Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation?
Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 2
31 Pages Posted: 11 Jun 2009
Date Written: February 2, 2008
This paper explores the potential of Business Survey data for the estimation and disaggregation of macroeconomic variables at higher frequency. We propose a multivariate approach which is an extension of the Stock and Watson (1991) dynamic factor model, considering more than one common factor and low-frequency cycles. The multivariate model is cast in State Space Form and the temporal aggregation constraint is converted into a problem of missing values. An application in real time for the value added of the Industry sector in the Euro area is presented.
Keywords: Temporal Disaggregation, Multivariate State Space Models, Dynamic Factor Models, Kalman filter and smoother
JEL Classification: E32, E37, C53
Suggested Citation: Suggested Citation