Real-time measurement of business conditions

S. Boragan Aruoba, Francis Diebold and Chiara Scotti

No 08-19, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: 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.

Keywords: Business; conditions (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-bec, nep-ecm, nep-ets, nep-mac and nep-rmg
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Citations: View citations in EconPapers (23)

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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 (2007)
Working Paper: Real-Time Measurement of Business Conditions (2007)
Working Paper: Real-Time Measurement of Business Conditions (2006)
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