The PMI index requires scraping a table from the ISM website, which is easy enough to do with the XML package.
Here's my code so far, please leave a comment and let me know what you think:
Tuesday, August 9, 2011
Forecasting recessions
John Hussman has a Recession Warning Composite that I am attempting to replicate/improve. The underlying data seems to be easy enough to get from FRED using the quantmod package in R. I don't quite understand the index Hussman is using for commercial paper, so I used the '3-month AA financial commercial paper index' from FRED.
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Sociable
great article, a question though. why not use the pmi from fred?
ReplyDeletehttp://research.stlouisfed.org/fred2/series/NAPM
That would be a much more reasonable way of doing things, wouldn't it!
ReplyDeleteI'll update my post, and put the screen-scraping code to another use...
Thank you!
Very cool. In Section 4, shouldn't the comment be 10 Year Treasuries?
ReplyDeleteOf course. Thanks for catching that!
ReplyDelete