Tracking the economy at high frequency

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 int...