Abstract

http://ssrn.com/abstract=2243625
 
 

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UNE REVUE DE LA LITTÉRATURE DES MODÈLES À FACTEURS DYNAMIQUES (Dynamic Factor Models: A Review of the Literature)


Karim Barhoumi


International Monetary Fund (IMF)

Olivier Darné


University of Nantes - Faculty of Business and Economics

Laurent Ferrara


Banque de France; Université Paris Ouest - Nanterre, La Défense - EconomiX

March 1, 2013

Banque de France Working Paper No. 430

Abstract:     
For few years, the increasing size of available economic and financial databases has led econometricians to develop and adapt new methods in order to efficiently summarize information contained in those large datasets. Among those methods, dynamic factor models have known a rapid development and a large success among macroeconomists. In this paper, we carry out a review of the recent literature on dynamic factor models. First we present the models used, then the parameter estimation methods and finally the statistical tests available to choose the number of factors. In the last section, we focus on recent empirical applications, especially dealing with the building of economic outlook indicators, macroeconomic forecasting and macroeconomic and monetary policy analyses.

The English version of this document can be found at: http://ssrn.com/abstract=2291459

Note: Downloadable document is in French.

Number of Pages in PDF File: 61

Keywords: Dynamic factor models, estimation, tests for the number of factors, macroeconomic applications

JEL Classification: C13, C51, C32, E66, F44

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Date posted: April 4, 2013  

Suggested Citation

Barhoumi, Karim and Darné, Olivier and Ferrara, Laurent, UNE REVUE DE LA LITTÉRATURE DES MODÈLES À FACTEURS DYNAMIQUES (Dynamic Factor Models: A Review of the Literature) (March 1, 2013). Banque de France Working Paper No. 430. Available at SSRN: http://ssrn.com/abstract=2243625 or http://dx.doi.org/10.2139/ssrn.2243625

Contact Information

Karim Barhoumi (Contact Author)
International Monetary Fund (IMF) ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
Olivier Darné
University of Nantes - Faculty of Business and Economics ( email )
Nantes
France
Laurent Ferrara
Banque de France ( email )
Paris
France
Université Paris Ouest - Nanterre, La Défense - EconomiX ( email )
200 Avenue de la République
92000
Feedback to SSRN


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References:  146
Footnotes:  21

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