9,015
Views
406
CrossRef citations to date
0
Altmetric
Original Articles

FRED-MD: A Monthly Database for Macroeconomic Research

&
Pages 574-589 | Received 01 Dec 2014, Published online: 15 Sep 2016

REFERENCES

  • Bai, J., and Ng, S. (2002), “Determining the Number of Factors in Approximate Factor Models,” Econometrica, 70, 191–221.
  • Bai, J. (2008), “Forecasting Economic Time Series Using Targeted Predictors,” Journal of Econometrics, 146, 304–317.
  • Barnichon, R. (2010), “Building a Composite Help-Wanted Index,” Economics Letters, 109, 175–178.
  • Bernanke, B., and Boivin, J. (2003), “Monetary Policy in a Data Rich Environment,” Journal of Monetary Economics, 50, 525–546.
  • Bernanke, B., Boivin, J., and Eliasz, P. (2005), “Factor Augmented Vector Autoregressions (FVARs) and the Analysis of Monetary Policy,” Quarterly Journal of Economics, 120, 387–422.
  • Boivin, J., and Giannoni, M. (2006), “DSGE Models in a Data Rich Environment,” NBER Working Paper 12272. Available at https://www.nber.org/papers/t0332.
  • Boivin, J., and Ng, S. (2005), “Understanding and Comparing Factor Based Forecasts,” International Journal of Central Banking, 1, 117–152.
  • Boivin, J. (2006), “Are More Data Always Better for Factor Analysis,” Journal of Econometrics, 132, 169–194.
  • Broida, A. (1955), “Diffusion Indexes,” The American Statistician, 9, 7–16.
  • Bry, G., and Boschan, C. (1971), Cyclical Analysis of Time Series: Procedures and Computer Programs, New York: National Bureau of Economic Research.
  • Burns, A.F., and Mitchell, W.C. (1946), Measuring Business Cycle, New York: National Bureau of Economic Research.
  • Clark, T., and McCracken, M. (2005), “Evaluating Direct Multistep Forecasts,” Econometric Reviews, 24, 369–404.
  • Clark, T. (2012), “Reality Checks and Nested Forecast Model Comparisons,” Journal of Business and Economic Statistics, 30, 53–66.
  • Diebold, F., and Mariano, R.S. (1995), “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, 13, 253–264.
  • Forni, M., Hallin, M., Lippi, M., and Reichlin, L. (2000), “The Generalized Dynamic Factor Model: Identification and Estimation,” Review of Economics and Statistics, 82, 540–554.
  • Forni, M. and Reichlin, L. (2005), “The Generalized Dynamic Factor Model, One Sided Estimation and Forecasting,” Journal of the American Statistical Association, 100, 830–840.
  • Jurado, K., Ludvigson, S., and Ng, S. (2015), “Measuring Macroeconomic Uncertainty,” American Economic Review, 105, 1177–1216.
  • Kennedy, J.E. (1994), “The Information of Diffusion Indexes for Forecasting Related Economic Aggregates,” Economics Letters, 44, 113–117.
  • Ludvigson, S., and Ng, S. (2011), “A Factor Analysis of Bond Risk Premia,” in Handbook of Empirical Economics and Finance, eds. D. Gilles and A. Ullah, Boca Raton: FL: Taylor & Francis Group, pp. 313–372.
  • Marcellino, M., Stock, J., and Watson, M. (2006), “A Comparison of Direct and Iterated AR Methods for Forecasting Macroeconomic Time Series h-steps Ahead,” Journal of Econometrics, 135, 499–526.
  • Moore, G.H. (1961), “Diffusion Indexes, Rates of Change, and Forecasting,” in Business Cycle Indicators (Vol. 34), ed. G.H. Moore, Princeton, NJ: Princeton University Press, pp. 282–293.
  • Stark, T., and Croushore, D. (2001), “Forecasting with a Real Time Data Set for Macroeconomists,” Journal of Macroeconomics, 24, 507–531.
  • Stark, T. (2014), “Estimating Turning Points Using Large Data Sets,” Journal of Econometrics, 178, 368–381.
  • Stock, J., and Watson, M.W. (2010), “Modeling Inflation After the Crisis,” NBER Working Paper 16488. Available at https://www.nber.org/papers/w16488.
  • Stock, J. (2015), “Factor Models for Macroeconomics,” presented at Conference on The Handbook of Macroeconomics, vol. 2, April, Standford University, Standford, CA. Available at http://www.hoover.org/events/conference-handbook-macroeconomics-vol-2.
  • Stock, J. (1996), “Evidence on Structural Instability in Macroeconomic Time Series Relations,” Journal of Business and Economic Statistics, 14, 11–30.
  • Stock, J. (1998), “Diffusion Indexes,” NBER Working Paper 6702. Available at https://www.nber.org/papers/w6702
  • Stock, J. (2002), “Macroeconomic Forecasting Using Diffusion Indexes,” Journal of Business and Economic Statistics, 20, 147–162.
  • Stock, J. (2005), “Implications of Dynamic Factor Models for VAR analysis,” NBER Working Paper 11467. Available at https://www.nber.org/papers/w11467
  • Stock, J. (2006), “Forecasting with Many Predictors,” in Handbook of Forecasting, vol. 1, ed. G. Elliott, C. Granger, and A. Timmermann, North Holland, The Netherlands: Elsevier, pp. 516–550.
  • West, K. (1996), “Asymptotic Inference About Predictability Ability,” Econometrica, 64, 1067–1084.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.