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Real-Time Measurement of Business Conditions, Second Version Author info | Abstract | Publisher info | Download info | Related research | Statistics S. Boragan Aruoba () (Department of Economics, University of Maryland)
Francis X. Diebold () (Department of Economics, University of Pennsylvania and NBER)
Chiara Scotti () (Federal Reserve Board, Division of International Finance)
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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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Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number
08-011.
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Length: 26 pages
Date of creation: 01 Mar 2007Date of revision:
04 Apr 2008Handle: RePEc:pen:papers:08-011Contact details of provider: Postal: 3718 Locust Walk, Philadelphia, PA 19104 Phone: 215-898-9992 Fax: 215-573-2378 Email: Web page: http://economics.sas.upenn.edu/pier More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Dolly Guarini).
Keywords: Business cycle ; Expansion ; Recession ; State space model ; Macroeconomic forecasting ; Dynamic factor model ; Contraction ; Turning point ; Other versions of this item:
Find related papers by JEL classification: E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation C01 - Mathematical and Quantitative Methods - - General - - - Econometrics C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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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.
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Evans, Martin D.D., 2005.
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Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000.
"The Generalized Dynamic-Factor Model: Identification And Estimation ,"
The Review of Economics and Statistics ,
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"The MIDAS Touch: Mixed Data Sampling Regression Models ,"
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Altissimo, Filippo & Bassanetti, Antonio & Cristadoro, Riccardo & Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia & Veronese, Giovanni, 2001.
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Other versions: Lucas, Robert E., 1977.
"Understanding business cycles ,"
Carnegie-Rochester Conference Series on Public Policy ,
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