International Finance Discussion Papers (IFDP)
August 2007
Real-Time Measurement of Business Conditions
S. Boragan Aruoba, Francis X. Diebold, and Chiara Scotti
Abstract:
We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.
Full paper (screen reader version)Keywords: Business cycle, expansion, recession, state space model, macroeconomic forecasting, dynamic factor model
PDF: Full Paper
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