Real-Time Measurement of Business Conditions

We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.

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Year of publication:	2007-07-24
Authors:	Aruoba, S. Boragan ; Diebold, Francis X. ; Scotti, Chiara
Institutions:	Department of Economics, University of Pennsylvania
Subject:	Business cycle \| Expansion \| Recession \| State space model \| Macroeconomic forecasting \| Dynamic factor model

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Extent:	application/pdf
Series:	PIER Working Paper Archive.
Type of publication:	Book / Working Paper
Notes:	36 pages
Classification:	E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; C01 - Econometrics ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005126701