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Short-term forecasts of French GDP: A dynamic factor model with targeted predictors

Bessec, Marie (2013), Short-term forecasts of French GDP: A dynamic factor model with targeted predictors, Journal of Forecasting, 32, 6, p. 500-511. 10.1002/for.2262

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Type
Article accepté pour publication ou publié
Date
2013
Journal name
Journal of Forecasting
Volume
32
Number
6
Pages
500-511
25
Publication identifier
10.1002/for.2262
Metadata
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Author(s)
Bessec, Marie
Abstract (EN)
In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor estimation (targeted predictors). In particular, they propose using the LARS-EN algorithm to remove irrelevant predictors. In this paper, we adapt the Bai and Ng procedure to a setup in which data releases are delayed and staggered. In the pre-selection step, we replace actual data with estimates obtained on the basis of past information, where the structure of the available information replicates the one a forecaster would face in real time. We estimate on the reduced dataset the dynamic factor model of Giannone, Reichlin and Small (2008) and Doz, Giannone and Reichlin (2011), which is particularly suitable for the very short-term forecast of GDP. A pseudo real-time evaluation on French data shows the potential of our approach.
Subjects / Keywords
Factor model; GDP forecasting; Large dataset; Targeted predictors; Variable selection
JEL
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
E32 - Business Fluctuations; Cycles
E37 - Forecasting and Simulation: Models and Applications

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