Monitoring the Economy: An Application of Multivariate Real-Time Signal Extraction

• Activity Number: 464
• Type: Topic Contributed
• Date/Time: Wednesday, August 4, 2010 : 8:30 AM to 10:20 AM
• Sponsor: Business and Economic Statistics Section
• Author(s): Marc Wildi*+
• Companies: Zurich University of Applied Sciences
• Keywords: Real-time signalextraction ; Multivariate Filtering ; MDFA ; Economic Indicator ; USRI

Abstract

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).