Real-time measurement of business conditions

This file is part of IDEAS, which uses RePEc data

Real-time measurement of business conditions

Author Info

S. Boragan Aruoba
Francis X. Diebold
Chiara Scotti

Additional information is available for the following registered author(s):

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 901.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 2007
Date of revision:
Handle: RePEc:fip:fedgif:901

Contact details of provider:
Postal: 20th Street and Constitution Avenue, NW, Washington, DC 20551
Web page: http://www.federalreserve.gov/
More information through EDIRC

Order Information:
Web: http://www.federalreserve.gov/pubs/ifdp/order.htm

For technical questions regarding this item, or to correct its listing, contact: (Diane Rosenberger).

Other versions of this item:

Paper
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions," PIER Working Paper Archive 07-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
- Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006. "Real-Time Measurement of Business Conditions," Computing in Economics and Finance 2006 387, Society for Computational Economics.

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-10-06 (All new papers)
NEP-BEC-2007-10-06 (Business Economics)
NEP-ECM-2007-10-06 (Econometrics)
NEP-RMG-2007-10-06 (Risk Management)

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Roberto S. Mariano & Yasutomo Murasawa, 2003. "A new coincident index of business cycles based on monthly and quarterly series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 427-443. [Downloadable!]
Martin D. D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," International Journal of Central Banking, International Journal of Central Banking, vol. 1(2), September. [Downloadable!]
Liu, H & Hall, Stephen G, 2001. "Creating High-Frequency National Accounts with State-Space Modelling: A Monte Carlo Experiment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 441-49, September.
Evans, Martin D.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers 5270, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Martin D.D. Evans, 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," NBER Working Papers 11064, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Evans, Martin D, 2005. "Where Are We Now? Real-Time Estimates of the Macroeconomy," MPRA Paper 831, University Library of Munich, Germany. [Downloadable!]
- Martin D. D. Evans(Georgetown University and NBER), . "Where Are We Now? Real-time Estimates of the Macro Economy," Working Papers gueconwpa~05-05-02, Georgetown University, Department of Economics. [Downloadable!]
Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 127(1), pages 169-194, May. [Downloadable!] (restricted)
Other versions:
- Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February. [Downloadable!] (restricted)
Other versions:
- Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Diebold & Rudebusch, . "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania. [Downloadable!]
Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November. [Downloadable!] (restricted)
Other versions:
- Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Abeysinghe, Tilak, 2000. "Modeling variables of different frequencies," International Journal of Forecasting, Elsevier, vol. 16(1), pages 117-119. [Downloadable!] (restricted)
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Other versions:
- Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
Lucas, Robert E., 1977. "Understanding business cycles," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 5, pages 7-29. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Jon Faust & Jonathan H. Wright, 2007. "Comparing Greenbook and Reduced Form Forecasts using a Large Realtime Dataset," NBER Working Papers 13397, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
John W. Galbraith & Greg Tkacz, 2007. "Electronic Transactions as High-Frequency Indicators of Economic Activity," Working Papers 07-58, Bank of Canada. [Downloadable!]
Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany. [Downloadable!]

Statistics

Access and download statistics

Did you know? LogEc provides statistical analysis about downloads from this service (and others).

This page was last updated on 2008-7-7.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.