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".


131 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 2014-08 (Sep 8)
 
Civilian Unemployment Rate    
Percent, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
Effective Federal Funds Rate    
Percent, Monthly, Not Seasonally Adjusted1954-07 to 2014-08 (Sep 8)
 
3-Month Treasury Bill: Secondary Market Rate    
Percent, Monthly, Not Seasonally Adjusted1934-01 to 2014-08 (Sep 8)
 
St. Louis Adjusted Monetary Base    
Billions of Dollars, Monthly, Seasonally Adjusted1918-01 to 2014-08 (Sep 5)
 
Moody's Seasoned Aaa Corporate Bond Yield©    
Percent, Monthly, Not Seasonally Adjusted1919-01 to 2014-08 (Sep 8)
 
M2 Money Stock    
Billions of Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (6 days ago)
 
M1 Money Stock    
Billions of Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (6 days ago)
 
All Employees: Total nonfarm    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-08 (Sep 5)
 
Moody's Seasoned Baa Corporate Bond Yield©    
Percent, Monthly, Not Seasonally Adjusted1919-01 to 2014-08 (Sep 8)
 
S&P 500©    
Index, Daily, Not Seasonally Adjusted2004-09-30 to 2014-09-30 (19 hours ago)
 
Trade Weighted U.S. Dollar Index: Major Currencies    
Index March 1973=100, Monthly, Not Seasonally Adjusted1973-01 to 2014-09 (2 days ago)
 
Industrial Production Index    
Index 2007=100, Monthly, Seasonally Adjusted1919-01 to 2014-08 (Sep 15)
 
ISM Manufacturing: PMI Composite Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-09 (17 hours ago)
 
Housing Starts: Total: New Privately Owned Housing Units Started    
Thousands of Units, Monthly, Seasonally Adjusted Annual Rate1959-01 to 2014-08 (Sep 18)
 
University of Michigan: Consumer Sentiment©    
Index 1st Quarter 1966=100, Monthly, Not Seasonally Adjusted1978-01 to 2014-03 (Sep 12)
 
1-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-08 (Sep 8)
 
Personal Consumption Expenditures: Chain-type Price Index    
Index 2009=100, Monthly, Seasonally Adjusted1959-01 to 2014-08 (2 days ago)
 
5-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-08 (Sep 8)
 
Commercial and Industrial Loans, All Commercial Banks    
Billions of Dollars, Monthly, Seasonally Adjusted1947-01 to 2014-08 (5 days ago)
 
Capacity Utilization: Total Industry    
Percent of Capacity, Monthly, Seasonally Adjusted1967-01 to 2014-08 (Sep 15)
 
Civilian Employment    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
Japan / U.S. Foreign Exchange Rate    
Japanese Yen to One U.S. Dollar, Monthly, Not Seasonally Adjusted1971-01 to 2014-09 (2 days ago)
 
Initial Claims    
Number, Weekly, Seasonally Adjusted1967-01-07 to 2014-09-20 (6 days ago)
 
Civilian Labor Force    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
Consumer Price Index for All Urban Consumers: Medical Care    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
New Private Housing Units Authorized by Building Permits    
Thousands of Units, Monthly, Seasonally Adjusted Annual Rate1960-01 to 2014-08 (6 days ago)
 
U.S. / U.K. Foreign Exchange Rate    
U.S. Dollars to One British Pound, Monthly, Not Seasonally Adjusted1971-01 to 2014-09 (2 days ago)
 
Average (Mean) Duration of Unemployment    
Weeks, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
Canada / U.S. Foreign Exchange Rate    
Canadian Dollars to One U.S. Dollar, Monthly, Not Seasonally Adjusted1971-01 to 2014-09 (2 days ago)
 
Retail and Food Services Sales    
Millions of Dollars, Monthly, Seasonally Adjusted1992-01 to 2014-08 (Sep 12)
 
Number of Civilians Unemployed for 27 Weeks and Over    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
Consumer Price Index for All Urban Consumers: Apparel    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
Consumer Price Index for All Urban Consumers: Transportation    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (Sep 17)
 
ISM Manufacturing: New Orders Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-09 (17 hours ago)
 
Total Business: Inventories to Sales Ratio    
Ratio, Monthly, Seasonally Adjusted1992-01 to 2014-07 (Sep 12)
 
All Employees: Manufacturing    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-08 (Sep 5)
 
Spot Oil Price: West Texas Intermediate (DISCONTINUED SERIES)©    
Dollars per Barrel, Monthly, Not Seasonally Adjusted1946-01 to 2013-07 (2013-08-14)
 
3-Month AA Financial Commercial Paper Rate    
Percent, Monthly, Not Seasonally Adjusted1997-01 to 2014-08 (Sep 8)
 
Average Weekly Hours of Production and Nonsupervisory Employees: Manufacturing    
Hours, Monthly, Seasonally Adjusted1939-01 to 2014-08 (Sep 5)
 
Producer Price Index: Finished Goods    
Index 1982=100, Monthly, Seasonally Adjusted1947-04 to 2014-08 (Sep 16)
 
Industrial Production: Manufacturing (NAICS)    
Index 2007=100, Monthly, Seasonally Adjusted1972-01 to 2014-08 (Sep 15)
 
Real Estate Loans, All Commercial Banks    
Billions of Dollars, Monthly, Seasonally Adjusted1947-01 to 2014-08 (5 days ago)
 
10-Year Treasury Constant Maturity Minus Federal Funds Rate    
Percent, Daily, Not Seasonally Adjusted1962-01-02 to 2014-09-30 (10 hours ago)
 
Real M2 Money Stock    
Billions of 1982-83 Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (6 days ago)
 
Total Business Inventories    
Millions of Dollars, End of Period, Monthly, Seasonally Adjusted1992-01 to 2014-07 (Sep 12)
 
6-Month Treasury Bill: Secondary Market Rate    
Percent, Monthly, Not Seasonally Adjusted1958-12 to 2014-08 (Sep 8)
 
All Employees: Government    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-08 (Sep 5)
 
Real personal income excluding current transfer receipts    
Billions of Chained 2009 Dollars, Monthly, Seasonally Adjusted Annual Rate1959-01 to 2014-08 (2 days ago)
 

1  2  3 Next » 


Recently Viewed Series


Subscribe to our newsletter for updates on published research, data news, and latest econ information.
Name:   Email:  
Twitter logo Google Plus logo Facebook logo YouTube logo LinkedIn logo

Click to send us feedback