Journal of Business and Economic Statistics· 2015Q1
FRED-MD: A Monthly Database for Macroeconomic Research
- 909citations
- Q1SCImago
- 2015year
Short summary
FRED-MD is a new, publicly accessible monthly macroeconomic database designed for empirical analysis using "big data", mimicking existing literature datasets but offering monthly updates, public access, and managed data revisions.
AI-generated from the title and abstract; the full text is not read.
Key points
- FRED-MD is a new, publicly accessible monthly macroeconomic database.
- It mimics existing literature datasets but offers monthly updates and managed data revisions.
- Factors extracted from FRED-MD show similar predictive content to the Stock-Watson dataset.
- Diffusion indexes derived from FRED-MD may aid business cycle chronology studies.
AI-generated from the title and abstract; the full text is not read.
Abstract
This article describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires “big data.” The dataset mimics the coverage of those already used in the literature but has three appealing features. First, it is designed to be updated monthly using the Federal Reserve Economic Data (FRED) database. Second, it will be publicly accessible, facilitating comparison of related research and replication of empirical work. Third, it will relieve researchers from having to manage data changes and revisions. We show that factors extracted from our dataset share the same predictive content as those based on various vintages of the so-called Stock–Watson dataset. In addition, we suggest that diffusion indexes constructed as the partial sum of the factor estimates can potentially be useful for the study of business cycle chronology. Supplementary materials for this article are available online.
The authors' abstract, as published at the source. Journal of Business and Economic Statistics, 2015 · DOI ↗
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Field: General Economics, Econometrics and Finance
General Economics, Econometrics and FinanceEconomics, Econometrics and Finance