Ferrara, Laurent; Bellégo, Christophe - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2010
Dimension reduction of large data sets has been recently the topic of interest of many research papers dealing with macroeconomic modelling. Especially dynamic factor models have been proved to be useful for GDP nowcasting or short-term forecasting. In this paper, we put forward an innovative...