期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 27, 期 4, 页码 417-427出版社
AMER STATISTICAL ASSOC
DOI: 10.1198/jbes.2009.07205
关键词
Business cycle; Contraction; Dynamic factor model; Expansion; Macroeconomic forecasting; Recession; State space model; Turning point
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.
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