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Dalibor
Stevanovic's Homepage Full
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Data
UK-MD is a monthly UK large-scale macroeconomic database
comparable to those for the US by McCracken and Ng
(2016,2020) and for Canada by Fortin-Gagnon et al. (2018).
The dataset contains 112 monthly macroeconomic and financial
indicators divided into nine categories; labour, production,
retail and services, consumer and retail price indices,
producer price indices, international trade, money, credit
and interest rates, stock market and finally sentiment and
leading indicators. The starting date varies across
indicators, from 1960 to 2000, and to simplify econometric
analysis we also provide a balanced panel using an EM
algorithm to impute missing values. Data are subject to
change as new information arrives. Dataset is updated every
month.
Important
note:
This
work is a public service for academic, educational and
professional communities. Please cite the paper properly
when you use this dataset. Suggested citation: Goulet
Coulombe,
P., Marcellino,
M. and D.
Stevanovic (2021). Can
Machine Learning Catch the COVID-19
Recession?
National Institute Economic Review. 256,
71-109. doi: 10.1017/nie.2021.10.
Real-time vintages:Estimate of UK macro uncertainty following Jurado, Ludvigson and Ng (2015): series    
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