BM14_Models {dfms} | R Documentation |
Euro Area Macroeconomic Data from Banbura and Modugno 2014
Description
A data extract from BM 2014 replication files. Some proprietary series (mostly PMI's) are excluded. The dataset BM14_Models
provides information about all series
and their inclusion in the 'small', 'medium' and 'large' sized dynamic factor models estimated by BM 2014. The actual data is contained in xts format in BM14_M
for monthly data and BM14_Q
for quarterly data.
Usage
BM14_Models
BM14_M
BM14_Q
Format
BM14_Models
is a data frame with 101 obs. (series) and 8 columns:
- series
BM14 series code (converted to snake case for R)
- label
BM14 series label
- code
original series code from data source
- freq
series frequency
- log_trans
logical indicating whether the series was transformed by the natural log before differencing. Note that all data are provided in untransformed levels, and all data was (log-)differenced by BM14 before estimation.
- small
logical indicating series included in the 'small' model of BM14. Proprietary series are excluded.
- medium
logical indicating series included in the 'medium' model of BM14. Proprietary series are excluded.
- large
logical indicating series included in the 'large' model of BM14. This comprises all series, thus the variable is redundant but included for completeness. Proprietary series are excluded.
Source
Banbura, M., & Modugno, M. (2014). Maximum likelihood estimation of factor models on datasets with arbitrary pattern of missing data. Journal of Applied Econometrics, 29(1), 133-160.
Examples
library(magrittr)
library(xts)
# Constructing the database for the large model
BM14 = merge(BM14_M, BM14_Q)
BM14[, BM14_Models$log_trans] %<>% log()
BM14[, BM14_Models$freq == "M"] %<>% diff()
BM14[, BM14_Models$freq == "Q"] %<>% diff(3)
# Small Model Database
head(BM14[, BM14_Models$small])
# Medium-Sized Model Database
head(BM14[, BM14_Models$medium])