IDEAS home Printed from
   My bibliography  Save this article

Une revue de la littérature des modèles à facteurs dynamiques


  • Karim Barhoumi
  • Olivier Darné
  • Laurent Ferrara


[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

    Download full text from publisher

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    Other versions of this item:

    More about this item


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_2012_num_199_1_8098. 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: (Equipe PERSEE). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.