Fred-Qd: A Quarterly Database for Macroeconomic Research

52 Pages Posted: 29 Apr 2020

See all articles by Michael W. McCracken

Michael W. McCracken

Federal Reserve Banks - Federal Reserve Bank of St. Louis

Multiple version iconThere are 2 versions of this paper

Date Written: March, 2020

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

JEL Classification: C30, C33, C82, C8

Suggested Citation

McCracken, Michael W., Fred-Qd: A Quarterly Database for Macroeconomic Research (March, 2020). FRB St. Louis Working Paper No. 2020-5, Available at SSRN: https://ssrn.com/abstract=3587692 or http://dx.doi.org/10.20955/wp.2020.005

Michael W. McCracken (Contact Author)

Federal Reserve Banks - Federal Reserve Bank of St. Louis ( email )

411 Locust St
Saint Louis, MO 63011
United States

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