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FEATURE ENGINEERING REPORT
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DATASET SUMMARY
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Input file: /app/sandbox/session_20251228_135128_cd3e46eedd35/workflow/data/consolidated_macro_data.csv
Output file: /app/sandbox/session_20251228_135128_cd3e46eedd35/workflow/data/feature_engineered_data.csv
Original dimensions: 396 rows × 19 features
Final dimensions: 372 rows × 208 columns
Date range: 1994-01-31 to 2024-12-31
Rows trimmed: 24 (6.1%)

FEATURE COUNTS
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Total features: 205
  - Original features: 19
  - YoY % change features: 9
  - MoM change features: 7
  - Rolling statistic features: 6
  - Lagged features: 164
Target variables: 3

FEATURES BY CATEGORY
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1. Original Features:
   - T10Y2Y
   - T10Y3M
   - BAA10Y
   - VIXCLS
   - MARKET_INDEX
   - ICSA
   - UNRATE
   - CIVPART
   - INDPRO
   - TCU
   - RSAFS
   - PCE
   - PERMIT
   - HOUST
   - CSUSHPISA
   - M2SL
   - BUSLOANS
   - USREC
   - UMCSENT

2. YoY % Change Features:
   - BUSLOANS_yoy_pct
   - CSUSHPISA_yoy_pct
   - HOUST_yoy_pct
   - INDPRO_yoy_pct
   - M2SL_yoy_pct
   - MARKET_INDEX_yoy_pct
   - PCE_yoy_pct
   - PERMIT_yoy_pct
   - RSAFS_yoy_pct

3. MoM Change Features:
   - BAA10Y_mom
   - CIVPART_mom
   - T10Y2Y_mom
   - T10Y3M_mom
   - TCU_mom
   - UNRATE_mom
   - VIXCLS_mom

4. Rolling Statistics:
   - BAA10Y_vol3
   - ICSA_ma3
   - ICSA_ma6
   - MARKET_INDEX_vol3
   - VIXCLS_ma3
   - VIXCLS_ma6

5. Lagged Features: 164 features (all original and transformed features with lags: [1, 3, 6, 12])

6. Target Variables:
   - target_3m
   - target_6m
   - target_12m

STATIONARITY ANALYSIS (ADF TESTS)
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Total features tested: 205
Stationary features (p < 0.05): 129 (62.9%)
Non-stationary features (p >= 0.05): 76 (37.1%)

Non-Stationary Features (p-value >= 0.05):
   - PCE: p=1.0000, ADF=2.9623
   - PCE_lag1: p=1.0000, ADF=2.8723
   - PCE_lag3: p=1.0000, ADF=2.8460
   - PCE_lag6: p=0.9991, ADF=2.7333
   - PCE_lag12: p=0.9991, ADF=2.5668
   - RSAFS: p=0.9979, ADF=1.6317
   - RSAFS_lag1: p=0.9978, ADF=1.5923
   - RSAFS_lag12: p=0.9976, ADF=1.5294
   - RSAFS_lag3: p=0.9974, ADF=1.4683
   - RSAFS_lag6: p=0.9966, ADF=1.2987
   - M2SL_lag1: p=0.9949, ADF=1.0653
   - M2SL_lag3: p=0.9945, ADF=1.0241
   - M2SL_lag6: p=0.9941, ADF=0.9802
   - M2SL: p=0.9928, ADF=0.8818
   - M2SL_lag12: p=0.9906, ADF=0.7401
   - CSUSHPISA: p=0.9857, ADF=0.5296
   - MARKET_INDEX_lag1: p=0.9853, ADF=0.5148
   - CSUSHPISA_lag1: p=0.9851, ADF=0.5077
   - CSUSHPISA_lag3: p=0.9846, ADF=0.4922
   - BUSLOANS_lag12: p=0.9843, ADF=0.4826
   - CSUSHPISA_lag12: p=0.9835, ADF=0.4556
   - BUSLOANS_lag6: p=0.9802, ADF=0.3657
   - MARKET_INDEX: p=0.9801, ADF=0.3637
   - BUSLOANS_lag3: p=0.9796, ADF=0.3523
   - MARKET_INDEX_lag3: p=0.9793, ADF=0.3439
   - BUSLOANS_lag1: p=0.9792, ADF=0.3426
   - CSUSHPISA_lag6: p=0.9753, ADF=0.2580
   - BUSLOANS: p=0.9725, ADF=0.2041
   - MARKET_INDEX_lag6: p=0.9553, ADF=-0.0378
   - MARKET_INDEX_lag12: p=0.9192, ADF=-0.3428
   - CIVPART_lag12: p=0.9116, ADF=-0.3907
   - CIVPART: p=0.9065, ADF=-0.4210
   - CIVPART_lag1: p=0.9054, ADF=-0.4274
   - CIVPART_lag6: p=0.9036, ADF=-0.4378
   - CIVPART_lag3: p=0.8951, ADF=-0.4837
   - PERMIT_lag12: p=0.6196, ADF=-1.3208
   - PERMIT_lag6: p=0.6029, ADF=-1.3566
   - PERMIT_lag1: p=0.6026, ADF=-1.3572
   - PERMIT: p=0.6006, ADF=-1.3615
   - PERMIT_lag3: p=0.5457, ADF=-1.4752
   - HOUST_lag12: p=0.4248, ADF=-1.7123
   - HOUST: p=0.4069, ADF=-1.7474
   - HOUST_lag6: p=0.4044, ADF=-1.7522
   - HOUST_lag3: p=0.4006, ADF=-1.7597
   - HOUST_lag1: p=0.3979, ADF=-1.7652
   - UMCSENT_lag3: p=0.3171, ADF=-1.9321
   - UMCSENT_lag1: p=0.3063, ADF=-1.9558
   - UMCSENT_lag6: p=0.2980, ADF=-1.9743
   - UMCSENT: p=0.2894, ADF=-1.9936
   - T10Y3M_lag12: p=0.1658, ADF=-2.3193
   - UMCSENT_lag12: p=0.1480, ADF=-2.3782
   - T10Y3M_lag6: p=0.1287, ADF=-2.4478
   - CSUSHPISA_yoy_pct_lag12: p=0.1274, ADF=-2.4528
   - T10Y3M_lag3: p=0.1215, ADF=-2.4755
   - HOUST_yoy_pct_lag6: p=0.0906, ADF=-2.6118
   - PERMIT_yoy_pct_lag6: p=0.0904, ADF=-2.6129
   - PERMIT_yoy_pct_lag3: p=0.0881, ADF=-2.6242
   - PERMIT_yoy_pct_lag12: p=0.0880, ADF=-2.6248
   - HOUST_yoy_pct_lag1: p=0.0860, ADF=-2.6348
   - HOUST_yoy_pct_lag3: p=0.0838, ADF=-2.6465
   - INDPRO_lag12: p=0.0826, ADF=-2.6526
   - HOUST_yoy_pct: p=0.0802, ADF=-2.6653
   - INDPRO_lag6: p=0.0787, ADF=-2.6735
   - HOUST_yoy_pct_lag12: p=0.0786, ADF=-2.6744
   - PERMIT_yoy_pct_lag1: p=0.0765, ADF=-2.6861
   - PERMIT_yoy_pct: p=0.0754, ADF=-2.6925
   - INDPRO: p=0.0711, ADF=-2.7172
   - INDPRO_lag3: p=0.0690, ADF=-2.7301
   - INDPRO_lag1: p=0.0655, ADF=-2.7517
   - CSUSHPISA_yoy_pct_lag3: p=0.0643, ADF=-2.7597
   - VIXCLS_ma6_lag12: p=0.0600, ADF=-2.7878
   - CSUSHPISA_yoy_pct_lag1: p=0.0583, ADF=-2.7996
   - VIXCLS_ma6_lag6: p=0.0562, ADF=-2.8146
   - CSUSHPISA_yoy_pct: p=0.0558, ADF=-2.8177
   - VIXCLS_ma6_lag3: p=0.0537, ADF=-2.8328
   - VIXCLS_ma6_lag1: p=0.0523, ADF=-2.8436

DATA QUALITY VERIFICATION
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Missing values in final dataset: 0
Target variables preserved: True
Temporal ordering maintained: True

METHODOLOGICAL NOTES
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1. YoY % changes calculated as: (X_t - X_{t-12}) / X_{t-12} * 100
2. MoM changes calculated as: X_t - X_{t-1}
3. Rolling statistics use min_periods=window to ensure full window coverage
4. All lags use .shift() to prevent look-ahead bias
5. Rows with any NaN values dropped to ensure clean training data
6. Target variables correctly aligned with feature timestamps

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END OF REPORT
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