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Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
Real-time measurement of business conditions
S. Boragan Aruoba
Francis X. Diebold
Chiara Scotti
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.


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S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, Real-time measurement of business conditions, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 901, 2007.
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Keywords: Business conditions ; Econometric models
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