The repository contains Python code that is translated from a Matlab code which produces a dynamic factor model. The Matlab code and the model belong to the Federal Reserve Bank of New York, developed by Eric Qian and Brandyn Bok. Please visit their repository for further details.

The Matlab code being translated 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).

• data/ : example US data downloaded from FRED
• Functions/ : functions for loading data, estimating model, and updating predictions
• example_DFM.py : example script to estimate a dynamic factor model (DFM) for a panel of monthly and quarterly series
• example_Nowcast.py : example script to produce a nowcast or forecast for a target variable, e.g., real GDP growth
• ResDFM.pickle : example DFM estimation output
• Spec_US_example.xls : example model specification for the US

This repository is not associated Federal Reserve Bank of New York. The purpose of this repository is for academic uses. Additionally, the repository is in its early stages and requires further improvements such as optimizing functions and writing clearer syntax with proper formatting.