This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
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464
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract - #308095 |
Title:
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Monitoring the Economy: An Application of Multivariate Real-Time Signal Extraction
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Author(s):
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Marc Wildi*+
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Companies:
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Zurich University of Applied Sciences
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Address:
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, , 8401, Switzerland
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Keywords:
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Real-time signalextraction ;
Multivariate Filtering ;
MDFA ;
Economic Indicator ;
USRI
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Abstract:
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During last year's meeting in Washington I presented a new monthly economic indicator for the US -USRI: http://www.idp.zhaw.ch/usri-. On that occasion, the indicator timed the end of the recession in June 2009. Although the NBER did not yet (at the time of writing this abstract) commit to an `official' dating of the end of the recession, several other well-known indicators confirmed the previous early dating as new information and data became available in the course of 2009. In my talk I'll briefly prolongate last year's true real-time exercise by reviewing the path of various indicators during this recession. Furthermore, I'll attempt to motivate the observed real-time performance in terms of reliability and timeliness of the aforementioned USRI by relying on formal statistical arguments (customized optimization criteria).
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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