A data extract from BM 2014 replication files. Some proprietary series (mostly PMI's) are excluded. The dataset BM14_Models provides information about all series
and their inclusion in the 'small', 'medium' and 'large' sized dynamic factor models estimated by BM 2014. The actual data is contained in xts format in BM14_M for monthly data and BM14_Q for quarterly data.
BM14_Models
BM14_M
BM14_QBM14_Models is a data frame with 101 obs. (series) and 8 columns:
BM14 series code (converted to snake case for R)
BM14 series label
original series code from data source
series frequency
logical indicating whether the series was transformed by the natural log before differencing. Note that all data are provided in untransformed levels, and all data was (log-)differenced by BM14 before estimation.
logical indicating series included in the 'small' model of BM14. Proprietary series are excluded.
logical indicating series included in the 'medium' model of BM14. Proprietary series are excluded.
logical indicating series included in the 'large' model of BM14. This comprises all series, thus the variable is redundant but included for completeness. Proprietary series are excluded.
Banbura, M., & Modugno, M. (2014). Maximum likelihood estimation of factor models on datasets with arbitrary pattern of missing data. Journal of Applied Econometrics, 29(1), 133-160.
library(magrittr)
library(xts)
#> Loading required package: zoo
#>
#> Attaching package: ‘zoo’
#> The following objects are masked from ‘package:base’:
#>
#> as.Date, as.Date.numeric
# Constructing the database for the large model
BM14 = merge(BM14_M, BM14_Q)
BM14[, BM14_Models$log_trans] %<>% log()
BM14[, BM14_Models$freq == "M"] %<>% diff()
BM14[, BM14_Models$freq == "Q"] %<>% diff(3)
# Small Model Database
head(BM14[, BM14_Models$small])
#> ip_tot_cstr new_cars orders ret_turnover_defl ecs_ec_sent_ind
#> 1980-01-31 NA NA NA NA NA
#> 1980-02-29 NA NA NA -0.045867752 NA
#> 1980-03-31 NA NA NA 0.025129863 NA
#> 1980-04-30 NA NA NA -0.014409195 NA
#> 1980-05-31 NA NA NA -0.002828186 NA
#> 1980-06-30 NA NA NA -0.007937021 NA
#> pms_pmi urx extra_ea_trade_exp_val euro325 raw_mat gdp
#> 1980-01-31 NA NA NA NA NA NA
#> 1980-02-29 NA NA -0.006628411 NA -0.017094433 NA
#> 1980-03-31 NA NA -0.010029199 NA 0.041649238 NA
#> 1980-04-30 NA NA -0.009230433 NA 0.007688121 NA
#> 1980-05-31 NA NA -0.009886927 NA -0.035638515 NA
#> 1980-06-30 NA NA -0.030326833 NA -0.031090587 -0.004706623
#> empl capacity gdp_us
#> 1980-01-31 NA NA NA
#> 1980-02-29 NA NA NA
#> 1980-03-31 NA NA NA
#> 1980-04-30 NA NA NA
#> 1980-05-31 NA NA NA
#> 1980-06-30 0.0005918654 NA -0.02070885
# Medium-Sized Model Database
head(BM14[, BM14_Models$medium])
#> ip_tot_cstr ip_constr ip_im_goods ip_capital ip_d_cstr ip_nd_cons
#> 1980-01-31 NA NA NA NA NA NA
#> 1980-02-29 NA NA NA NA NA NA
#> 1980-03-31 NA NA NA NA NA NA
#> 1980-04-30 NA NA NA NA NA NA
#> 1980-05-31 NA NA NA NA NA NA
#> 1980-06-30 NA NA NA NA NA NA
#> ip_en new_cars orders ret_turnover_defl ecs_ec_sent_ind ecs_ind_conf
#> 1980-01-31 NA NA NA NA NA NA
#> 1980-02-29 NA NA NA -0.045867752 NA NA
#> 1980-03-31 NA NA NA 0.025129863 NA NA
#> 1980-04-30 NA NA NA -0.014409195 NA NA
#> 1980-05-31 NA NA NA -0.002828186 NA NA
#> 1980-06-30 NA NA NA -0.007937021 NA NA
#> ecs_ind_prod_exp ecs_ind_x_orders ecs_ind_empl_exp ecs_cons_conf
#> 1980-01-31 NA NA NA NA
#> 1980-02-29 NA NA NA NA
#> 1980-03-31 NA NA NA NA
#> 1980-04-30 NA NA NA NA
#> 1980-05-31 NA NA NA NA
#> 1980-06-30 NA NA NA NA
#> ecs_cstr_conf ecs_ret_tr_conf ecs_serv_conf ecs_serv_empl_exp
#> 1980-01-31 NA NA NA NA
#> 1980-02-29 NA NA NA NA
#> 1980-03-31 NA NA NA NA
#> 1980-04-30 NA NA NA NA
#> 1980-05-31 NA NA NA NA
#> 1980-06-30 NA NA NA NA
#> pms_pmi pms_serv_out urx empl_total extra_ea_trade_exp_val
#> 1980-01-31 NA NA NA NA NA
#> 1980-02-29 NA NA NA NA -0.006628411
#> 1980-03-31 NA NA NA NA -0.010029199
#> 1980-04-30 NA NA NA NA -0.009230433
#> 1980-05-31 NA NA NA NA -0.009886927
#> 1980-06-30 NA NA NA NA -0.030326833
#> extra_ea_trade_imp_val us_ip us_ip_manuf_exp us_cons_exp
#> 1980-01-31 NA NA NA NA
#> 1980-02-29 0.033595314 0.0008954556 10 0.8
#> 1980-03-31 0.113723637 -0.0029476935 -2 -10.6
#> 1980-04-30 -0.096103676 -0.0203344816 -22 0.1
#> 1980-05-31 0.044716794 -0.0254443045 -24 0.9
#> 1980-06-30 -0.003696892 -0.0125115289 4 7.7
#> m3 loans ir_long ir_short eer exr_usd euro325
#> 1980-01-31 NA NA NA NA NA NA NA
#> 1980-02-29 0.007535875 NA NA NA NA -0.01314636 NA
#> 1980-03-31 0.010894232 NA NA NA NA -0.07252762 NA
#> 1980-04-30 0.004549395 NA NA NA NA -0.01100038 NA
#> 1980-05-31 0.007720339 NA NA NA NA 0.05541221 NA
#> 1980-06-30 0.007523561 NA NA NA NA 0.02075198 NA
#> dow_j raw_mat_en raw_mat_oil_fwd gdp priv_cons
#> 1980-01-31 NA NA NA NA NA
#> 1980-02-29 0.02009644 0.03875620 NA NA NA
#> 1980-03-31 -0.08884307 0.01467532 NA NA NA
#> 1980-04-30 -0.02167110 -0.02849797 NA NA NA
#> 1980-05-31 0.05186822 -0.03043713 NA NA NA
#> 1980-06-30 0.04908563 -0.03595893 NA -0.004706623 -0.0061348
#> invest export import empl prductivity
#> 1980-01-31 NA NA NA NA NA
#> 1980-02-29 NA NA NA NA NA
#> 1980-03-31 NA NA NA NA NA
#> 1980-04-30 NA NA NA NA NA
#> 1980-05-31 NA NA NA NA NA
#> 1980-06-30 -0.01693449 -0.04461216 -0.02727455 0.0005918654 NA
#> capacity gdp_us
#> 1980-01-31 NA NA
#> 1980-02-29 NA NA
#> 1980-03-31 NA NA
#> 1980-04-30 NA NA
#> 1980-05-31 NA NA
#> 1980-06-30 NA -0.02070885