Smoothed U.S. Recession Probabilities

Source:
Hamilton, James

Release:
U.S. Recessions

Units:
Percent, Not Seasonally Adjusted

Frequency:
Monthly

Available Through:
10/31/2021

Why Use:

Smoothed US recession probabilities measures the liklihood that the US is in or will enter an economic recession. This is useful for describing the overall economic situation in the US.

Suggested Treatment:

The data shows seasonality. The data should be adjusted. While the Log 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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Smoothed U.S. Recession Probabilities

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion

Autocorrectation Analysis:

Data does not show strong autocorrectation indicating no need for differencing

The ACF indicates 0 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.41

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.16 p-value = 0.04 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.60 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 4.38 indicates the data are substantially skewed.

Hartigan's dip test score of 0.05 with a p-value of 0.05 inidcates the data is multimodal

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

No transform
3.51
Box-cox
NA
Log_b(x-a)
1.45
sqrt(x+a)
1.64
exp(x)
NA
arcsinh(x)
3.27
Yeo-Johnson
1.54
OrderNorm
1.60

Citation:

Piger, Jeremy Max and Chauvet, Marcelle, Smoothed U.S. Recession Probabilities [RECPROUSM156N], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/RECPROUSM156N, December 19, 2019.

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