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Estimation of Economic Growth in France Using Business Survey Data

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  • Alain N. Kabundi

Abstract

This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results obtained show that the resulting indicator forecasts economic activity with a relatively high degree of accuracy before the release of actual data.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/69.

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Length: 20
Date of creation: 01 Apr 2004
Date of revision:
Handle: RePEc:imf:imfwpa:04/69

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Keywords: Economic forecasting; Economic growth; Forecasting models; Data collection; Data analysis; forecasting; surveys; growth rate; economic growth rate; survey; correlation; random walk; business cycle; equation; statistics; autocorrelation; gdp growth; prediction; data transformation; heteroscedasticity; business cycles; time series; random variables; principal components analysis; standard error; law of large numbers; standard deviation; real gdp; equations; covariance; sample size; simultaneous equation; factor analysis; stochastic process; polynomials;

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References

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  1. James H. Stock & Mark W. Watson, 1989. "New Indexes of Coincident and Leading Economic Indicators," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409 National Bureau of Economic Research, Inc.
  2. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.
  3. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
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Citations

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Cited by:
  1. Francisco Nadal-De Simone & Alain N. Kabundi, 2007. "France in the Global Economy," IMF Working Papers 07/129, International Monetary Fund.
  2. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
  3. Sara Serra & José R. Maria, 2008. "Forecasting investment: A fishing contest using survey data," Working Papers w200818, Banco de Portugal, Economics and Research Department.
  4. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
  5. Javier Jareño, 2007. "Opinion-based surveys in the conjunctural analysis of the Spanish economy," Banco de Espa�a Occasional Papers 0706, Banco de Espa�a.
  6. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.

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