inflation

<p>A subset of quarterly CPI Index data from the ONS Inflation data (Q4 2022 release).</p>
<p>A subset of quarterly CPI Index data from the ONS Inflation data (Q4 2022 release).</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

inflation function


<div class="section" id="inflation">
<h3><code>inflation</code></h3><p></p><p>
</p><p>A data frame with 135 observations and 36 variables:</p><dl>
<dt>columns</dt>
<dd><p>Different classes of inflation index</p></dd><p></p><p><dt>rows</dt>
<dd><p>Quarterly values of the relevant CPI index, benchmarked to 2015=100</p></dd></p><p>...</p><p></p></dl><p></p><p></p></div><p></p><p><div class="section" id="inflation">
<h3><code>inflation</code></h3></div></p><p>
</p><p>A data frame with 135 observations and 36 variables:</p><dl>
<dt>columns</dt>
<dd><p>Different classes of inflation index</p></dd><p></p><p><dt>rows</dt>
<dd><p>Quarterly values of the relevant CPI index, benchmarked to 2015=100</p></dd></p><p>...</p><p></p></dl><p></p><p>
</p>

Format

UK Inflation Dataset — inflation


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


<p>A data frame with 135 observations and 36 variables:</p><dl>
<dt>columns</dt>
<dd><p>Different classes of inflation index</p></dd>

<dt>rows</dt>
<dd><p>Quarterly values of the relevant CPI index, benchmarked to 2015=100</p></dd>

...

</dl>

</div>

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


<p>A data frame with 135 observations and 36 variables:</p><dl>
<dt>columns</dt>
<dd><p>Different classes of inflation index</p></dd>

<dt>rows</dt>
<dd><p>Quarterly values of the relevant CPI index, benchmarked to 2015=100</p></dd>

...

</dl>

</div>


inflation: UK Inflation Dataset

Description

Usage

Arguments

Format

`inflation`

`inflation`

Examples