Camacho, Maximo; Martíinez-Martin, Jaime - BBVA Research, Grupo BBVA - 2012
This paper proposes two refinements to the single-index dynamic factor model developed by Aruoba and Diebold (AD, 2010) to monitor US economic activity in real time. First, we adapt the model to include survey data and financial indicators. Second, we examine the predictive performance of the...