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Real-Time Measurement of Business Conditions, Second Version
S. Boragan Aruoba () and
Francis X. Diebold
Chiara Scotti PIER Working Paper Archive from Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
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 cycle; Expansion; Recession; State space model; Macroeconomic forecasting; Dynamic factor model; Contraction; Turning point (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-cba, nep-mac and nep-rmg
Date: 2007-03-01, Revised 2008-04-04
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Persistent link: http://EconPapers.repec.org/RePEc:pen:papers:08-011
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