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Real-Time Measurement of Business Conditions

Author

Listed:
  • Aruoba, S. BoraÄŸan
  • Diebold, Francis X.
  • Scotti, Chiara

Abstract

Replication file for Aruoba, Diebold and Scotti(2009), "Real-Time Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. Instead of brute force with a huge state vector, this uses aggregator states to handle the lags of the indicator for the two flow variables. The authors have an update on the ADS website that describes this.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
    • Handle: RePEc:bes:jnlbes:v:27:i:4:y:2009:p:417-427
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    File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.07205
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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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