Dataset Open Access

FRED-MD Dataset

Godahewa, Rakshitha; Bergmeir, Christoph; Webb, Geoff; Montero-Manso, Pablo; Hyndman, Rob

This dataset contains 107 monthly time series showing a set of macro-economic indicators from the Federal Reserve Bank. It was extracted from the FRED-MD database. The series are differenced and log-transformed as suggested in the literature.

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  • McCracken, M. W., Ng, Serena, 2016. FRED-MD: A Monthly Database for Macroeconomic Research. Journal of Business & Economic Statistics, 34(4):574–589

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