Real-Time Measurement of Business Conditions

S. Boragan Aruoba (), Francis Diebold () and Chiara Scotti ()
Additional contact information
Chiara Scotti: Division of International Finance, Federal Reserve Board

PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania

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 cycle; Expansion; Recession; State space model; Macroeconomic forecasting; Dynamic factor model (search for similar items in EconPapers)
JEL-codes: E32 E37 C01 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-for, nep-mac and nep-rmg
Date: 2007-07-24
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http://economics.sas.upenn.edu/system/files/07-028.pdf (application/pdf)

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 (2006)
Working Paper: Real-time measurement of business conditions (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:pen:papers:07-028

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