US weekly economic index: Replication and extension

Summary We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023)...

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Bibliographic Details
Published in:Journal of applied econometrics (Chichester, England) England), 2023-09, Vol.38 (6), p.977-985
Main Authors: Wegmüller, Philipp, Glocker, Christian
Format: Article
Language:English
Subjects:
business cycle index
Covid‐19
dynamic factor model
Econometrics
forecast evaluation
high‐frequency data
nowcasting
seasonal adjustment
Volatility
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Summary:Summary We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to adjust the weekly input series for seasonal patterns, calendar day effects, and excess volatility. In a long sense, we show that our proposed data adjustment significantly improves the nowcasting performance of the WEI.
ISSN:0883-7252
1099-1255
DOI:10.1002/jae.2979