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FRED-QD：宏观经济研究季度数据库
FRED-QD: A QUARTERLY DATABASE FOR MACROECONOMIC RESEARCH
作者：
迈克尔·麦克拉肯（Michael McCracken）
吴（Serena Ng）
In this paper we present and describe a large quarterly frequency, macroeconomic database. Thedata provided are closely modeled to that used in Stock and Watson (2012a). As in our previouswork on FRED-MD, our goal is simply to provide a publicly available source of macroeconomic“big data” that is updated in real time using the FRED database. We show that factors extractedfrom this data set exhibit similar behavior to those extracted from the original Stock and Watsondata set. The dominant factors are shown to be insensitive to outliers, but outliers do affect therelative influence of the series as indicated by leverage scores. We then investigate the role unitroot tests play in the choice of transformation codes with an emphasis on identifying instances inwhich the unit root-based codes differ from those already used in the literature. Finally, we showthat factors extracted from our data set are useful for forecasting a range of macroeconomic seriesand that the choice of transformation codes can contribute substantially to the accuracy of theseforecasts.
在本文中，我们介绍并描述了一个大型的季度频率宏观经济数据库。提供的数据与Stock和Watson（2012a）中使用的数据非常相似。正如我们之前关于FRED-MD的工作一样，我们的目标仅仅是提供可公开获取的宏观经济“大数据”来源，并使用FRED数据库实时更新。我们表明，从该数据集提取的因子表现出与从原始Stock和Watson数据集提取的因子相似的行为。已显示主导因素对异常值不敏感，但是异常值确实会影响杠杆得分所表示的系列的相对影响。然后，我们调查单位根测试在选择转换代码中所起的作用，重点在于确定实例，这些实例中基于单位根的代码与文献中已经使用的代码有所不同。
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