Real-Time Measurement of Business Conditions
36 Pages Posted: 22 Sep 2007
Date Written: August 2007
We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.
Keywords: Import prices, Export prices, Trade balance, Marshall-Lerner condition, DGE model
JEL Classification: E32, E37, C01, C22
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