ARUOBADIEBOLDSCOTTIJBES2009: RATS programs to replicate Aruoba, Diebold and Scotti(2009) state-space model with mixed frequencies

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Replication file for Aruoba, Diebold and Scotti(2009), "Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. Instead of brute force with a huge state vector, this uses aggregator states to handle the lags of the indicator for the two flow variables. The authors have an update on the ADS website that describes this.

Language: RATS
Requires: RATS 11.00
Keywords: Mixed frequency; State-space models (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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Downloads: (external link)
https://estima.com/procedures/AruobaDieboldScottiJBES2009.rprj (application/zip)

Related works:
Journal Article: Real-Time Measurement of Business Conditions (2009)
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