Industrial production growth from Huang, Jiang, Li, Tong, Zhou (2022)

Monthly growth rate of U.S. industrial production, computed as the first difference of the log IP index, spanning January 1960 to December 2019 (720 months). Used as the forecast target in the out-of-sample replication of Table 4 from Huang et al. (2022).

Usage

huang2022_ip

Format

A numeric vector of length 720 containing monthly log-differences of the Industrial Production Index. The "dates" attribute is an integer vector of dates in YYYYMM format (196001 to 201912).

Source

Replication package of Huang, Jiang, Li, Tong, and Zhou (2022), available at https://pubsonline.informs.org/doi/10.1287/mnsc.2021.4020.

Note

The IP growth target is constructed from raw IP levels provided in the authors' replication package, independently from the INDPRO series in huang2022_macro (which uses the FRED-MD transformation code). The two series are numerically identical for this variable.

See the replication script in inst/replications/huang2022_table4.R.

References

Huang, D., Jiang, F., Li, K., Tong, G., and Zhou, G. (2022). Scaled PCA: A New Approach to Dimension Reduction. Management Science, 68(3), 1678–1695. doi:10.1287/mnsc.2021.4020

Examples

data(huang2022_ip)
length(huang2022_ip)   # 720
#> [1] 720
head(huang2022_ip)
#> [1]  0.025915554 -0.008936898 -0.009017487 -0.007961168 -0.001142501
#> [6] -0.012650248