Percent, Not Seasonally Adjusted
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.
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.
Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.
Smoothed U.S. Recession Probabilities
Auto Correction Function
Auto Correlation Function After Differencing
Partial Auto Correlation Function
Seasonal and Trend Decompostion
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
The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.16 p-value = 0.04 indicates that the data is not stationary.
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)
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.