fDMA (version 2.2.8)

trends: Google Trends for Crude Oil Data.

Description

Google Trends for Crude Oil Data.

Usage

data(trends)

Format

trends is xts object such that

• trends$prod -- Google Trends for "oil production"

• trends$cons -- Google Trends for "oil consumption"

• trends$econ_act -- Google Trends for "economic activity"

• trends$r -- Google Trends for "interest rate"

• trends$stocks -- Google Trends for "stock markets"

• trends$risk -- Google Trends for "market stress"

• trends$ex_rate -- Google Trends for "exchange rate"

Details

The data are in monthly frequency. They cover the period between Jan, 2004 and Oct, 2024.

Examples

data(trends)
gtrends <- trends/100
data(crudeoil)
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- drivers[-1,]
ld.drivers[,c(4,6)] <- (diff(drivers[,c(4,6)]))[-1,]
ld.drivers[,c(1:2,5,7)] <- (diff(log(drivers[,c(1:2,5,7)])))[-1,]
ld.drivers[,c(3,6)] <- ld.drivers[,c(3,6)]/100
ld.wti <- ld.wti['2004-01-01-/']
ld.drivers <- ld.drivers['2004-01-01-/']
# \donttest{
xx <- ld.drivers
m <- fDMA(y=ld.wti,x=xx,alpha=0.99,lambda=0.99,initvar=1,model="dma",gprob=gtrends,omega=0.5)
# }