Real-Time Measurement of Business Conditions, Second Version

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

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 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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