Real-Time Measurement of Business Conditions, Second Version
28 Pages Posted: 4 Apr 2008
Date Written: April 4, 20008
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.
Keywords: Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model, Contraction, Turning point
JEL Classification: E32,E37,C01,C22
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