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Réévaluation des modèles d’estimation précoce de la croissance

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  • Françoise Charpin

    (Observatoire français des conjonctures économiques)

Abstract

Dans le n˚ 108 de la Revue de l’OFCE, des modèles d’estimation précoce de la croissance française ont été proposés et évalués en pseudo temps réel sur la période 2001-2007. La crise financière a quelque peu dégradé leur performance. Le changement de base des comptes trimestriels en mai 2011 modifie aussi sensiblement les résultats car il affecte la croissance du PIB sur toute la période d’estimation des modèles. Ainsi le moment est venu de faire le point sur les outils de prévision à court terme présentés dans l’article de F. Charpin (2009). C’est aussi l’occasion de les confronter à d’autres modèles et d’évaluer l’ensemble de nos outils en pseudo temps réel sur la période allant du 1er trimestre 2001 au 1er trimestre 2011.

Suggested Citation

  • Françoise Charpin, 2011. "Réévaluation des modèles d’estimation précoce de la croissance," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
    • Handle: RePEc:spo:wpmain:info:hdl:2441/eu4vqp9ompqllr09hi4cii4bh
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    References listed on IDEAS

    as
    1. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
    2. Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
    3. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
    4. Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
    5. Françoise Charpin, 2009. "Estimation précoce de la croissance. De la régression LARS au modèle à facteurs," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(1), pages 31-48.
    6. repec:hal:spmain:info:hdl:2441/5l6uh8ogmqildh09h61q8alqn is not listed on IDEAS
    7. Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
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    Full references (including those not matched with items on IDEAS)

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    Keywords

    Prévision du PIB; Modèles à facteurs;

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