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Real-Time Measurement of Business Conditions

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

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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File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2009.07205
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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 27 (2009)
Issue (Month): 4 ()
Pages: 417-427

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Handle: RePEc:bes:jnlbes:v:27:i:4:y:2009:p:417-427
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