Charpin, Françoise - In: Revue de l'OFCE n° 108 (2009) 1, pp. 31-48
In this paper, nowcasts are provided by a factor model, where factors are extracted from a small number of monthly series, selected using the LARS algorithm (Least Angle Regression). We follow the work of Bai and Ng (2008) which contrasts strongly with the traditional factor model based on a...