A New “Big Data” Index of U.S. Economic Activity
Author
Abstract
Suggested Citation
DOI: 10.21033/ep-2019-1
Download full text from publisher
References listed on IDEAS
- Peter Exterkate & Dick Van Dijk & Christiaan Heij & Patrick J. F. Groenen, 2013.
"Forecasting the Yield Curve in a Data‐Rich Environment Using the Factor‐Augmented Nelson–Siegel Model,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 193-214, April.
- Exterkate, P. & van Dijk, D.J.C. & Heij, C. & Groenen, P.J.F., 2010. "Forecasting the Yield Curve in a Data-Rich Environment using the Factor-Augmented Nelson-Siegel Model," Econometric Institute Research Papers EI 2010-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008.
"Nowcasting: The real-time informational content of macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
OUP Catalogue,
Oxford University Press,
edition 2, number 9780199641178.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016.
"Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594,
Emerald Group Publishing Limited.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Groen, Jan J.J. & Kapetanios, George, 2016.
"Revisiting useful approaches to data-rich macroeconomic forecasting,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 221-239.
- Jan J. J. Groen & George Kapetanios, 2008. "Revisiting useful approaches to data-rich macroeconomic forecasting," Staff Reports 327, Federal Reserve Bank of New York.
- Jan J.J. Groen & George Kapetanios, 2008. "Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting," Working Papers 624, Queen Mary University of London, School of Economics and Finance.
- Jan J.J. Groen & George Kapetanios, 2008. "Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting," Working Papers 624, Queen Mary University of London, School of Economics and Finance.
- Clements, Michael P. & Hendry, David F. (ed.), 2011. "The Oxford Handbook of Economic Forecasting," OUP Catalogue, Oxford University Press, number 9780195398649.
- Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
- Stock, James H. & Watson, Mark, 2011. "Dynamic Factor Models," Scholarly Articles 28469541, Harvard University Department of Economics.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005.
"Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases,"
Finance and Economics Discussion Series
2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Giannone, Domenico & Reichlin, Lucrezia & Small, David H., 2006. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Working Paper Series 633, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Patrick C. Higgins, 2014. "GDPNow: A Model for GDP \"Nowcasting\"," FRB Atlanta Working Paper 2014-7, Federal Reserve Bank of Atlanta.
- Chamberlain, Gary & Rothschild, Michael, 1983.
"Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets,"
Econometrica, Econometric Society, vol. 51(5), pages 1281-1304, September.
- Gary Chamberlain & Michael Rothschild, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," NBER Working Papers 0996, National Bureau of Economic Research, Inc.
- Chamberlain, Gary & Rothschild, Michael, 1982. "Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets," Scholarly Articles 3230355, Harvard University Department of Economics.
- Scott Brave & Max Lichtenstein, 2012. "A different way to review the Chicago Fed National Activity Index," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Meyer, Brent H. & Prescott, Brian & Sheng, Xuguang Simon, 2022.
"The impact of the COVID-19 pandemic on business expectations,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 529-544.
- Brent Meyer & Brian Prescott & Xuguang Sheng, 2020. "The Impact of the COVID-19 Pandemic on Business Expectations," FRB Atlanta Working Paper 2020-17, Federal Reserve Bank of Atlanta.
- Brent H. Meyer & Brian Prescott & Xuguang Simon Sheng, 2020. "The Impact of the COVID-19 Pandemic on Business Expectations," Working Papers 2020-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- James Mitchell & Gary Koop & Stuart McIntyre & Aubrey Poon, 2020.
"Reconciled Estimates of Monthly GDP in the US,"
Economic Statistics Centre of Excellence (ESCoE) Discussion Papers
ESCoE DP-2020-16, Economic Statistics Centre of Excellence (ESCoE).
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2022. "Reconciled Estimates of Monthly GDP in the US," Working Papers 22-01, Federal Reserve Bank of Cleveland.
- Bu, Chunya & Rogers, John & Wu, Wenbin, 2021.
"A unified measure of Fed monetary policy shocks,"
Journal of Monetary Economics, Elsevier, vol. 118(C), pages 331-349.
- Chunya Bu & John Rogers & Wenbin Wu, 2019. "A Unified Measure of Fed Monetary Policy Shocks," Finance and Economics Discussion Series 2019-043, Board of Governors of the Federal Reserve System (U.S.).
- Michael D. Bauer & Eric T. Swanson, 2020.
"The Fed's Response to Economic News Explains the "Fed Information Effect","
CESifo Working Paper Series
8151, CESifo.
- Bauer, Michael D. & Swanson, Eric T., 2021. "The Fed's response to economic news explains the "Fed information effect"," IMFS Working Paper Series 155, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Michael D. Bauer & Eric T. Swanson, 2020. "The Fed's Response to Economic News Explains the “Fed Information Effect”," Working Paper Series 2020-06, Federal Reserve Bank of San Francisco.
- repec:wrk:wrkemf:37 is not listed on IDEAS
- Michael T. Kiley, 2020. "Financial Conditions and Economic Activity: Insights from Machine Learning," Finance and Economics Discussion Series 2020-095, Board of Governors of the Federal Reserve System (U.S.).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
- Bräuning, Falk & Koopman, Siem Jan, 2014.
"Forecasting macroeconomic variables using collapsed dynamic factor analysis,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 572-584.
- Falk Brauning & Siem Jan Koopman, 2012. "Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis," Tinbergen Institute Discussion Papers 12-042/4, Tinbergen Institute.
- Hindrayanto, Irma & Koopman, Siem Jan & de Winter, Jasper, 2016. "Forecasting and nowcasting economic growth in the euro area using factor models," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1284-1305.
- James Sampi, 2016. "High Dimensional Factor Models: An Empirical Bayes Approach," Working Papers 75, Peruvian Economic Association.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Tóth, Peter, 2014.
"Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP],"
MPRA Paper
63713, University Library of Munich, Germany.
- Tóth, Peter, 2017. "Nowcasting Slovak GDP by a Small Dynamic Factor Model," MPRA Paper 77245, University Library of Munich, Germany.
- Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021.
"Factor extraction using Kalman filter and smoothing: This is not just another survey,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pilar Poncela & Esther Ruiz, 2016.
"Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434,
Emerald Group Publishing Limited.
- Poncela, Pilar, 2015. "Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment," DES - Working Papers. Statistics and Econometrics. WS ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Alain Galli, 2018.
"Which Indicators Matter? Analyzing the Swiss Business Cycle Using a Large-Scale Mixed-Frequency Dynamic Factor Model,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(2), pages 179-218, November.
- Dr. Alain Galli, 2017. "Which indicators matter? Analyzing the Swiss business cycle using a large-scale mixed-frequency dynamic factor model," Working Papers 2017-08, Swiss National Bank.
- S. J. Koopman & G. Mesters, 2017.
"Empirical Bayes Methods for Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 486-498, July.
- Siem Jan Koopman & Geert Mesters, 2014. "Empirical Bayes Methods for Dynamic Factor Models," Tinbergen Institute Discussion Papers 14-061/III, Tinbergen Institute.
- Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2018.
"Nowcasting Indonesia,"
Empirical Economics, Springer, vol. 55(2), pages 597-619, September.
- Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni, 2015. "Nowcasting Indonesia," ADB Economics Working Paper Series 471, Asian Development Bank.
- Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2015. "Nowcasting Indonesia," Finance and Economics Discussion Series 2015-100, Board of Governors of the Federal Reserve System (U.S.).
- Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
- Martin Solberger & Erik Spånberg, 2020. "Estimating a Dynamic Factor Model in EViews Using the Kalman Filter and Smoother," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 875-900, March.
- Matteo Barigozzi & Matteo Luciani, 2019.
"Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm,"
Papers
1910.03821, arXiv.org, revised Sep 2024.
- Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
- Katja Heinisch & Rolf Scheufele, 2018.
"Bottom-up or direct? Forecasting German GDP in a data-rich environment,"
Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
- Katja Drechsel & Dr. Rolf Scheufele, 2012. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," Working Papers 2012-16, Swiss National Bank.
- Drechsel, Katja & Scheufele, Rolf, 2013. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," IWH Discussion Papers 7/2013, Halle Institute for Economic Research (IWH).
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013.
"Now-Casting and the Real-Time Data Flow,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237,
Elsevier.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Glocker, Christian & Kaniovski, Serguei, 2020. "Structural modeling and forecasting using a cluster of dynamic factor models," MPRA Paper 101874, University Library of Munich, Germany.
- Bennedsen, Mikkel & Hillebrand, Eric & Koopman, Siem Jan, 2021.
"Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors,"
Energy Economics, Elsevier, vol. 96(C).
- Mikkel Bennedsen & Eric Hillebrand & Siem Jan Koopman, 2019. "Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors," CREATES Research Papers 2019-21, Department of Economics and Business Economics, Aarhus University.
- Bragoli, Daniela & Modugno, Michele, 2017.
"A now-casting model for Canada: Do U.S. variables matter?,"
International Journal of Forecasting, Elsevier, vol. 33(4), pages 786-800.
- Daniela Bragoli & Michele Modugno, 2016. "A Nowcasting Model for Canada: Do U.S. Variables Matter?," Finance and Economics Discussion Series 2016-036, Board of Governors of the Federal Reserve System (U.S.).
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022.
"Nowcasting with large Bayesian vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
More about this item
Keywords
Chicago Fed National Activity Index (CFNAI); economic activity; gross domestic product (GDP);All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedhep:00034. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Lauren Wiese (email available below). General contact details of provider: https://edirc.repec.org/data/frbchus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.