Using a state space formulation developed by Stock and Watson and Garratt and Hall we construct an indicator, which then is interpreted as a measure of the underlying economic activity of the Greek economy. The chief novelty of the paper is that the underlying model is calibrated, rather than estimated, using sample information. Our approach is more flexible than the original one, in that it provides the possibility to cope with outlying observations and to evaluate particular shocks affecting the economy using judgmental interventions. The new indicator could be very helpful for short run policy analysis signalling emerging economic problems.
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Paper provided by Bank of Greece in its series Working Papers with number
04.
Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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