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Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture

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  • Marie Bessec

Abstract

[eng] This paper discusses new bridge models for short-term forecasting of French quarterly GDP growth. The only data used are from business surveys in French manufacturing, services, and construction. We consider two alternative methods. The first relies on the general-to-specific (GETS) algorithm applied to blocks of randomly selected variables (Hendry and Krolzig, 2005) ; the other relies on the combination method popularized by Stock and Watson (2004). We conduct in-sample and out-of-sample assessments of both methods using recursive and rolling regressions. We show that the forecast based on an automatic regression-model selection (GETS) performs better, and that extending the database to business surveys in the service and construction sectors can be useful for short-term GDP forecasting. [fre] Cet article développe des nouveaux étalonnages du taux de croissance du PIB français destinés à produire des prévisions de court terme de l’activité . Ils sont construits à partir de données d’enquête de l’Insee, dans l’industrie mais également dans les services et le bâtiment. Nous examinons deux stratégies de réduction de l information, l’une fondée sur l’algorithme de sélection automatique GETS par blocs de Hendry et Krolzig (2005), l’autre sur la méthode de combinaison popularisée par Stock et Watson (2004). Ces deux méthodes sont évaluées en-échantillon et hors-échantillon au travers de régressions récursives et roulantes. Nous montrons la supériorité des étalonnages construits avec GETS et l’intérêt de considérer d’autres enquêtes que celle dans l’industrie dans les stratégies de modélisation et de prévision.

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  • Marie Bessec, 2010. "Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Économie et Prévision, Programme National Persée, vol. 193(2), pages 77-99.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2010_num_193_2_8036 Note: DOI:10.3406/ecop.2010.8036
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    1. Bec, Frédérique & Mogliani, Matteo, 2015. "Nowcasting French GDP in real-time with surveys and “blocked” regressions: Combining forecasts or pooling information?," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1021-1042.
    2. repec:eee:ecmode:v:64:y:2017:i:c:p:26-39 is not listed on IDEAS
    3. Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017. "The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey," Economic Modelling, Elsevier, vol. 64(C), pages 26-39.

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