This code implements the nowcasting framework described in "Macroeconomic Nowcasting and Forecasting with Big Data" by Brandyn Bok, Daniele Caratelli, Domenico Giannone, Argia M. Sbordone, and Andrea Tambalotti, Staff Reports 830, Federal Reserve Bank of New York (prepared for Volume 10 of the Annual Review of Economics).
Note: These example files do not exactly reproduce the New York Fed Staff Nowcasting Report released every Friday because data redistribution restrictions prevent us from providing the complete data set used in our model.
Download the code as a ZIP file by clicking the green 'Clone or download' button and selecting 'Download ZIP'.
File and folder description
data/: example US data downloaded from FRED
functions/: functions for loading data, estimating model, and updating predictions
example_DFM.m: example script to estimate a dynamic factor model (DFM) for a panel of monthly and quarterly series
example_Nowcast.m: example script to produce a nowcast or forecast for a target variable, e.g., real GDP growth
ResDFM.mat: example DFM estimation output
Spec_US_example.xls: example model specification for the US
Required software and versioning
MATLAB is required to run the code. The code was tested in MATLAB R2015b and later versions. Functionality with earlier versions of MATLAB is not guaranteed.