[spa] Veinte años de previsiones macroeconómicas : un anlisis a partir de datos Franceses, . por Didier Borowski, Carine Bouthevillain, Catherine Doz, Pierre Malgrange y Pierre Morin.. . En el presente artículo se examina el grado de precisión que han alcanzado las previsiones...

[fre] L'analyse des séries macro-économiques repose généralement sur une décomposition en tendance et cycle. Cet article est consacré à l'examen de méthodes purement statistiques d'extraction d'une tendance et d'un cycle à partir d'une série brute ; il se limite aux techniques...

[spa] Reseña acerca de los tests de rationalidad, . por Catherine Doz.. . En esta reseña se examina el principio de los tests de sesgo de las previsiones y las dificultades que se plantean a este respecte Ahora bien, los resultados de estos tests deben considerarse la mayoría de la veces con...

In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set...

Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the cross-section (n) and...

This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of...

This paper provides a semiparametric framework for modeling multivariate conditional heteroskedasticity. We put forward latent stochastic volatility (SV) factors as capturing the commonality in the joint conditional variance matrix of asset returns. This approach is in line with common features...

This paper shows consistency of a two-step estimation of the factors in a dynamic approximate factor model when the panel of time series is large (n large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...

This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...