TY  - JOUR
AU  - Aruoba,S. Boragan
AU  - Diebold,Francis X.
AU  - Scotti,Chiara
TI  - Real-Time Measurement of Business Conditions
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14349
PY  - 2008
Y2  - September 2008
UR  - http://www.nber.org/papers/w14349
L1  - http://www.nber.org/papers/w14349.pdf
N1  - Author contact info:
S. Boragan Aruoba
Department of Economics
University of Maryland
3105 Tydings Hall
College Park, MD 20742-7211
Tel: 301/405-3523
E-Mail: aruoba@econ.umd.edu

Francis X. Diebold
Department of Economics
University of Pennsylvania
3718 Locust Walk
Philadelphia, PA  19104-6297
Tel: 215/898-1507
Fax: 212/573-4217
E-Mail: fdiebold@sas.upenn.edu

Chiara Scotti
Federal Reserve Board
20th & Constitution, NW
Washington, DC 20551
E-Mail: chiara.scotti@frb.gov
AB  - 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.
ER  -