cm2001: US Unemployment and Inflation (Clark & McCracken, 2001 setup)
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cm2001 R Documentation
US Unemployment and Inflation (Clark & McCracken, 2001 setup)
Description
Monthly US civilian unemployment rate and annualised monthly log
inflation rate, assembled from FRED series UNRATE and
CPIAUCSL. The series support the Phillips-curve forecasting
illustration in Clark and McCracken (2001, Section 5): does adding
lagged inflation to a univariate AR for unemployment improve
out-of-sample forecasts?
Usage
cm2001
Format
A data frame with 937 rows and 3 columns:
- date
First day of the month (Date).
- unrate
Civilian unemployment rate (percent), FRED
UNRATE.
- infl
Annualised monthly log inflation, computed as
1200 \cdot \log(\text{CPI}_t / \text{CPI}_{t-1}) from
FRED CPIAUCSL.
Source
FRED, Federal Reserve Bank of St. Louis,
https://fred.stlouisfed.org/series/UNRATE and
https://fred.stlouisfed.org/series/CPIAUCSL.
References
Clark, T. E. and McCracken, M. W. (2001). Tests of equal forecast
accuracy and encompassing for nested models. Journal of
Econometrics, 105(1), 85-110.
forecastdom documentation built on Nov. 2, 2026, 1:10 a.m.
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| cm2001 | R Documentation |
US Unemployment and Inflation (Clark & McCracken, 2001 setup)
Description
Monthly US civilian unemployment rate and annualised monthly log
inflation rate, assembled from FRED series UNRATE and
CPIAUCSL. The series support the Phillips-curve forecasting
illustration in Clark and McCracken (2001, Section 5): does adding
lagged inflation to a univariate AR for unemployment improve
out-of-sample forecasts?
Usage
cm2001
Format
A data frame with 937 rows and 3 columns:
- date
First day of the month (
Date).- unrate
Civilian unemployment rate (percent), FRED
UNRATE.- infl
Annualised monthly log inflation, computed as
1200 \cdot \log(\text{CPI}_t / \text{CPI}_{t-1})from FREDCPIAUCSL.
Source
FRED, Federal Reserve Bank of St. Louis, https://fred.stlouisfed.org/series/UNRATE and https://fred.stlouisfed.org/series/CPIAUCSL.
References
Clark, T. E. and McCracken, M. W. (2001). Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics, 105(1), 85-110.
R Package Documentation
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