nowcasting (version 0.0.90)

giannoneetal2008: Example of replication files in Giannone et al. 2008

Description

Dataset available for replication the results in Giannone et al. 2008.

Usage

giannoneetal2008

Format

A list with 2 elements:

• Base is a mts with 193 series and 312 observations;

• Legenda is a data.frame with specifications of the series in Base.

References

Giannone, D., Reichlin, L., & Small, D. (2008). Nowcasting: The real-time informational content of macroeconomic data. Journal of Monetary Economics, 55(4), 665-676.<doi:10.1016/j.jmoneco.2008.05.010>

Examples

# NOT RUN {
#### Giannone et al (2008) - Example
trans<-giannoneetal2008$Legenda$Transformation[-length(giannoneetal2008$Legenda$Transformation)]
base<-giannoneetal2008$Base[,-dim(giannoneetal2008$Base)[2]]
gdp<-giannoneetal2008$Base[,dim(giannoneetal2008$Base)[2]]

# Balanced Panel
base<-Bpanel(base = base,trans = trans)

# Estimation of nowcast
now<-nowcast(y = gdp,regressors = base)

# Main results:
now$main
ts.plot(now$main,col=1:3,main='Main results')

# the results are not the same as in the reference paper because we make some changes
# in the outlier correction function.

# Factors:
now$factors$fator_final
ts.plot(now$factors$fator_final,col=1:2,main='Factors')
# }