Journal of Business Cycle Measurement and Analysis

The Journal of Business Cycle Measurement and Analysis has been discontinued as of 24 June 2016. This journal was published jointly with CIRET from 2004 to 2015. For more information see www.ciret.org/jbcy.


Forecasting Corporate Investment

An Indicator Based on Revisions in the French Investment Survey

Insee's quarterly survey of investment in industry is a prime source of information concerning short-term evolutions in productive investment, making it possible to estimate these evolutions at an early stage and with considerable precision. However, the annual nature of the questions posed makes it is difficult to use the results for forecasting on a quarterly basis. This article proposes a quarterly indicator based on revisions in industrial firms? expectations regarding their investment. This indicator measures the adjustments to investment figures made during the year in response to changes of a short-term nature. It turns out to be closely correlated with quarterly evolutions in firms? investment as measured in the national accounts. Moreover, it is available roughly three months before the publication of the initial quarterly national accounts figures. As the distributions examined fail to verify the classic normality hypothesis (thick tails and heavy concentrations at zero) it is necessary toapply an estimation method that is robust to extreme revisions. Taking into account also the presence of heteroscedasticity, the method adopted was that known as "Quasi-Generalised M-Estimators".


Keywords: Productive investment, Forecasts, Outliers, Robust regressions, M-estimators, Adaptative procedures, Business surveys
This is a required field
Please enter a valid email address
Approval was a Success
Invalid data
An Error Occurred
Approval was partially successful, following selected items could not be processed due to error