Search Results
Working Paper
Learning About Consumer Uncertainty from Qualitative Surveys: As Uncertain As Ever
We study diffusion indices constructed from qualitative surveys to provide real-time assessments of various aspects of economic activity. In particular, we highlight the role of diffusion indices as estimates of change in a quasi extensive margin, and characterize their distribution, focusing on the uncertainty implied by both sampling and the polarization of participants' responses. Because qualitative tendency surveys generally cover multiple questions around a topic, a key aspect of this uncertainty concerns the coincidence of responses, or the degree to which polarization comoves, across ...
Working Paper
A Unified Framework for Dimension Reduction in Forecasting
Factor models are widely used in summarizing large datasets with few underlying latent factors and in building time series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and forecasting of the response y are carried out in two separate and independent phases. We introduce a potentially more attractive alternative, Sufficient Dimension Reduction (SDR), that summarizes x as it relates to y, so that all the information in the conditional distribution of y|x is preserved. We study the relationship between SDR and popular estimation ...
Working Paper
Forecasting with Sufficient Dimension Reductions
Factor models have been successfully employed in summarizing large datasets with few underlying latent factors and in building time series forecasting models for economic variables. When the objective is to forecast a target variable y with a large set of predictors x, the construction of the summary of the xs should be driven by how informative on y it is. Most existing methods first reduce the predictors and then forecast y in independent phases of the modeling process. In this paper we present an alternative and potentially more attractive alternative: summarizing x as it relates to y, so ...
Briefing
Why Use a Diffusion Index?
Diffusion indexes are a useful way to summarize economic information from surveys because they are easy to understand and correlate well with economic activity over time. To use diffusion indexes most effectively as a measure of change, however, it is important that the extensive margin of the indicator in question explains more of the change in that indicator than the intensive margin. This article, and the papers described in it, can also be used to develop a confidence interval around any diffusion index.
Working Paper
FRED-MD: A Monthly Database for Macroeconomic Research
This paper describes a large, monthly frequency, macroeconomic database with the goal of establishing a convenient starting point for empirical analysis that requires "big data." The dataset mimics the coverage of those already used in the literature but has three appealing features. First, it is designed to be updated monthly using the FRED database. Second, it will be publicly accessible, facilitating comparison of related research and replication of empirical work. Third, it will relieve researchers from having to manage data changes and revisions. We show that factors extracted from our ...