Consumer Sentiment

Source:
University of Michigan

Release:
Consumer Sentiment

Units:
Index 1966Q1=100, Not Seasonally Adjusted

Frequency:
Monthly

Available Through:
10/31/2021

Why Use:

Consumer sentiment is an economic indicator that measures how optimistic consumers feel about their finances and the state of the US economy, indicating individual's feelings toward his or her current financial health, the health of the economy in the short-term and the prospects for longer-term economic growth. This is used to predict consumer behavior.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Yeo Johnson 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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Consumer Sentiment

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 1 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.13

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.21 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.91 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of -0.55 indicates the data are moderately skewed.

Hartigan's dip test score of 0.03 with a p-value of 0.62 inidcates the data is unimodal

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

No transform
1.91
Box-cox
1.70
Log_b(x-a)
1.88
sqrt(x+a)
1.90
exp(x)
8.59
arcsinh(x)
1.88
Yeo-Johnson
1.62
OrderNorm
1.45

Citation:

University of Michigan, University of Michigan: Consumer Sentiment [UMCSENT], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/UMCSENT, December 15, 2019.

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