Please read this Technical Note for details on the construction of the index.
We estimate an approximate dynamic factor model such that \(y^i_t = f_t + v^i_t\), where \(y^i_t\) is a vector with all series of indicators, including GDP, \(f_t\) a common factor, which is the activity index, and a idiosyncratic error term \(v^i_t\) unique for each series. The data is available in mixed frequencies, from weekly to quarterly. The first lag of the common factor \(f_{t-1}\) is therefore its value in the previous week and the value of GDP’s previous quarter is \(y^{GDP}_{t-12}\).