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...

La version française de cet article peut être consultée à: "http://ssrn.com/abstract=2243625" http://ssrn.com/abstract=2243625For few years, the increasing size of available economic and financial databases has led econometricians to develop and adapt new methods in order to efficiently...