Real-Time Measurement of Business Conditions

被引：412

作者：

Aruoba, S. Boragan ^{[1
]}

Diebold, Francis X. ^{[2
]}

Scotti, Chiara ^{[3
]}

机构：

[1] Univ Maryland, Dept Econ, College Pk, MD 20742 USA

[2] Univ Penn, Dept Econ Finance & Stat, Philadelphia, PA 19104 USA

[3] Fed Reserve Syst, Board Governors, Washington, DC 20551 USA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2009年 / 27卷 / 04期

基金：

美国国家科学基金会;

关键词：

Business cycle; Contraction; Dynamic factor model; Expansion; Macroeconomic forecasting; Recession; State space model; Turning point; CYCLES; VARIABLES; SERIES; INDEX;

D O I：

10.1198/jbes.2009.07205

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：417 / 427

页数：11

共 34 条

[1] Modeling variables of different frequencies
Abeysinghe, T
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2000, 16 (01) : 117 - 119
[2] [Anonymous], 1977, NEW METHODS BUS CYCL
[3] [Anonymous], 3108 CEPR
[4] Data revisions are not well behaved
Aruoba, S. Boragan
[J]. JOURNAL OF MONEY CREDIT AND BANKING, 2008, 40 (2-3) : 319 - 340
[5] Confidence intervals for diffusion index forecasts and inference for factor-augmented regressions
Bai, Jushan
Ng, Serena
[J]. ECONOMETRICA, 2006, 74 (04) : 1133 - 1150
[6] Are more data always better for factor analysis?
Boivin, Jean
Ng, Serena
[J]. JOURNAL OF ECONOMETRICS, 2006, 132 (01) : 169 - 194
[7] Burns ArthurF., 1947, MEASURING BUSINESS C
[8] CAMACHO M, 2008, INTRO EUROSTIN UNPUB
[9] Conrad W., 1979, Journal of Economic Dynamics and Control, V1, P177
[10] CORRADI V, 2007, INFORM REVISIO UNPUB

← 1 2 3 4 →