Tracking the economy at high frequency
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866915381576204288 |
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| author | García-Albán, Freddy Jarrín, Juan |
| author_facet | García-Albán, Freddy Jarrín, Juan |
| contents | This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic heterogeneity and stochastic volatility. To ensure temporal consistency and avoid irregular aggregation artifacts, we introduce a pseudo-week structure that harmonizes the timing of observations. Our framework integrates dispersed and asynchronous official statistics into a unified High-Frequency Economic Index (HFEI), enabling real-time economic monitoring even in environments characterized by severe data limitations. We apply this framework to construct a high-frequency indicator for Ecuador, a country where official data are sparse and highly asynchronous, and compute pseudo-weekly recession probabilities using a time-varying mean regime-switching model fitted to the resulting index. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_07450 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Tracking the economy at high frequency García-Albán, Freddy Jarrín, Juan Econometrics This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic heterogeneity and stochastic volatility. To ensure temporal consistency and avoid irregular aggregation artifacts, we introduce a pseudo-week structure that harmonizes the timing of observations. Our framework integrates dispersed and asynchronous official statistics into a unified High-Frequency Economic Index (HFEI), enabling real-time economic monitoring even in environments characterized by severe data limitations. We apply this framework to construct a high-frequency indicator for Ecuador, a country where official data are sparse and highly asynchronous, and compute pseudo-weekly recession probabilities using a time-varying mean regime-switching model fitted to the resulting index. |
| title | Tracking the economy at high frequency |
| topic | Econometrics |
| url | https://arxiv.org/abs/2507.07450 |