Real-Time Measurement of Business Conditions
S. Boragan Aruoba, Francis X. Diebold and Chiara Scotti
,
Journal of Business and Economic Statistics
January
2009
Abstract
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.