USA: US macroeconomic time series
In alexanderlange53/svars: Data-Driven Identification of SVAR Models
USA R Documentation
US macroeconomic time series
Description
The time series of output gap (x), inflation (pi) and interest rate (r) are taken from the FRED database and transformed as in Herwartz & Ploedt (2016). The trivariate time series model is commonly used to analyze monetary policy shocks.
Quarterly observations from 1965Q1 to 2008Q3:
x Percentage log-deviation of real GDP wrt the estimate of potential output by the Congressional Budget Office
pi Annualized quarter-on-quarter growth of the GDP deflator
i Interest rate on Federal funds
A more detailed description of the data and a corresponding VAR model implementation can be found in Herwartz & Ploedt (2016).
Usage
USA
Format
A data.frame containing 174 observations on 3 variables.
Source
Herwartz, H. & Ploedt, M., 2016. Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks, Oxford Bulletin of Economics and Statistics, 78, 94-112.
Data originally from FRED database of the Federal Reserve Bank of St. Louis.
alexanderlange53/svars documentation built on Jan. 31, 2023, 7:50 a.m.
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| USA | R Documentation |
US macroeconomic time series
Description
The time series of output gap (x), inflation (pi) and interest rate (r) are taken from the FRED database and transformed as in Herwartz & Ploedt (2016). The trivariate time series model is commonly used to analyze monetary policy shocks.
Quarterly observations from 1965Q1 to 2008Q3:
| x | Percentage log-deviation of real GDP wrt the estimate of potential output by the Congressional Budget Office |
| pi | Annualized quarter-on-quarter growth of the GDP deflator |
| i | Interest rate on Federal funds |
A more detailed description of the data and a corresponding VAR model implementation can be found in Herwartz & Ploedt (2016).
Usage
USA
Format
A data.frame containing 174 observations on 3 variables.
Source
Herwartz, H. & Ploedt, M., 2016. Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks, Oxford Bulletin of Economics and Statistics, 78, 94-112.
Data originally from FRED database of the Federal Reserve Bank of St. Louis.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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