FRED_heavy: FRED-MD (December 2021 vintage) data set with heavy...
In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization
FRED_heavy R Documentation
FRED-MD (December 2021 vintage) data set with heavy transformations
Description
This data is taken from FRED-MD database, with the sample span corresponding to
that of FG_data, i.e. March 1973 to November 2007. The database consists
of 127 variables, out of which two are discarded due to many missing variables, and
the corresponding variable names can be accessed by FRED_heavy$discarded.
The data is transformed stationary according to the methodology given in
McCracken and Ng. The method of obtaining this data set from the raw data
is described in the script data-raw/DATASET.R.
Usage
FRED_heavy
Format
A list with the following elements
- discarded
data frame listing the discarded variables and the number of
missing values under the time span under consideration
- df
T x n data frame where T is the time-series dimension,
and n is the cross-sectional dimension
- data
Date variable giving the time span of the data
- trans_ix
Variable transformation codes with the interpretation as in
McCracken and Ng (2016)
Source
https://files.stlouisfed.org/files/htdocs/fred-md/monthly/2021-12.csv
References
McCracken, M. W., & Ng, S. (2016). FRED-MD: A monthly database for macroeconomic research.
Journal of Business & Economic Statistics, 34(4), 574-589.
juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.
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| FRED_heavy | R Documentation |
FRED-MD (December 2021 vintage) data set with heavy transformations
Description
This data is taken from FRED-MD database, with the sample span corresponding to
that of FG_data, i.e. March 1973 to November 2007. The database consists
of 127 variables, out of which two are discarded due to many missing variables, and
the corresponding variable names can be accessed by FRED_heavy$discarded.
The data is transformed stationary according to the methodology given in
McCracken and Ng. The method of obtaining this data set from the raw data
is described in the script data-raw/DATASET.R.
Usage
FRED_heavy
Format
A list with the following elements
- discarded
data frame listing the discarded variables and the number of missing values under the time span under consideration
- df
T x ndata frame whereTis the time-series dimension, andnis the cross-sectional dimension- data
Datevariable giving the time span of the data- trans_ix
Variable transformation codes with the interpretation as in McCracken and Ng (2016)
Source
https://files.stlouisfed.org/files/htdocs/fred-md/monthly/2021-12.csv
References
McCracken, M. W., & Ng, S. (2016). FRED-MD: A monthly database for macroeconomic research. Journal of Business & Economic Statistics, 34(4), 574-589.
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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