Real-Time Measurement of Business Conditions, Second Version

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the framework in a prototype empirical example and a simulation study calibrated to the example

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Year of publication:	[2008]
Authors:	Aruoba, S. Borağan
Other Persons:	Diebold, Francis X. (contributor) ; Scotti, Chiara (contributor)
Publisher:	[2008]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Schätzung \| Estimation \| Prognoseverfahren \| Forecasting model \| Frühindikator \| Leading indicator

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Extent:	1 Online-Ressource (28 p)
Series:	PIER Working Paper ; No. 08-011
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 4, 20008 erstellt
Other identifiers:	10.2139/ssrn.1116685 [DOI]
Classification:	E32 - Business Fluctuations; Cycles ; E37 - Forecasting and Simulation ; C01 - Econometrics ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012724680