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Philipp Wegmüller, Christian Glocker
US weekly economic index: Replication and extension
Journal of Applied Econometrics, 2023, 38, (6), S.977-985, https://doi.org/10.1002/jae.2979
We revisit the US weekly economic index (WEI) put forth by Lewis, Mertens, Stock and Trivedi (2021). In a narrow sense, we replicate their main results with data gathered from its original sources. In a wide sense, we apply the methodology established in Wegmüller, Glocker and Guggia (2023) to adjust the weekly input series for seasonal patterns, calendar day effects, and excess volatility. In a long sense, we show that our proposed data adjustment significantly improves the nowcasting performance of the WEI.
Keywords:business cycle index, Covid-19, dynamic factor model, forecast evaluation, high-frequency data, nowcasting, seasonal adjustment
Forschungsbereich:Makroökonomie und öffentliche Finanzen