Colombia: Macroeconomic Data
Obtaining macroeconomic information can be an arduous task. In this post, we share a large macroeconomic database designed for empirical big data analysis.
Macroeconomic Data
Motivated by Michael W. McCracken who designed a large macroeconomic database of monthly and quarterly observation of the FRED database in the USA. We propose in the similar case for Colombia a macroeconomic database with the objective of having access to the information, facilitating the replication of the empirical work.
This macroeconomic database was created within the framework of the degree thesis project: “Nonlinear modeling (DLNM) of the effect of macroeconomic factors on the MSCI Colombia stock market capitalization index for the period 2001 to 2020”, to obtain the bachelor’s degree in Statistics from the Universidad del Valle. This work was carried out by Brayan Osorio-Vanegas and Carolina Ramirez-Patiño under the advice of Professor César Ojeda-Echeverry and myself.
Our database is fully balanced (153 variables), to achieve this we use a data imputation technique such as the iterative (regularized) PCA algorithm.
Files
- Metadata: Here, you can find all codes, description and sources for each variable.
Download Metadata.
- Database: Here, you can find 153 macroeconomic variables for Colombia.
Download Database.
Made by 🙌
📚 Brayan Osorio - Student of Statistic
(Universidad del Valle)
📚 Carolina Ramirez - Student of Statistic
(Universidad del Valle)
Orlando Joaqui Barandica
PhD(C) in Industrial Engineering
My research interests include energy markets, asset and liability management, quantitative finance, applied econometrics and statistical, and data visualization.