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NBER Working Papers and Publications
|September 2008||Real-Time Measurement of Business Conditions|
with S. Boragan Aruoba, Francis X. Diebold: w14349
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.
Published: 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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