Advanced Search
MyIDEAS: Login to save this paper or follow this series

Firm'investment forecast: An indicator of changes in expectations in industrial investment survey

Contents:

Author Info

  • N. FERRARI

    (Insee)

Registered author(s):

    Abstract

    The quarterly industrial investment survey constitutes one of the main sources of information for the short-term economic analysis of industrial firms investment. However, its main questions are annual. Therefore, the use of this surveys results for the forecasting of investment on a quarterly basis requires some specific statistical treatment. This paper presents a quarterly indicator based on the changes in industrial entrepreneurs expectations as regards annual investment. This indicator derives from the estimation of the successive adaptations of entrepreneurs investment plans as times goes by, depending on the evolutions of short-term macroeconomic activity ; it proves to be strongly correlated with the fluctuations of the entrepreneurs investment growth rate (as is measured in the French Quarterly Accounts). Moreover, the indicator is available about three months ahead with respect to the first results release of the quarterly national accounts. The probability distributions of changes in expectations are not gaussian (due to heavy tails and strong concentrations near zero). Consequently, robust estimation methods for extreme observations were performed. Due to the presence of heteroskedasticity, we choosed to apply the Quasi-Generalized M-estimator» method.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.insee.fr/fr/publications-et-services/docs_doc_travail/G2005-09.pdf
    File Function: Document de travail de la DESE numéro G2005-09
    Download Restriction: no

    Bibliographic Info

    Paper provided by Institut National de la Statistique et des Etudes Economiques, DESE in its series Documents de Travail de la DESE - Working Papers of the DESE with number g2005-09.

    as in new window
    Length:
    Date of creation: 2005
    Date of revision:
    Handle: RePEc:crs:wpdeee:g2005-09

    Contact details of provider:
    Postal: 15 Boulevard Gabriel Peri 92244 Malakoff Cedex
    Phone: 01 41 17 50 50
    Email:
    Web page: http://www.insee.fr
    More information through EDIRC

    Related research

    Keywords: Firms investment; short-term forecasting; business tendency surveys; extreme values; adaptive M-regression; Quasi-Generalized M-estimator;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:crs:wpdeee:g2005-09. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (D3E).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.