R/data-documentation.R

In hdflex: High-Dimensional Aggregate Density Forecasts

#' @title Quarterly U.S. Inflation Dataset (Total CPI)
#' @description A high-dimensional dataset created by \emph{Koop and Korobilis (2023)}
#' that integrates predictive signals from various macroeconomic and financial sources.
#'
#' @details The dataset includes data from the following sources:
#' - **FRED-QD dataset** (McCracken and Ng, 2020)
#' - **Portfolio data** (Jurado et al., 2015)
#' - **Stock market predictors** (Welch and Goyal, 2008)
#' - **University of Michigan consumer surveys**
#' - **World Bank’s Pink Sheet commodity prices**
#' - **Key macroeconomic indicators** from the Federal Reserve Economic Data for Canada, Germany, Japan, and the United Kingdom
#'
#' The dataset is pre-processed for one-step-ahead forecasts and includes external point forecasts. 
#' It spans from 1960-Q3 to 2021-Q4.
#' @format A \link{matrix} with 245 quarterly observations (rows) and 462 signals (columns):
#' \describe{
#'    \item{Column 1}{Transformed target variable: Total CPI (CPIAUCSL)}
#'    \item{Columns 2-3}{First and second lag of the target variable}
#'    \item{Columns 4-442}{Lagged and transformed signals from the sources listed above}
#'    \item{Columns 443-462}{External point forecasts available from 1976-Q1 to 2021-Q4 
#'                           for quarterly Total CPI (CPIAUCSL), including:
#'      \describe{
#'        \item{First 12 forecasts}{Generated using regression trees,
#'                                  ridge regressions, and elastic nets
#'                                  over expanding and rolling windows}
#'        \item{Remaining 8 forecasts}{Based on models discussed in Koop and Korobilis (2023)
#'                                     such as Gaussian process regressions (GPR_FAC5),
#'                                     Unobserved Component Stochastic Volatility (UCSV),
#'                                     and Variational Bayes Dynamic Variable Selection (VBDVS_X)}
#'                 }
#'        }
#' }
#' @references
#'
#' Jurado, K., Ludvigson, S. C., and Ng, S. (2015) "Measuring uncertainty." \emph{American Economic Review}, 105 (3): 1177–1216.
#'
#' Koop, G. and Korobilis, D. (2023) "Bayesian dynamic variable selection in high dimensions." \emph{International Economic Review}.
#'
#' McCracken, M., and S. Ng (2020) “FRED-QD: A Quarterly Database for Macroeconomic Research” \emph{National Bureau of Economic Research}, Working Paper 26872.
#'
#' Welch, I. and Goyal, A. (2008) "A comprehensive look at the empirical performance of equity premium prediction." \emph{The Review of Financial Studies}, 21 (4): 1455–1508.
#' @source \doi{10.1111/iere.12623}
"inflation_data"