Freddy García-Albán, Juan Jarrín
arXiv 10 Jul 2025 · Econometrics
arXiv:2507.07450 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Baumeister, Christiane, Danilo Leiva-León, and Eric Sims (2024) Tracking weekly state-level economic conditions | 1.000 | 9 | 4 | 100% |
| 2 | Antolń-Dáz, Juan, Thomas Drechsel, and Ivan Petrella (2024) Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails | 1.000 | 7 | 4 | 100% |
| 3 | Leiva-León, Danilo, Gabriel Perez-Quiros, and Eyno Rots (2024) Real-time weakness of the global economy | 0.737 | 3 | 2 | 100% |
| 4 | Lewis, Daniel J, Karel Mertens, James H Stock, and Mihir Trivedi (2022) Measuring real activity using a weekly economic index | 0.737 | 3 | 2 | 100% |
| 5 | Camacho, Maximo and Gabriel Perez-Quiros (2010) Introducing the euro-sting: Short-term indicator of euro area growth | 0.644 | 2 | 2 | 100% |
| 6 | Chan, Joshua CC and Angelia L Grant (2016) On the observed-data deviance information criterion for volatility modeling | 0.644 | 2 | 2 | 100% |
| 7 | Chan, Joshua CC, Aubrey Poon, and Dan Zhu (2023) High-dimensional conditionally Gaussian state space models with missing data | 0.644 | 2 | 2 | 100% |
| 8 | Chauvet, Marcelle and James D Hamilton (2006) Dating business cycle turning points | 0.644 | 2 | 2 | 100% |
| 9 | Mariano, Roberto S and Yasutomo Murasawa (2003) A new coincident index of business cycles based on monthly and quarterly series | 0.644 | 2 | 2 | 100% |
| 10 | Stock, James H and Mark W Watson (1989) New indexes of coincident and leading economic indicators | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 84 scored citations.