Affiliation:
1. State Secretariat for Economic Affairs, Short Term Economic Analyses Holzikofenweg 36 3003 Bern Switzerland
2. Austrian Institute of Research Arsenal Objekt 20 1030 Vienna Austria
Abstract
SummaryWe 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.
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
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