R/gw2006-data.R

In forecastdom: (Un)Conditional Forecast Dominance

#' SPF Mean CPI Inflation Forecasts (Giacomini & White, 2006 setup)
#'
#' Quarterly mean Survey of Professional Forecasters (SPF) forecasts of
#' annualised CPI inflation at horizons \eqn{h = 0, 1, 2, 3, 4}
#' quarters ahead, aligned with realised CPI inflation from FRED. The
#' panel covers 1981Q3 onward, the start of the SPF's CPI survey.
#'
#' @format A data frame with 180 rows and 10 columns:
#' \describe{
#'   \item{date}{First day of the third month of the realisation
#'     quarter (\code{Date}).}
#'   \item{year, quarter}{Realisation quarter.}
#'   \item{infl}{Realised annualised QoQ CPI inflation (percent),
#'     computed from quarterly averages of \code{CPIAUCSL}.}
#'   \item{infl_lag}{One-quarter lag of \code{infl} — the naive
#'     random-walk forecast benchmark.}
#'   \item{spf_h0, spf_h1, spf_h2, spf_h3, spf_h4}{SPF mean forecasts
#'     of \code{infl}, made \eqn{h = 0, \dots, 4} quarters in advance.}
#' }
#'
#' @source SPF mean CPI inflation forecasts from the Federal Reserve
#'   Bank of Philadelphia,
#'   \url{https://www.philadelphiafed.org/surveys-and-data/real-time-data-research/survey-of-professional-forecasters}.
#'   Realised CPI from FRED series CPIAUCSL,
#'   \url{https://fred.stlouisfed.org/series/CPIAUCSL}.
#'
#' @references
#' Giacomini, R. and White, H. (2006). Tests of conditional predictive
#' ability. \emph{Econometrica}, 74(6), 1545-1578.
"gw2006"