US Weekly Economic Index: Replication and extension

Replication data for Wegmueller, P., Glocker, C. (2023): US Weekly Economic Index: Replication and extension (replication data). Version: 1. Journal of Applied Econometrics. Dataset. https://doi.org/10.15456/jae.2023075.0909504723.

All files are zipped in the file replica_uswei.zip.

Data

Confidential data

• Staffing Index
• Withholding Tax
• Rasmussen Consumer Index
• EEI
• Johnson Redbook

Publicly available data

Downloaded from Macrobond and stored in Excel-Data

• Railroad traffic
• Fuel sales
• Steel production
• Jobless Claims, Initial
• Jobless Claims, Continuing

Downloaded from Alfred to obtain vintages

• US GDP

Scripts

• main.R: source code
• calendar_dates.R: load regressors for calendar day adjustment
• load_data.R: load raw data
• narrow.R: Narrow replication of US WEI
• wide.R: Wide replication of US WEI

Seasonal adjustment of HF-data

• eei.R

• withhold.R

• staffing.R

• uslama3294.R

• uslama3394.R

• ulsama4628.R

• usprod0685.R

• ustran0035.R

• usprod0983.R

• consumer.R

• _remove_outliers.R: Outlier adjustment

• _scaling_to_us_gdp_yoy.R: Scaling to US GDP

• _oos_nomod.R: Out-of-sample analysis

• _oos_evaluation.R: generates figures and tables from out-of-sample data

Results

• data.Rdata: Publicly available data
• us_wei.Rdata: Weekly indices
• bench_rt.Rdata: Benchmarks
• oos_rt.Rdata: OoS-Simulations