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Une revue de la littérature des modèles à facteurs dynamiques

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  • Karim Barhoumi
  • Olivier Darné
  • Laurent Ferrara

Abstract

[eng] Dynamic FactorModels : A Review of the Literature. . In the last fewyears, the growth in the amount of economic and financial data available has prompted econometricians to develop or adapt new methods enabling them to summarise efficiently the information contained in large databases. Of thesemethods, dynamic factor models have seen rapid growth and become very popular among macroeconomists. In this paper, we carry out a survey of recent literature on dynamic factor models. We start by presenting the models used before looking at parameter estimationmethods and statistical tests available for choosing the number of factors. We then focus on recent empirical applications dealingwith the construction of economic outlook indicators, macroeconomic forecasts, and macroeconomic and monetary policy analyses. [fre] Depuis quelques années, la quantité de données disponibles, économiques et financières, a incité les économètres à développer ou à adapter de nouvelles méthodes afin de résumer de manière efficiente l’information contenue dans ces grandes bases de données. Parmi les différentes méthodes proposées, les modèles à facteurs dynamiques ont connu un développement rapide et un large succès auprès des macroéconomistes. Dans cet article, nous proposons une revue de la littérature récente sur ce type de modèles. Nous présentons d’abord les modèles utilisés, puis les méthodes d’estimation des paramètres et les tests statistiques du nombre de facteurs. Nous nous focalisons ensuite sur quelques applications récentes, portant sur la construction d’indicateurs conjoncturels, la prévision macroéconomique et les analyses macroéconomiques et de politique monétaire.

Suggested Citation

  • Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2012. "Une revue de la littérature des modèles à facteurs dynamiques," Économie et Prévision, Programme National Persée, vol. 199(1), pages 51-77.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2012_num_199_1_8098
    DOI: 10.3406/ecop.2012.8098
    Note: DOI:10.3406/ecop.2012.8098
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