sdmxuse: Program to import statistical data within Stata using the SDMX standards

SDMX, which stands for Statistical Data and Metadata eXchange, is a standard developed by seven international organizations (BIS, ECB, Eurostat, IMF, OECD, the United Nations, and the World Bank) to facilitate the exchange of statistical data (https://sdmx.org/). The package sdmxuse aims at helping Stata users to download SDMX data directly within their favorite software. The program builds and sends a query to the statistical agency (using RESTful web services), then imports and formats the downloaded dataset (in XML format). Some initiatives, notably the SDMX connector by Attilio Mattiocco at the Bank of Italy (https://github.com/amattioc/SDMX), have already been implemented to facilitate the use of SDMX data for external users, but they all rely on the Java programming language. Formatting the data directly within Stata has proved to be quicker for large datasets, but it also offers a simpler way for users to address potential bugs. The last argument is of particular importance for a standard that is evolving relatively fast. The presentation will include an explanation of the functioning of the sdmxuse program as well as an illustration of its usefulness in the context of macroeconomic forecasting. Since the seminal work of Stock and Watson (2002), factor models have become widely used to compute early estimates (now-casting) of macroeconomic series (for example, Gross Domestic Product). More recent works (for example, Angelini et al. 2011) have shown that regressions on factors extracted from a large panel of time series outperform traditional bridge equations. But this trend has increased the need for datasets with many time series (often more than 100) that are updated immediately after new releases are made available (that is, almost daily). The package sdmxuse should be of interest for users wanting to work on the development of such models.