Monash Time Series Forecasting Repository
Published August 27, 2020 | Version 2
Dataset Open

FRED-MD Dataset

Creators

  • 1. PhD Student at Monash University
  • 2. Lecturer at Monash University
  • 3. Professor at Monash University
  • 4. Lecturer at University of Sydney

Description

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.

Files

fred_md_dataset.zip

Files (169.1 kB)

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Additional details

Related works

Cites
Journal article: 10.1080/07350015.2015.1086655 (DOI)
Journal article: https://research.stlouisfed.org/wp/more/2015-012 (URL)

References

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