fred_qd: FRED-MD and FRED-QD: Databases for Macroeconomic Research

In BVAR: Hierarchical Bayesian Vector Autoregression

FRED-MD and FRED-QD: Databases for Macroeconomic Research

Description

FRED-MD and FRED-QD are large macroeconomic databases, containing monthly and quarterly time series that are frequently used in the literature. They are intended to facilitate the reproduction of empirical work and simplify data related tasks. Included datasets are provided as is - transformation codes are available in system.file("fred_trans.rds", package = "BVAR"). These can be applied automatically with fred_transform.

Usage

fred_qd

fred_md

Format

A data.frame object with dates as rownames.

An object of class data.frame with 769 rows and 118 columns.

Details

The versions of FRED-MD and FRED-QD that are provided here are licensed under a modified ODC-BY 1.0 license that can be found in the provided LICENSE file. The provided versions are subset to variables that are either in public domain or for which we were given permission to use. For further details see McCracken and Ng (2016) or https://research.stlouisfed.org/econ/mccracken/fred-databases/. We would like to thank Michael McCracken and Serena Ng, Adrienne Brennecke and the Federal Reserve Bank of St. Louis for creating, updating and making available the datasets and many of the contained time series. We also thank all other owners of included time series that permitted their use.

Source

https://research.stlouisfed.org/econ/mccracken/fred-databases/

References

McCracken, M. W. and Ng, S. (2016) FRED-MD: A Monthly Database for Macroeconomic Research. Journal of Business & Economic Statistics, 34:4, 574-589, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/07350015.2015.1086655")}. McCracken, M. W., & Ng, S. (2020). FRED-QD: A Quarterly Database for Macroeconomic Research w26872. National Bureau of Economic Research.

See Also

fred_transform

BVAR documentation built on March 31, 2023, 11:59 p.m.