Constructing an economic index from time series data updated with nowcasts
Conference
64th ISI World Statistics Congress - Ottawa, Canada
Format: IPS Abstract
Keywords: nowcasting, webscraping
Session: IPS 171 - Advancing Timeliness of Official Statistics through Model-based Nowcasting
Wednesday 19 July 10 a.m. - noon (Canada/Eastern)
Abstract
The Census Bureau Index of Economic Activity (IDEA) is constructed from 15 of the U.S. Census Bureau’s primary monthly economic time series. The index is intended to provide a single time series reflecting, to the extent possible, the variation over time in the whole set of component series. The component series provide monthly measures of activity in retail and wholesale trade, manufacturing, construction, international trade, and business formations. Most of the input series are Principal Federal Economic Indicators. The index is constructed by applying the method of principal components analysis (PCA) to the time series of standardized monthly growth rates of the seasonally adjusted component series. While the IDEA is constructed from time series of monthly data, it is calculated and published every business day, and so is updated whenever a new monthly value is released for any of its component series. Since release dates of data values for a given month vary across the component series, with slight variations in the monthly release date for any one component series, updates to the index are frequent. Components that have not yet been released in a given month are nowcasted using a multivariate autoregressive time series model. The paper describes the methodology, its implementation, and some dynamic features of the published index.