Tests / cpi_leading_indicator_dispersion_leads

CPI Leading Indicator Dispersion Leads

AMBIGUOUSEmpirical MethodsHIGH confidence

Description

Figures

CPI Leading Indicator: Detection AsymmetryCPI Leading Indicator: Detection Asymmetry

Statistics

p value0.1203
evidence[cross-corr lead, turning points]
statistic-0.2957
cross corr-0.2957
n evidence2
granger verdictAMBIGUOUS
auc headline 12m0.6931
mean lead months11.5500
auc dispersion 12m0.5643
optimal lag months24
n turning point matches18

Script

thesis-tests/tests/dynamics/test_cpi_leading_indicator.py

Reproduction Steps

cd thesis-tests && source ../.venv/bin/activate
python download_data.py --source all
python run_all.py --test test_cpi_leading_indicator

Data Sources

  • BLS