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

Author

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  • Doz, C.
  • Lenglart, F.

Abstract

Dans ce papier, on se propose de montrer qu'il est possible d'employer en premiere approximation, dans un cadre temporel stationnaire, la technique d'analyse factorielle statique (seulement adaptee a priori a des donnees individuelles) et d'en deriver une procedure de test du nombre de facteurs a retenir dans le modele dynamique.

Suggested Citation

  • Doz, C. & Lenglart, F., 1998. "Analyse factorielle dynamique: test du nombre de facteurs, estimation, et application a l'enquete de conjoncture dans l'industrie," Papers 9831, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    • Handle: RePEc:fth:pnegmi:9831
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    Cited by:

    1. Thomas A. Knetsch, 2005. "Evaluating the German Inventory Cycle Using Data from the Ifo Business Survey," Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 61-92, Springer.

    More about this item

    Keywords

    EVALUATION ; MODELES ECONOMIQUES U.F.R. de science economiques; gestion; mathematiques et informatique; 200; avenue de la Republique 9 2001 Nanterre CEDEX. 45p.;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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