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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

References

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