Econ_data {ACSSpack}

Economic data from the GLP paper

Description

A list contains the five data set used in the paper of Giannone, Lenza, and Primiceri (2021). Contains the following data sets: Macro1, Macro2, Micro1, Micro2, and Finance1

Usage

Econ_data

Format

## 'Econ_data' A list contains the five lists, as the 5 data sets

Macro1

A list with a vector and a data frame, 'Y' and 'X'. 'Y' is the response vector, with 659 observations in it. 'X' is the data frame contains all predictors, with n=659, p=130. It have the structure of time series data.

Macro2

A list with a vector and a data frame, 'Y' and 'X'. 'Y' is the response vector, with 90 observations in it. 'X' is the data frame contains all predictors, with n=90, p=69. It have the structure of sectional data.

Micro1

A list with a vector and a data frame, 'Y' and 'X'. 'Y' is the response vector, with 576 observations in it. 'X' is the data frame contains all predictors, with n=576, p=285. It have the structure of panel data with 48 units on 12 time points.

Micro2

A list with a vector and a data frame, 'Y' and 'X'. 'Y' is the response vector, with 312 observations in it. 'X' is the data frame contains all predictors, with n=312, p=138. It have the structure of panel data with 12 units on 26 time points.

Finance1

A list with a vector and a data frame, 'Y' and 'X'. 'Y' is the response vector, with 68 observations in it. 'X' is the data frame contains all predictors, with n=68, p=16. It have the structure of time series data.

Source

<https://www.econometricsociety.org/publications/econometrica/2021/09/01/economic-predictions-big-data-illusion-sparsity/supp/17842_Data_and_Programs.zip>

<https://research.stlouisfed.org/econ/mccracken/fred-databases/>