National Home Price Index - SEAS ADJ

Source:
S&P Dow Jones Indices LLC

Release:
S&P/Case-Shiller

Units:
Index Jan 2000=100, Seasonally Adjusted

Frequency:
Monthly

Available Through:
09/30/2021

Why Use:

S&P/Case-Shiller U.S. National Home Price Index measures the retail value of single-family homes. This indicates overall economic strength as well as housing supply and demand.

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 Boxcox 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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National Home Price Index - SEAS ADJ

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.

Further differencing is reccommended

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.29 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.95 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of -0.09 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.03 with a p-value of 0.85 inidcates the data is unimodal

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

No transform
1.28
Box-cox
1.29
Log_b(x-a)
1.31
sqrt(x+a)
1.30
exp(x)
12.33
arcsinh(x)
1.31
Yeo-Johnson
1.29
OrderNorm
1.50

Citation:

S&P Dow Jones Indices LLC, S&P/Case-Shiller U.S. National Home Price Index [CSUSHPISA], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/CSUSHPISA, December 15, 2019.

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