Real-Time Measurement of Business Conditions, Second Version
S. Boragan Aruoba,
Francis Diebold and
Chiara Scotti
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: C01 C22 E32 E37 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2007-03-01, Revised 2008-04-04
New Economics Papers: this item is included in nep-bec, nep-cba, nep-mac and nep-rmg
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Citations: View citations in EconPapers (5)
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Persistent link: https://EconPapers.repec.org/RePEc:pen:papers:08-011
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