Metadata-Version: 2.1
Name: FredMD
Version: 0.0.5
Summary: Estimate factors off of the FRED-MD dataset
Home-page: https://github.com/joe5saia/FredMD
Author: Joe Saia
Author-email: joe5saia@gmail.com
License: UNKNOWN
Description: # FredMD
        ![Build](https://github.com/joe5saia/FredMD/workflows/FredMD%20Build/badge.svg)
        
        
        This package downloads the [FRED-MD dataset](https://research.stlouisfed.org/econ/mccracken/fred-databases/) and estimates common factors. It also implements the [Bai-Ng (2002)](http://www.columbia.edu/~sn2294/pub/ecta02.pdf) 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
        ```python
        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
        * [Bai, Jushan and Ng, Serena (2002), "Determining the number of factors in approximate factor models"](https://onlinelibrary.wiley.com/doi/pdf/10.1111/1468-0262.00273).
        
        * [McCracken, Michael W. and Ng, Serena (2015), "FRED-MD and FRED-QD: Monthly and Quarterly Databases for Macroeconomic Research"](https://research.stlouisfed.org/econ/mccracken/fred-databases/).
        
        
        * [Bai, Jushan and Ng, Serena (2019), "Matrix Completion, Counterfactuals, and Factor Analysis of Missing Data"](https://arxiv.org/abs/1910.06677).
        
Platform: UNKNOWN
Classifier: Programming Language :: Python :: 3
Classifier: License :: OSI Approved :: MIT License
Classifier: Operating System :: OS Independent
Requires-Python: >=3.6
Description-Content-Type: text/markdown
