Metadata-Version: 2.1
Name: FredMD
Version: 0.0.4
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
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
Requires-Dist: pandas (>=1.2.0)
Requires-Dist: numpy (>=1.19.0)
Requires-Dist: scikit-learn (>=0.24.0)

# FredMD

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).

