Single-Family Mortgage Delinq. Rate - Not Seas Adj
Why Use This Data Source In Your Models?
The delinquency rate measures the inability of consumers to pay their mortgage. This is indicative of economic health and can indicate recessions, unemployment, and other factors that cause loss of income.
Single-Family Mortgage Delinq. Rate - Not Seas Adj
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Suggested Treatment:
Grain Transformation:
Source:
Board of Governors of the Federal Reserve
Release:
Mortgage Rates
Units:
Percent, Not Seasonally Adjusted
Frequency:
Quarterly, end of period
Available Through:
12/31/2024
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.
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 = 0.86 with a p-value =0.00 indicating the data does not follow a normal distribution.
A skewness score of 0.82 indicates the data are moderately skewed.
Hartigan's dip test score of 0.03 with a p-value of 0.99 inidcates the data is unimodal
Statistics (Pearson P/ df, lower => more normal)
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), Delinquency Rate on Single-Family Residential Mortgages, Booked in Domestic Offices, All Commercial Banks [DRSFRMACBS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DRSFRMACBN, November 8, 2019.
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