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Real-time measurement of business conditions

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  • S. Boragan Aruoba
  • Francis X. Diebold
  • Chiara Scotti

Abstract

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.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 08-19.

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Date of creation: 2008
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Handle: RePEc:fip:fedpwp:08-19

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Keywords: Business conditions;

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  26. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
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