Kalman filtering

Where Are We Now? Real-Time Estimates of the Macro Economy

JEL codes: 
C32, E37
Version Date: 
Sep 2005

This paper describes a method for calculating daily real-time estimates of the current state of the US economy. The estimates are computed from data on scheduled US macroeconomic announcements using an econometric model that allows for variable reporting lags, temporal aggregation, and other complications in the data.

Report file: 
PDF icon Download the paper (416.7 KB)