Macro Dataset for Estimating Factors

This category is a collection of raw data series based on paper by Stock, J.H., and M.W. Watson (2004), “An Empirical Comparison of Methods for Forecasting Using Many Predictors".


130 Series

Consumer Price Index for All Urban Consumers: All Items    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
10-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-09 (Oct 6)
 
Civilian Unemployment Rate    
Percent, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 3)
 
Effective Federal Funds Rate    
Percent, Monthly, Not Seasonally Adjusted1954-07 to 2014-09 (Oct 6)
 
3-Month Treasury Bill: Secondary Market Rate    
Percent, Monthly, Not Seasonally Adjusted1934-01 to 2014-09 (Oct 6)
 
St. Louis Adjusted Monetary Base    
Billions of Dollars, Monthly, Seasonally Adjusted1918-01 to 2014-09 (Oct 10)
 
M2 Money Stock    
Billions of Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-09 (4 days ago)
 
Moody's Seasoned Aaa Corporate Bond Yield©    
Percent, Monthly, Not Seasonally Adjusted1919-01 to 2014-09 (Oct 6)
 
All Employees: Total nonfarm    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-09 (Oct 3)
 
M1 Money Stock    
Billions of Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-09 (4 days ago)
 
Moody's Seasoned Baa Corporate Bond Yield©    
Percent, Monthly, Not Seasonally Adjusted1919-01 to 2014-09 (Oct 6)
 
Trade Weighted U.S. Dollar Index: Major Currencies    
Index March 1973=100, Monthly, Not Seasonally Adjusted1973-01 to 2014-10 (11 hours ago)
 
Industrial Production Index    
Index 2007=100, Monthly, Seasonally Adjusted1919-01 to 2014-09 (4 days ago)
 
Housing Starts: Total: New Privately Owned Housing Units Started    
Thousands of Units, Monthly, Seasonally Adjusted Annual Rate1959-01 to 2014-09 (3 days ago)
 
ISM Manufacturing: PMI Composite Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 1)
 
University of Michigan: Consumer Sentiment©    
Index 1st Quarter 1966=100, Monthly, Not Seasonally Adjusted1978-01 to 2014-03 (Sep 12)
 
Crude Oil Prices: West Texas Intermediate (WTI) - Cushing, Oklahoma    
Dollars per Barrel, Monthly, Not Seasonally Adjusted1986-01 to 2014-09 (4 days ago)
 
5-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-09 (Oct 6)
 
1-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-09 (Oct 6)
 
Personal Consumption Expenditures: Chain-type Price Index    
Index 2009=100, Monthly, Seasonally Adjusted1959-01 to 2014-08 (Sep 29)
 
Unemployed    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 3)
 
Commercial and Industrial Loans, All Commercial Banks    
Billions of Dollars, Monthly, Seasonally Adjusted1947-01 to 2014-09 (3 days ago)
 
Civilian Employment    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 3)
 
Japan / U.S. Foreign Exchange Rate    
Japanese Yen to One U.S. Dollar, Monthly, Not Seasonally Adjusted1971-01 to 2014-10 (11 hours ago)
 
All Employees: Manufacturing    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-09 (Oct 3)
 
Initial Claims    
Number, Weekly, Not Seasonally Adjusted1967-01-07 to 2014-10-11 (4 days ago)
 
Personal Income    
Billions of Dollars, Monthly, Seasonally Adjusted Annual Rate1959-01 to 2014-08 (Sep 29)
 
Civilian Labor Force    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 3)
 
New Private Housing Units Authorized by Building Permits    
Thousands of Units, Monthly, Seasonally Adjusted Annual Rate1960-01 to 2014-09 (3 days ago)
 
U.S. / U.K. Foreign Exchange Rate    
U.S. Dollars to One British Pound, Monthly, Not Seasonally Adjusted1971-01 to 2014-10 (11 hours ago)
 
Consumer Price Index for All Urban Consumers: Medical Care    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
Average (Mean) Duration of Unemployment    
Weeks, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 3)
 
Manufacturers' New Orders: Durable Goods    
Millions of Dollars, Monthly, Seasonally Adjusted1992-02 to 2014-08 (Oct 2)
 
3-Month AA Financial Commercial Paper Rate    
Percent, Monthly, Not Seasonally Adjusted1997-01 to 2014-09 (Oct 6)
 
Retail and Food Services Sales    
Millions of Dollars, Monthly, Seasonally Adjusted1992-01 to 2014-09 (5 days ago)
 
Number of Civilians Unemployed for 27 Weeks and Over    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 3)
 
Canada / U.S. Foreign Exchange Rate    
Canadian Dollars to One U.S. Dollar, Monthly, Not Seasonally Adjusted1971-01 to 2014-10 (11 hours ago)
 
Consumer Price Index for All Urban Consumers: Apparel    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
Total Business: Inventories to Sales Ratio    
Ratio, Monthly, Seasonally Adjusted1992-01 to 2014-08 (5 days ago)
 
Spot Oil Price: West Texas Intermediate (DISCONTINUED SERIES)©    
Dollars per Barrel, Monthly, Not Seasonally Adjusted1946-01 to 2013-07 (2013-08-14)
 
Consumer Price Index for All Urban Consumers: Transportation    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
All Employees: Government    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-09 (Oct 3)
 
ISM Manufacturing: New Orders Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-09 (Oct 1)
 
Average Weekly Hours of Production and Nonsupervisory Employees: Manufacturing    
Hours, Monthly, Seasonally Adjusted1939-01 to 2014-09 (Oct 3)
 
Producer Price Index: Finished Goods    
Index 1982=100, Monthly, Seasonally Adjusted1947-04 to 2014-09 (5 days ago)
 
Real Estate Loans, All Commercial Banks    
Billions of Dollars, Monthly, Seasonally Adjusted1947-01 to 2014-09 (3 days ago)
 
6-Month Treasury Bill: Secondary Market Rate    
Percent, Monthly, Not Seasonally Adjusted1958-12 to 2014-09 (Oct 6)
 
Total Business Inventories    
Millions of Dollars, End of Period, Monthly, Seasonally Adjusted1992-01 to 2014-08 (5 days ago)
 
10-Year Treasury Constant Maturity Minus Federal Funds Rate    
Percent, Monthly, Not Seasonally Adjusted1954-07 to 2014-09 (Oct 6)
 
Real M2 Money Stock    
Billions of 1982-83 Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (Oct 9)
 

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