New York Fed publishes nowcasting code
Matlab code for estimating a dynamic factor model now available in online repository
The Federal Reserve Bank of New York has published the code behind its “nowcasting” model, offering economists the chance to replicate the results or tweak the model for different applications.
The dynamic factor model has allowed Fed economists to estimate real GDP growth on a weekly basis, a far more timely indicator than the quarterly official figures. The nowcasts have been published online by the New York Fed since April 2016.
The code behind the model is now available free for download
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