READY SIGNAL CONTROL DATA

2-Year Treasury Constant Maturity Rate

Why Use This Data Source In Your Models?

The 2-Year Treasury Bill Rate is the yield received for investing in a government issued treasury security that has a maturity of 2 years. This is indicative of the overall health of the US economy.

2-Year Treasury Constant Maturity Rate

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Automated Data Profiling

Ready Signal automatically profiles each data set and offers up suggested industry standard data science treatments to utilize with these data in your models.

Suggested Treatment:

The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm 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.

Source:
Board of Governors of Fed Reserve System

Release:
Selected Interest Rates

Units:
Percent, Not Seasonally Adjusted

Frequency:
Daily

Available Through:
03/26/2024

Suggested Treatment:

The data shows auto correlation and a non-normal distribution. The data should be differenced. While the Order Norm 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.

Auto Correlation Analysis:

Data shows auto correlation indicating a need for differencing

The ACF indicates 2 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.03

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 1.61 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.84 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 1.24 indicates the data are substantially skewed.

Hartigan's dip test score of 0.02 with a p-value of 0.00 inidcates the data is multimodal

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

No transform
80.54
Box-cox
5.26
Log_b(x-a)
5.36
sqrt(x+a)
8.36
exp(x)
76.62
arcsinh(x)
12.54
Yeo-Johnson
8.39
OrderNorm
1.19

Auto Correlation Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion


Citation:

Board of Governors of the Federal Reserve System (US), 2-Year Treasury Constant Maturity Rate [DGS2], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DGS2, December 19, 2019.

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