for their helpful comments. We are very grateful to Alberto F. Borrallo and Marina Conesa for their excellent research assistance.The views of this paper are those of the authors and do not represent the view of the OECD, the Banco de España, the European Central Bank, or the Eurosystem. No part of our compensation was, is or will be directly or indirectly related to the specific views expressed in this paper.

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We show that the single-index dynamic factor model developed by Aruoba and Diebold (AD, 2010) to construct an index of the US business cycle conditions is also very useful to forecast US GDP growth in real time. In addition, we adapt the model to include survey data and financial indicators. We find that our extension is unequivocally the preferred alternative to compute backcasts. In nowcasting and forecasting, our model is able to forecast growth as well as AD and better than several baseline alternatives. Finally, we show that our extension could also be used to infer the US business cycles very precisely.

for their helpful comments. We are very grateful to Alberto F. Borrallo and Marina Conesa for their excellent research assistance.The views of this paper are those of the authors and do not represent the view of the OECD, the Banco de España, the European Central Bank, or the Eurosystem. No part of our compensation was, is or will be directly or indirectly related to the specific views expressed in this paper.