Real-time measurement of business conditions

S. Boragan Aruoba, Francis Diebold and Chiara Scotti

No 901, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Business conditions; Econometric models (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-bec, nep-ecm and nep-rmg
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Real-Time Measurement of Business Conditions (2009)
Working Paper: Real-time measurement of business conditions (2008)
Working Paper: Real-Time Measurement of Business Conditions (2008)
Working Paper: Real-Time Measurement of Business Conditions (2007)
Working Paper: Real-Time Measurement of Business Conditions (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:901

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