FRED-QD: A Quarterly Database for Macroeconomic Research

Michael McCracken and Serena Ng ()

No 2020-005, Working Papers from Federal Reserve Bank of St. Louis

Abstract: 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.

Keywords: big data; factors; forecasting (search for similar items in EconPapers)
JEL-codes: C30 C33 C8 C82 (search for similar items in EconPapers)
Pages: 50
Date: 2020-03-11
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (49)

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Related works:
Journal Article: FRED-QD: A Quarterly Database for Macroeconomic Research (2021)
Working Paper: FRED-QD: A Quarterly Database for Macroeconomic Research (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:87608

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DOI: 10.20955/wp.2020.005

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