US weekly economic index: Replication and extension

Philipp Wegmüller and Christian Glocker
Authors registered in the RePEc Author Service: Philipp Wegmueller

Journal of Applied Econometrics, 2023, vol. 38, issue 6, 977-985

Abstract: We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to adjust the weekly input series for seasonal patterns, calendar day effects, and excess volatility. In a long sense, we show that our proposed data adjustment significantly improves the nowcasting performance of the WEI.

Date: 2023
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