sw_dcf {kalmanfilter}

Stock and Watson Dynamic Common Factor Data Set

Description

Stock and Watson Dynamic Common Factor Data Set

Usage

data(sw_dcf)

Format

data.table with columns DATE, VARIABLE, VALUE, and MATURITY The data is monthly frequency with variables ip (industrial production), gmyxpg (total personal income less transfer payments in 1987 dollars), mtq (total manufacturing and trade sales in 1987 dollars), lpnag (employees on non-agricultural payrolls), and dcoinc (the coincident economic indicator)

Source

Kim, Chang-Jin and Charles R. Nelson (1999) "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications" <doi:10.7551/mitpress/6444.001.0001><http://econ.korea.ac.kr/~cjkim/>.