exports

<p>A full dataset used for nowcasting UK trade in goods (Exports) including the 9 export target series and 436 monthly indicator series.</p>

datasets

Implementation of various estimation methods for dynamic factor models (DFMs) including principal components analysis (PCA) Stock and Watson (2002) <doi:10.1198/016214502388618960>, 2Stage Giannone et al. (2008) <doi:10.1016/j.jmoneco.2008.05.010>, expectation-maximisation (EM) Banbura and Modugno (2014) <doi:10.1002/jae.2306>, and the novel EM-sparse approach for sparse DFMs Mosley et al. (2023) <arXiv:2303.11892>. Options to use classic multivariate Kalman filter and smoother (KFS) equations from Shumway and Stoffer (1982) <doi:10.1111/j.1467-9892.1982.tb00349.x> or fast univariate KFS equations from Koopman and Durbin (2000) <doi:10.1111/1467-9892.00186>, and options for independent and identically distributed (IID) white noise or auto-regressive (AR(1)) idiosyncratic errors. Algorithms coded in 'C++' and linked to R via 'RcppArmadillo'.

Alex Gibberd

sparseDFM

Estimate Dynamic Factor Models with Sparse Loadings

Luke Mosley

Tak-Shing Chan

exports function


<div class="section" id="exports">
<h3><code>exports</code></h3><p></p><p>
</p><p>A data frame with 226 observations and 445 variables:</p><dl>
<dt>columns</dt>
<dd><p>Export target series (9) and monthly indicators (436).</p></dd><p></p><p><dt>rows</dt>
<dd><p>Monthly values from Jan 2004 to Oct 2022.</p></dd></p><p>...</p><p></p></dl><p></p><p></p></div>


Format

UK Trade in Goods (Exports) Dataset — exports


<div class='section' id='exports'>
<h3><code>exports</code></h3>


<p>A data frame with 226 observations and 445 variables:</p><dl>
<dt>columns</dt>
<dd><p>Export target series (9) and monthly indicators (436).</p></dd>

<dt>rows</dt>
<dd><p>Monthly values from Jan 2004 to Oct 2022.</p></dd>

...

</dl>

</div>


exports: UK Trade in Goods (Exports) Dataset

Description

Usage

Arguments

Format

`exports`

Examples