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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".

Consumer Price Index for All Urban Consumers: All Items    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (2 days ago)
 
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)
 
St. Louis Adjusted Monetary Base    
Billions of Dollars, Monthly, Seasonally Adjusted1918-01 to 2014-08 (Sep 5)
 
3-Month Treasury Bill: Secondary Market Rate    
Percent, Monthly, Not Seasonally Adjusted1934-01 to 2014-08 (Sep 8)
 
M2 Money Stock    
Billions of Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (1 day ago)
 
Moody's Seasoned Aaa Corporate Bond Yield©    
Percent, Monthly, Not Seasonally Adjusted1919-01 to 2014-08 (Sep 8)
 
M1 Money Stock    
Billions of Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (Sep 11)
 
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)
 
Industrial Production Index    
Index 2007=100, Monthly, Seasonally Adjusted1919-01 to 2014-08 (4 days ago)
 
S&P 500©    
Index, Daily, Not Seasonally Adjusted2004-09-20 to 2014-09-18 (15 hours ago)
 
Trade Weighted U.S. Dollar Index: Major Currencies    
Index March 1973=100, Monthly, Not Seasonally Adjusted1973-01 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 2014-08 (1 day ago)
 
ISM Manufacturing: PMI Composite Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 2)
 
University of Michigan: Consumer Sentiment©    
Index 1st Quarter 1966=100, Monthly, Not Seasonally Adjusted1978-01 to 2014-03 (Sep 12)
 
Personal Consumption Expenditures: Chain-type Price Index    
Index 2009=100, Monthly, Seasonally Adjusted1959-01 to 2014-07 (Aug 29)
 
Commercial and Industrial Loans, All Commercial Banks    
Billions of Dollars, Monthly, Seasonally Adjusted1947-01 to 2014-08 (6 hours ago)
 
5-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-08 (Sep 8)
 
1-Year Treasury Constant Maturity Rate    
Percent, Monthly, Not Seasonally Adjusted1953-04 to 2014-08 (Sep 8)
 
Initial Claims    
Number, Weekly, Seasonally Adjusted1967-01-07 to 2014-09-13 (1 day ago)
 
Civilian Employment    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
Capacity Utilization: Total Industry    
Percent of Capacity, Monthly, Seasonally Adjusted1967-01 to 2014-08 (4 days ago)
 
Japan / U.S. Foreign Exchange Rate    
Japanese Yen to One U.S. Dollar, Monthly, Not Seasonally Adjusted1971-01 to 2014-09 (4 days ago)
 
Civilian Labor Force    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
New Private Housing Units Authorized by Building Permits    
Thousands of Units, Monthly, Seasonally Adjusted Annual Rate1960-01 to 2014-08 (1 day ago)
 
Consumer Price Index for All Urban Consumers: Medical Care    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (2 days ago)
 
U.S. / U.K. Foreign Exchange Rate    
U.S. Dollars to One British Pound, Monthly, Not Seasonally Adjusted1971-01 to 2014-09 (4 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 (4 days ago)
 
Retail and Food Services Sales    
Millions of Dollars, Monthly, Seasonally Adjusted1992-01 to 2014-08 (Sep 12)
 
Consumer Price Index for All Urban Consumers: Apparel    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (2 days ago)
 
Consumer Price Index for All Urban Consumers: Transportation    
Index 1982-84=100, Monthly, Seasonally Adjusted1947-01 to 2014-08 (2 days ago)
 
All Employees: Manufacturing    
Thousands of Persons, Monthly, Seasonally Adjusted1939-01 to 2014-08 (Sep 5)
 
Total Business: Inventories to Sales Ratio    
Ratio, Monthly, Seasonally Adjusted1992-01 to 2014-07 (Sep 12)
 
ISM Manufacturing: New Orders Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 2)
 
Spot Oil Price: West Texas Intermediate (DISCONTINUED SERIES)©    
Dollars per Barrel, Monthly, Not Seasonally Adjusted1946-01 to 2013-07 (2013-08-14)
 
Producer Price Index: Finished Goods    
Index 1982=100, Monthly, Seasonally Adjusted1947-04 to 2014-08 (3 days ago)
 
Industrial Production: Manufacturing (NAICS)    
Index 2007=100, Monthly, Seasonally Adjusted1972-01 to 2014-08 (4 days ago)
 
Average Weekly Hours of Production and Nonsupervisory Employees: Manufacturing    
Hours, Monthly, Seasonally Adjusted1939-01 to 2014-08 (Sep 5)
 
Number of Civilians Unemployed for 27 Weeks and Over    
Thousands of Persons, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 5)
 
10-Year Treasury Constant Maturity Minus Federal Funds Rate    
Percent, Daily, Not Seasonally Adjusted1962-01-02 to 2014-09-18 (6 hours ago)
 
Real Estate Loans, All Commercial Banks    
Billions of Dollars, Monthly, Seasonally Adjusted1947-01 to 2014-08 (6 hours ago)
 
Total Business Inventories    
Millions of Dollars, End of Period, Monthly, Seasonally Adjusted1992-01 to 2014-07 (Sep 12)
 
Real M2 Money Stock    
Billions of 1982-83 Dollars, Monthly, Seasonally Adjusted1959-01 to 2014-08 (1 day ago)
 
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 2014-07 (Aug 29)
 
6-Month Treasury Bill: Secondary Market Rate    
Percent, Monthly, Not Seasonally Adjusted1958-12 to 2014-08 (Sep 8)
 
ISM Manufacturing: Employment Index©    
Index, Monthly, Seasonally Adjusted1948-01 to 2014-08 (Sep 2)
 

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