Read in DAILY data from FRED

[ac_1]

Hi Tom,

I am reading in DAILY(7/Daily) data from FRED as:

Code: Select all

calendar(7) 1954:7:01
data(format=fred) 1954:7:01 %allocend() DFF
prin / DFF
stats DFF

set filter_missing = %valid(DFF)
sample(smpl=filter_missing) DFF / cDFF
calendar(irregular)
all %nobs
stats cDFF

prin / cDFF

an irregular series with weekends removed.

Plotting cDFF the series is very 'spikey'

How do I remove the non-trading days?

thanks,
Amarjit

[TomDoan]

Why are you reading that as seven-day rather than five-day data? So far as I can tell, it never has any weekend data.

[ac_1]

Yes, even though https://fred.stlouisfed.org/series/DFF is Frequency: Daily, 7-Day; and if I download the Excel/CSV file the data is 7 days a week, I can read in as 5 days.

Code: Select all

calendar(d)

[ac_1]

I usually read in Daily data as IRREGULAR.

DFF is Frequency: Daily, 7-Day, read into RATS with CALENDAR(D) as 5 periods per week.

The following is a U.S. Holiday Archive list https://www.sifma.org/resources/general ... y-archive/ - I'm not certain it's definitive. Is it possible to map the holiday archive back (unfortunately only) from 1996 to remove those days?

Similarly, a list for future holidays https://www.nyse.com/markets/hours-calendars years 2023, 2024, 2025. Is it possible to map these holiday's forward?

Hence, allowing forecasts with CALENDAR(D) data, rather than IRREGULAR, taking into account future holidays?

[TomDoan]

I'm not sure what the point is of doing that into the future. The Fed Funds rate on December 25, 2025 will be the Fed Funds rate from December 24, 2025. That's what FRED is doing on the Excel spreadsheets.

[ac_1]

I can remove the non-trading days with e.g.

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set DFF 2023:01:16 2023:01:16 = %na; * Martin Luther King, Jr. Day

And I think it's better to use IRREGULAR with this particular data set.