Real-Time Measurement of Business Conditions
30 Pages Posted: 24 Sep 2008
Date Written: September 11, 2008
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, Macroeconomic forecasting, State space model, Dynamic factor model, Contraction, Turning point
JEL Classification: E32, E37, C01, C22
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