Real-Time Measurement of Business Conditions

S. Boragan Aruoba, Francis Diebold and Chiara Scotti

No 14349, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C01 C22 E32 E37 (search for similar items in EconPapers)
Date: 2008-09
New Economics Papers: this item is included in nep-bec, nep-cba, nep-cmp, nep-ecm and nep-mac
Note: EFG
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Citations: View citations in EconPapers (9)

Published as Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.

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Related works:
Journal Article: Real-Time Measurement of Business Conditions (2009)
Working Paper: Real-time measurement of business conditions (2008)
Working Paper: Real-time measurement of business conditions (2007)
Working Paper: Real-Time Measurement of Business Conditions (2007)
Working Paper: Real-Time Measurement of Business Conditions (2006)
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