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

61 Pages Posted: 4 Apr 2013  

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

Date Written: March 1, 2013

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

Notes: Downloadable document is in French.

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

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

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: https://ssrn.com/abstract=2243625 or http://dx.doi.org/10.2139/ssrn.2243625

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

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