Real-Time Measurement of Business Conditions / S. Boragan Aruoba, Francis X. Diebold, Chiara Scotti.

Format:

Book

Author/Creator:

Aruoba, S. Boragan.

Contributor:

National Bureau of Economic Research.

Diebold, Francis X.

Scotti, Chiara.

Series:

Working Paper Series (National Bureau of Economic Research) no. w14349.

NBER working paper series no. w14349

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2008.

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.

Notes:

Print version record

September 2008.