Real-Time Measurement of Business Conditions

S. Boragan Aruoba (), Francis X. Diebold () and Chiara Scotti

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/working-papers/07-028.pdf (application/pdf)

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: http://EconPapers.repec.org/RePEc:pen:papers:07-028

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