Leading Index by US State

Source:
Federal Reserve Bank of Philadelphia

Release:
Leading Index

Units:
Percent, Seasonally Adjusted

Frequency:
Monthly

Available Through:
02/29/2020

Why Use:

The Conference Board Leading Economic Index is an American economic leading indicator derived from ten key variables. Data scientists use this to forecast future economic activity.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Untransformed 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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Leading Index by US State

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 -0.10

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.26 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.99 with a p-value =0.73 indicating the data follows a normal distribution.

A skewness score of 0.02 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.02 with a p-value of 1.00 inidcates the data is unimodal

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

No transform
1.11
Box-cox
NA
Log_b(x-a)
1.62
sqrt(x+a)
1.15
exp(x)
NA
arcsinh(x)
1.35
Yeo-Johnson
1.12
OrderNorm
1.25

Data Notes:

The following states do not report for this feature: District of Columbia, Puerto Rico.

Citation:

Federal Reserve Bank of Philadelphia, Leading Index, retrieved from FRED, Federal Reserve Bank of St. Louis; January 27, 2020.

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