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Real-time measurement of business conditions
S. Boragan Aruoba () and
Francis X. Diebold
International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)
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
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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) This item may be available elsewhere in EconPapers: Search for items with the same title.
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