Scotti, Chiara; Aruoba, S. Boragan; Diebold, Francis X. - Society for Computational Economics - SCE - 2006
We construct a state space model for measuring real economic activity in real time (e.g., minute by minute) using a variety of stock and flow data, observed at mixed frequencies. Our data set comprises macroeconomic and financial variables: GDP, IP, unemployment, stock and bond market data, and...