Joint research unit 7235

A factor-augmented probit model for business cycle analysis

Christophe Bellégo, Laurent Ferrara

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 factor-augmented probit model in order to analyze the business cycle. Factor estimation is carried either by standard statistical methods or by allowing a richer dynamic behaviour. An application is provided on euro area data in order to point out the ability of the model to detect recessions over the period 1974-2008.

AGENDA

Monday 4 March 2024

The Bright Side of the GDPR: Welfare-improving Privacy Management

Shiva Shekhar (Tilburg Univ)

The Bright Side of the GDPR: Welfare-improving Privacy Management

Monday 4 March 2024

Law, Institutions and Economics in Nanterre (LIEN)

Shiva Shekhar (Tilburg Univ)

The Bright Side of the GDPR: Welfare-improving Privacy Management

Tuesday 5 March 2024

Recherche et Economie et Socioéconomie Politique, des Institutions et des Régulations (RESPIR)

Thomas Angeletti (Université Paris Dauphine PSL & IRISSO CNRS)

L’invention de l’économie française

Tuesday 5 March 2024

L’invention de l’économie française

Thomas Angeletti (Université Paris Dauphine PSL & IRISSO CNRS)

L’invention de l’économie française

Tuesday 5 March 2024

Webinar TELE – Theoretical European Law & Economics

Ester Manna (University of Barcelona, Spain)

3:00 pm to 4:15 pm (Paris time)

TBA

Tuesday 5 March 2024

TBA

Ester Manna (University of Barcelona, Spain)

3:00 pm to 4:15 pm (Paris time)

TBA

Wednesday 6 March 2024

Économies du monde musulman

Amal Briki (Agence Alnaft, Alger)

Les déterminants de la performance bancaire en Algérie

Wednesday 6 March 2024

Les déterminants de la performance bancaire en Algérie

Amal Briki (Agence Alnaft, Alger)

Les déterminants de la performance bancaire en Algérie

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