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Real-Time Measurement of Business Conditions

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  • S. Boragan Aruoba

    ()
    (Department of Economics, University of Maryland)

  • Francis X. Diebold

    ()
    (Department of Economics, University of Pennsylvania)

  • Chiara Scotti

    ()
    (Division of International Finance, Federal Reserve Board)

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.

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Bibliographic Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 07-028.

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Length: 36 pages
Date of creation: 24 Jul 2007
Date of revision:
Handle: RePEc:pen:papers:07-028

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Keywords: Business cycle; Expansion; Recession; State space model; Macroeconomic forecasting; Dynamic factor model;

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References

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