; targeted predictors;

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