Aruoba Diebold Scotti Real-Time Factor Model

[TomDoan]

These are the program and data file for replicating the real-time factor model in Aruoba, Diebold and Scotti(2009), "Real-Time
Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. This develops a business cycle index using four series observed at different frequencies (daily, weekly, monthly and quarterly). Because two of the series are "flows", the sum of the index across their observed range is needed. In the paper, this is done by creating a huge state vector, long enough to include an entire quarter of days. A more efficient way to do this is to create aggregator states:

x7(t) = x7(t-1)+x(t) if there is no weekly observation at t-1, x7(t)=x(t) if there is
xq(t) = xq(t-1)+x(t) if there is no quarterly observation at t-1, xq(t)=x(t) if there is

This requires "poking" a 1 or 0 into the diagonal element of the transition matrix, 1 when the first branch in a line holds, 0 when it's the second.

realtime.prg

(5.01 KiB) Downloaded 284 times

ADS_JBES.xlsx

(437.96 KiB) Downloaded 252 times

This also needs the updated version of the NBERCycles procedure to get the graphs correct. That's at

http://www.estima.com/forum/viewtopic.php?f=7&t=275

[terrya]

These are the program and data file for replicating the real-time factor model in Aruoba, Diebold and Scotti(2009), "Real-Time
Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. This develops a business cycle index using four series observed at different frequencies (daily, weekly, monthly and quarterly). Because two of the series are "flows", the sum of the index across their observed range is needed. In the paper, this is done by creating a huge state vector, long enough to include an entire quarter of days. A more efficient way to do this is to create aggregator states:

x7(t) = x7(t-1)+x(t) if there is no weekly observation at t-1, x7(t)=x(t) if there is
xq(t) = xq(t-1)+x(t) if there is no quarterly observation at t-1, xq(t)=x(t) if there is

This requires "poking" a 1 or 0 into the diagonal element of the transition matrix, 1 when the first branch in a line holds, 0 when it's the second.

realtime.prg

ADS_JBES.xlsx

This also needs the updated version of the NBERCycles procedure to get the graphs correct. That's at

http://www.estima.com/forum/viewtopic.php?f=7&t=275

Just tried this. Got the following error message. I'm using 7.2.

Can't Interpret SERIES = SERIES
## SX27. Illegal Combination of Data Types for Operation
>>>>ERTroughs(i,pslot)<<<<

[terrya]

These are the program and data file for replicating the real-time factor model in Aruoba, Diebold and Scotti(2009), "Real-Time
Measurement of Business Conditions," Journal of Business and Economic Statistics, vol 27, no 4, 417-427. This develops a business cycle index using four series observed at different frequencies (daily, weekly, monthly and quarterly). Because two of the series are "flows", the sum of the index across their observed range is needed. In the paper, this is done by creating a huge state vector, long enough to include an entire quarter of days. A more efficient way to do this is to create aggregator states:

x7(t) = x7(t-1)+x(t) if there is no weekly observation at t-1, x7(t)=x(t) if there is
xq(t) = xq(t-1)+x(t) if there is no quarterly observation at t-1, xq(t)=x(t) if there is

This requires "poking" a 1 or 0 into the diagonal element of the transition matrix, 1 when the first branch in a line holds, 0 when it's the second.

realtime.prg

ADS_JBES.xlsx

This also needs the updated version of the NBERCycles procedure to get the graphs correct. That's at

http://www.estima.com/forum/viewtopic.php?f=7&t=275

When I used the new NBER cycles procedure, RATS crashed. Is it a 7.3 problem?

[TomDoan]

I just checked this with 7.2 (and 7.0). It seems to work fine (after converting the data to an XLS). Make sure that you're actually getting the new nbercycles.

[terrya]

I just checked this with 7.2 (and 7.0). It seems to work fine (after converting the data to an XLS). Make sure that you're actually getting the new nbercycles.

Tried it again just a few moments ago and it worked. No crash. Thanks for looking at it.