A list contains the five data set used in the paper of Giannone, Lenza, and Primiceri (2021). Contains the following data sets: Macro1, Macro2, Micro1, Micro2, and Finance1
Econ_data## `Econ_data` A list contains the five lists, as the 5 data sets
A list with a vector and a data frame, `Y` and `X`. `Y` is the response vector, with 659 observations in it. `X` is the data frame contains all predictors, with n=659, p=130. It have the structure of time series data.
A list with a vector and a data frame, `Y` and `X`. `Y` is the response vector, with 90 observations in it. `X` is the data frame contains all predictors, with n=90, p=69. It have the structure of sectional data.
A list with a vector and a data frame, `Y` and `X`. `Y` is the response vector, with 576 observations in it. `X` is the data frame contains all predictors, with n=576, p=285. It have the structure of panel data with 48 units on 12 time points.
A list with a vector and a data frame, `Y` and `X`. `Y` is the response vector, with 312 observations in it. `X` is the data frame contains all predictors, with n=312, p=138. It have the structure of panel data with 12 units on 26 time points.
A list with a vector and a data frame, `Y` and `X`. `Y` is the response vector, with 68 observations in it. `X` is the data frame contains all predictors, with n=68, p=16. It have the structure of time series data.