All-Transactions, United States

Source:
U.S. Federal Housing Finance Agency

Release:
House Price Index

Units:
Index 1980:Q1=100, Not Seasonally Adjusted

Frequency:
Quarterly

Available Through:
09/30/2021

Why Use:

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Arcsin transformation, provides the best normality, the Log variable will also perform well.

Grain Transformation:

Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.

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All-Transactions, United States

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion

Autocorrectation Analysis:

Data shows autocorrectation indicating a need for differencing

The ACF indicates 2 order differencing is appropriate.

Further differencing is reccommended

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.36 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.94 with a p-value =0.06 indicating the data follows a normal distribution.

A skewness score of 0.27 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.03 with a p-value of 1.00 inidcates the data is unimodal

Statistics (Pearson P/ df, lower => more normal)

No transform
1.31
Box-cox
1.31
Log_b(x-a)
1.23
sqrt(x+a)
1.23
exp(x)
3.20
arcsinh(x)
1.23
Yeo-Johnson
1.31
OrderNorm
1.59

Citation:

U.S. Federal Housing Finance Agency, All-Transactions House Price Index for the United States [USSTHPI], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/USSTHPI, November 8, 2019.

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