Real-Time Measurement of Business Conditions

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 i...

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Bibliographic Details
Published in:Journal of business & economic statistics 2009-10, Vol.27 (4), p.417-427
Main Authors: Aruoba, S. Borağan, Diebold, Francis X., Scotti, Chiara
Format: Article
Language:English
Subjects:
Business cycle
Contraction
Dynamic factor model
Economic activity
Economic conditions
Economic fluctuations
Economic models
Economic recessions
Employment
Expansion
Gross domestic product
High frequencies
Macroeconomic forecasting
Macroeconomic modeling
Macroeconomics
Measurement
Missing data
Recession
Simulation
State space model
Studies
Turning point
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Summary: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.
ISSN:0735-0015
1537-2707
DOI:10.1198/jbes.2009.07205