The paper presents the results of an extensive real time analysis of alternative model-based approaches to derive a monthly indicator of employment for the euro area. In the experiment the Eurostat quarterly national accounts series of employment is temporally disaggregated using the information...

The paper estimates an index of coincident economic indicators for the U.S. economy using time series with different frequencies of observation (monthly and quarterly, possibly with missing values). The model considered is the dynamic factor model proposed by Stock and Watson, specified in the...

In this paper, we provide a multivariate framework for temporal disaggregation of time series observed at a given frequency into higher frequency time series. The suggested method uses the seemingly unrelated time series equations model and it is estimated by the Kalman filter. The methodology...

The paper estimates an index of coincident economic indicators for the US economy by using time series with different frequencies of observation (monthly and quarterly, possibly with missing values). The model that is considered is the dynamic factor model that was proposed by Stock and Watson,...