Estimate factors off of the FRED-MD dataset
Project description
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
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