Macroeconomic Stars
Principal Investigator(s): View help for Principal Investigator(s) Saeed Zaman, Federal Reserve Bank of Cleveland
Version: View help for Version V1
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application/vnd.openxmlformats-officedocument.spreadsheetml.sheet | 438.2 KB | 04/22/2025 05:21:AM |
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application/vnd.openxmlformats-officedocument.spreadsheetml.sheet | 447.5 KB | 08/29/2025 07:11:AM |
Project Citation:
Zaman, Saeed. Macroeconomic Stars. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-08-29. https://doi.org/10.3886/E227362V1
Project Description
Summary:
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Summary:
Quarterly time series (starting in 1959Q4) of estimates of macroeconomic stars and output gap.
These estimates of stars and other model objects were developed using a semi-structural model to jointly estimate “stars” — long-run levels of output (its growth rate), the unemployment rate, the real interest rate, productivity growth, price inflation, and wage inflation. It features links between survey expectations and stars, time-variation in macroeconomic relationships, and stochastic volatility. Survey data help discipline stars’ estimates and have been crucial in estimating a high-dimensional model since the pandemic. The model has desirable real-time properties, competitive forecasting performance, and superior fit to the data compared to variants without the empirical features mentioned above.
The paper that developed the model is available from the Working Paper Series of the Federal Reserve Bank of Cleveland - A Unified Framework to Estimate Macroeconomic Stars.
For the historical real-time archives: https://github.com/zamansaeed/macrostars/
Citation:
To learn more about the data and the model, see:
Zaman, Saeed. 2024. "A Unified Framework to Estimate Macroeconomic Stars." Working Paper No. 21-23R2. Federal Reserve Bank of Cleveland. https://doi.org/10.26509/frbc-wp-202123r2.
JEL Codes
C5, E4, E31, E24, O4
File Description:
Each vintage includes the posterior mean, 68% and 90% Credible Intervals for:
These data are updated by the authors and are not an official product of the Federal Reserve Bank of Cleveland.
Quarterly time series (starting in 1959Q4) of estimates of macroeconomic stars and output gap.
These estimates of stars and other model objects were developed using a semi-structural model to jointly estimate “stars” — long-run levels of output (its growth rate), the unemployment rate, the real interest rate, productivity growth, price inflation, and wage inflation. It features links between survey expectations and stars, time-variation in macroeconomic relationships, and stochastic volatility. Survey data help discipline stars’ estimates and have been crucial in estimating a high-dimensional model since the pandemic. The model has desirable real-time properties, competitive forecasting performance, and superior fit to the data compared to variants without the empirical features mentioned above.
The paper that developed the model is available from the Working Paper Series of the Federal Reserve Bank of Cleveland - A Unified Framework to Estimate Macroeconomic Stars.
For the historical real-time archives: https://github.com/zamansaeed/macrostars/
Citation:
To learn more about the data and the model, see:
Zaman, Saeed. 2024. "A Unified Framework to Estimate Macroeconomic Stars." Working Paper No. 21-23R2. Federal Reserve Bank of Cleveland. https://doi.org/10.26509/frbc-wp-202123r2.
JEL Codes
C5, E4, E31, E24, O4
File Description:
Each vintage includes the posterior mean, 68% and 90% Credible Intervals for:
- U-star: long-run level of unemployment rate
- R-star: long-run real rate of interest
- Pi-star: long-run level of price inflation
- P-star: long-run level of productivity growth
- W-star: long-run level of nominal wage inflation
- G-star: growth rate of potential output
- Output Gap: cyclical assessment of the US economy
- Persistence in price inflation (gap)
- Persistence in nominal wage inflation (gap)
- Slope of the price Phillips Curve
- Slope of the wage Phillips Curve
- Short-run passthrough from prices to wages
- Wedge: between W-star and (P-star + Pi-star)
- D: the catch all component in R-star equation
- Stochastic volatility price inflation gap
- Stochastic volatility nominal wage inflation gap
- Stochastic volatility labor productivity gap
- Stochastic volatility interest rate gap
- Stochastic volatility output gap
- Stochastic volatility UR gap
These data are updated by the authors and are not an official product of the Federal Reserve Bank of Cleveland.
Scope of Project
Subject Terms:
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econometrics;
modeling;
forcasting
Related Publications
Published Versions
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