FRED-QD: A Quarterly Database for Macroeconomic Research / Michael McCracken, Serena Ng.

Format:

Book

Author/Creator:

McCracken, Michael.

Contributor:

National Bureau of Economic Research.

Ng, Serena.

Series:

Working Paper Series (National Bureau of Economic Research) no. w26872.

NBER working paper series no. w26872

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

FRED-QD

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2020.

Summary:

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.

Notes:

Print version record

March 2020.