Board of Governors of Fed Reserve System
Selected Interest Rates
Percent, Not Seasonally Adjusted
The 3-Month Treasury Bill Rate is the yield received for investing in a government issued treasury security that has a maturity of 3 months. This is indicative of the overall health of the US economy and is considered the base risk-free interest rate.
The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Log variable will also perform well.
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
3-Month Treasury Bill: Secondary Market Rate
Auto Correction Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal and Trend Decompostion
Data shows autocorrectation indicating a need for differencing
The ACF indicates 1 order differencing is appropriate.
Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.50
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 2.44 p-value = 0.01 indicates that the data is not stationary.
The Shapiro-Wilk test returned W = 0.75 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 1.01 indicates the data are substantially skewed.
Hartigan's dip test score of 0.03 with a p-value of 0.00 inidcates the data is multimodal
Statistics (Pearson P/ df, lower => more normal)
Board of Governors of the Federal Reserve System (US), 3-Month Treasury Bill: Secondary Market Rate [DTB3], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DTB3, December 19, 2019.