#07-38
Real-Time Measurement of Business Conditions
S. Boragan Aruoba, Francis X. Diebold and Chiara Scotti, July 2007

Abstract: We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a simulation study and in a detailed empirical example.

Keywords: Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model

JEL classifications: E32, E37, C01, C22

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