Bug on colab Codes on > statespace_large_dynamic_factor_models.ipynb <

[plmttlab]

Good morning, hope you are well.

i'm interested in your fully implemented DFM model with mixed frequency observations. I would like to submit you to your attention:

1) in colab example, i get and error in defn_m = pd.read_csv('data/fredmd_definitions.csv'). _FileNotFoundError: [Errno 2] No such file or directory: 'data/fredmddefinitions.csv'

2) It's not clear for me how does it works and the syntax, could you explain me better?

Thank you very much for your attention and passion, i wish you the best.

Paolo

[Zhoux26]

I think you can download the files as follow: https://research.stlouisfed.org/econ/mccracken/fred-databases/ there are two files named [FRED-MD Appendix.zip] and [FRED-QD Appendix.zip] And remember to change the column name in QD file to fit the code :D