bem_dfmdata: FRED-QD data

In bvartools: Bayesian Inference of Vector Autoregressive and Error Correction Models

FRED-QD data

Description

The data set contains quarterly time series for 196 US macroeconomic variables from 1959Q3 to 2015Q3. It was produced from file "freddata_Q.csv" of the data sets associated with Chan, Koop, Poirier and Tobias (2019). Raw data are available at https://web.ics.purdue.edu/~jltobias/second_edition/Chapter18/code_for_exercise_4/freddata_Q.csv.

Usage

data("bem_dfmdata")

Format

A named time-series object with 225 rows and 196 variables. A detailed explanation of the variables can be found in McCracken and Ng (2016).

References

Chan, J., Koop, G., Poirier, D. J., & Tobias J. L. (2019). Bayesian econometric methods (2nd ed.). Cambridge: Cambridge University Press.

McCracken, M. W., & 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")}

bvartools documentation built on May 29, 2024, 5:32 a.m.