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)
New Economics Papers: this item is included in nep-bec, nep-ecm and nep-rmg
Date: 2007
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Related works:
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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