@techreport{NBERw14349, title = "Real-Time Measurement of
Business Conditions", author = "S. Boragan Aruoba and Francis X.
Diebold and Chiara Scotti", institution = "National Bureau of
Economic Research", type = "Working Paper", series = "Working
Paper Series", number = "14349", year = "2008", month =
"September", doi = {10.3386/w14349}, URL =
"http://www.nber.org/papers/w14349", 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.}, }