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来源类型Working Paper
规范类型报告
DOI10.3386/w26872
来源IDWorking Paper 26872
FRED-QD: A Quarterly Database for Macroeconomic Research
Michael McCracken; Serena Ng
发表日期2020-03-23
出版年2020
语种英语
摘要In this paper we present and describe a large quarterly frequency, macroeconomic database. The data provided are closely modeled to that used in Stock and Watson (2012a). As in our previous work on FRED-MD, our goal is simply to provide a publicly available source of macroeconomic “big data” that is updated in real time using the FRED database. We show that factors extracted from this data set exhibit similar behavior to those extracted from the original Stock and Watson data set. The dominant factors are shown to be insensitive to outliers, but outliers do affect the relative influence of the series as indicated by leverage scores. We then investigate the role unit root tests play in the choice of transformation codes with an emphasis on identifying instances in which the unit root-based codes differ from those already used in the literature. Finally, we show that factors extracted from our data set are useful for forecasting a range of macroeconomic series and that the choice of transformation codes can contribute substantially to the accuracy of these forecasts.
主题Econometrics ; Estimation Methods ; Macroeconomics
URLhttps://www.nber.org/papers/w26872
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/584545
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GB/T 7714
Michael McCracken,Serena Ng. FRED-QD: A Quarterly Database for Macroeconomic Research. 2020.
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