Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?

Cecilia Frale

Working Papers from Department of the Treasury, Ministry of the Economy and of Finance

Abstract: This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate approach which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor and low-frequency cycles. The multivariate model is cast in State Space Form and the temporal aggregation constraint is converted into a problem of missing values. An application in real time for the value added of the Industry sector in the Euro area is presented.

Keywords: Temporal; Disaggregation.; Multivariate; State; Space; Models.; Dynamic; factor (search for similar items in EconPapers)
JEL-codes: C53 E32 E37 (search for similar items in EconPapers)
Pages: 31
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Persistent link: https://EconPapers.repec.org/RePEc:itt:wpaper:wp2008-2

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