Dataset available to replicate the results in Giannone et al. 2008.
list with 2 elements:
base is a
mts with 193 series and 312 observations. There are missing values;
legend is a
data.frame with specifications of the series in USGDP$base.
This dataset is available as replication files of the seminal work Giannone 2008. One can find these replication files in the following url: https://www.newyorkfed.org/research/economists/giannone/pub
Giannone, D., Reichlin, L., & Small, D. (2008). Nowcasting: The real-time informational content of macroeconomic data. Journal of Monetary Economics, 55(4), 665-676.<doi:10.1016/j.jmoneco.2008.05.010>
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