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

See all articles by Cecilia Frale

Cecilia Frale

Government of the Italian Republic (Italy) - Department of the Treasury

Date Written: February 2, 2008

Abstract

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

Frale, Cecilia, Do Surveys Help in Macroeconomic Variables Disaggregation and Estimation? (February 2, 2008). Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 2, Available at SSRN: https://ssrn.com/abstract=1417271

Cecilia Frale (Contact Author)

Government of the Italian Republic (Italy) - Department of the Treasury ( email )

Via XX Settembre, 87
Rome, 00197
Italy

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