FredMD

This package downloads the FRED-MD dataset and estimates common factors. It also implements the Bai-Ng (2002) factor selection information critrea. The alogrithms in this package are adapted from the matlab programs provided on the FRED-MD web page.

Installation

This package can be installed via pip.

Useage

from FredMD import FredMD

fmd = FredMD(Nfactor=None, vintage=None, maxfactor=8, standard_method=2, ic_method=2)
fmd.estimate_factors()
f = fmd.factors

References

• Bai, Jushan and Ng, Serena (2002), "Determining the number of factors in approximate factor models".

• McCracken, Michael W. and Ng, Serena (2015), "FRED-MD and FRED-QD: Monthly and Quarterly Databases for Macroeconomic Research".

• Bai, Jushan and Ng, Serena (2019), "Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data".