FRED-MD: A Monthly Database for Macroeconomic Research

Michael McCracken and Serena Ng ()

No 2015-12, Working Papers from Federal Reserve Bank of St. Louis

Abstract: This paper 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 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.

Keywords: diffusion index; forecasting; big data; factors (search for similar items in EconPapers)
JEL-codes: C30 C33 G11 G12 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2015-06-15
New Economics Papers: this item is included in nep-ecm, nep-for, nep-ore and nep-pke
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

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Related works:
Journal Article: FRED-MD: A Monthly Database for Macroeconomic Research (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2015-012

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DOI: 10.20955/wp.2015.012

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