usmacro

Real GDP growth rate, inflation, and treasury bill interest rate for the US (269 quarterly observations from 1947:Q2 to 2014:Q2).

datasets

R/C++ implementation of the model proposed by Primiceri ("Time Varying Structural Vector Autoregressions and Monetary Policy", Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.

Fabian Krueger

bvarsv

Bayesian Analysis of a Vector Autoregressive Model with
        Stochastic Volatility and Time-Varying Parameters

usmacro function

Multiple time series (<code>mts</code>) object, series names: ``gdp'', ``inf'' and ``tbi''.

format

Federal Reserve Bank of St. Louis (2014): ``Federal Reserve Economic Data'',
<url>http://research.stlouisfed.org/fred2/</url>.
Accessed: 2014-08-14.

<em>Note: The underlying FRED series are coded ``GDPC96'', ``GDPDEF'' and ``TB3MS''. The gdp and inflation series are defined as 400 times the difference of the log of the original series (i.e., annualized log growth rates). The treasury bill interest rate is the quarterly average of the monthly FRED series.</em>

usmacro: US Macroeconomic Time Series

Description

Arguments

format

source

Examples