FRED-MD macro predictors from Huang, Jiang, Li, Tong, Zhou (2022)

Monthly observations on 123 macroeconomic variables from the FRED-MD database (McCracken and Ng, 2016), spanning January 1960 to December 2019 (720 months). Variables are transformed for stationarity using the transformation codes listed in the online data appendix of the paper. Covers output and income, labour market, consumption, housing, inventories and orders, money and credit, interest rates, exchange rates, and prices.

Usage

huang2022_macro

Format

A numeric matrix with 720 rows and 123 columns. Each column is a macroeconomic time series transformed for stationarity following McCracken and Ng (2016). Column names correspond to FRED-MD mnemonics. 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

This dataset is used together with huang2022_ip in the replication of Table 4 from Huang et al. (2022). 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

McCracken, M. W. and Ng, S. (2016). FRED-MD: A Monthly Database for Macroeconomic Research. Journal of Business and Economic Statistics, 34(4), 574–589. doi:10.1080/07350015.2015.1086655

Examples

data(huang2022_macro)
dim(huang2022_macro)        # 720 x 123
#> [1] 720 123
head(colnames(huang2022_macro), 10)
#>                                                                         
#>             "RPI"         "W875RX1" "DPCERA3M086SBEA"       "CMRMTSPLx" 
#>                                                                         
#>         "RETAILx"          "INDPRO"         "IPFPNSS"         "IPFINAL" 
#>                                     
#>         "IPCONGD"        "IPDCONGD"