NYFED

partial dataset used to replicate the results in the New York Fed Staff Nowcasting Report .

It contains the tools to implement dynamic factor models to forecast economic variables. The user will be able to construct pseudo real time vintages, use information criteria for determining the number of factors and shocks, estimate the model, and visualize results among other things.

Daiane Mattos

nowcasting

Predicting Economic Variables using Dynamic Factor Models

Daiane Marcolino de Mattos

Pedro Costa Ferreira

Serge de Valk

Guilherme Branco Gomes

NYFED function

A <code>list</code> with 4 elements:<ul>
<li><code>base</code> is a <code>mts</code> with 25 series and 385 observations. There are missing values;</li>
<li><code>legend</code> is a <code>data.frame</code> with specifications of the series in NYFED$base;</li>
<li><code>Time</code> is a <code>vector</code> of length 385 with dates;</li>
<li><code>blocks</code> is a <code>matrix</code> showing the groups of variables.</li>
</ul>

Format

Example of replication files in Giannone et al. 2008 — NYFED

Example of replication files in Giannone et al. 2008

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

Description

Usage

Arguments

Format