UNE REVUE DE LA LITTÉRATURE DES MODÈLES À FACTEURS DYNAMIQUES (Dynamic Factor Models: A Review of the Literature)
International Monetary Fund (IMF)
University of Nantes - Faculty of Business and Economics
Banque de France; Université Paris Ouest - Nanterre, La Défense - EconomiX
March 1, 2013
Banque de France Working Paper No. 430
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
Date posted: April 4, 2013