{
  "analysis_status": "Exploratory follow-up on the same retrospective, revised data vintage. Specification fixed before computing follow-up estimates.",
  "protocol_sha256": "fa52a5c4544a407331554119c1b603f96425559717936b71d2ab38b9ebd08300",
  "input": {
    "experiment": "FSIE-001",
    "analysis_sha256": "2b6702e018e1b92aa0973b936457d7f77698c2b52ac514320cc0e8fe406efac4",
    "weeks": 1400,
    "start": "2000-01-07",
    "end": "2026-10-30",
    "frozen_sources_rehashed": 13,
    "original_lag_tests_reproduced": 28,
    "original_holm_rejections": 0
  },
  "primary_hac_lags": 26,
  "alpha": 0.05,
  "software": {
    "python": "3.12.14",
    "statsmodels": "0.15.0",
    "pandas": "3.1.1",
    "numpy": "2.5.4",
    "duckdb": "2.0.0"
  },
  "tests": [
    {
      "id": "M1",
      "kind": "magnitude",
      "spread": "spread_10y2y_bp",
      "index": "NFCI",
      "null": "Mean absolute weekly move of the 10Y–2Y spread is the same after tighter and other reference weeks.",
      "n": 1398,
      "exposed": 130,
      "other": 1268,
      "anchor_start": "2000-01-21",
      "anchor_end": "2026-10-30",
      "unit": "basis_points",
      "full_sample": {
        "13": {
          "effect": 3.736617325891829,
          "se": 1.0946918112613209,
          "ci95": [
            1.5910608016487218,
            5.8821738501349365
          ],
          "p_hac": 0.0006415849556226775,
          "p_holm": 0.0019247548668680325,
          "reject_holm": true
        },
        "26": {
          "effect": 3.736617325891829,
          "se": 1.0969666622593297,
          "ci95": [
            1.5866021756224296,
            5.886632476161228
          ],
          "p_hac": 0.0006584542700065027,
          "p_holm": 0.001975362810019508,
          "reject_holm": true
        },
        "52": {
          "effect": 3.736617325891829,
          "se": 1.0512028333492773,
          "ci95": [
            1.676297632080785,
            5.796937019702873
          ],
          "p_hac": 0.0003785384549635261,
          "p_holm": 0.0011356153648905782,
          "reject_holm": true
        }
      },
      "means": {
        "tighter": 9.561538461538468,
        "other": 5.82492113564669
      },
      "chronological_halves": [
        {
          "n": 676,
          "exposed": 122,
          "other": 554,
          "anchor_start": "2000-01-21",
          "anchor_end": "2012-12-28",
          "effect": 3.4467952891045917
        },
        {
          "n": 720,
          "exposed": 8,
          "other": 712,
          "anchor_start": "2013-01-18",
          "anchor_end": "2026-10-30",
          "effect": 1.903089887640473
        }
      ]
    },
    {
      "id": "M2",
      "kind": "magnitude",
      "spread": "spread_10y3m_bp",
      "index": "NFCI",
      "null": "Mean absolute weekly move of the 10Y–3M spread is the same after tighter and other reference weeks.",
      "n": 1398,
      "exposed": 130,
      "other": 1268,
      "anchor_start": "2000-01-21",
      "anchor_end": "2026-10-30",
      "unit": "basis_points",
      "full_sample": {
        "13": {
          "effect": 7.567774811938953,
          "se": 1.6413188191561272,
          "ci95": [
            4.3508490392451336,
            10.784700584632773
          ],
          "p_hac": 0.000004011434752532916,
          "p_holm": 0.000016045739010131664,
          "reject_holm": true
        },
        "26": {
          "effect": 7.567774811938953,
          "se": 1.5972623688640428,
          "ci95": [
            4.437198095104298,
            10.698351528773609
          ],
          "p_hac": 0.0000021587400940615375,
          "p_holm": 0.00000863496037624615,
          "reject_holm": true
        },
        "52": {
          "effect": 7.567774811938953,
          "se": 1.6127905499387285,
          "ci95": [
            4.406763419452498,
            10.728786204425408
          ],
          "p_hac": 0.0000027008694528163445,
          "p_holm": 0.000010803477811265378,
          "reject_holm": true
        }
      },
      "means": {
        "tighter": 16.87692307692308,
        "other": 9.309148264984227
      },
      "chronological_halves": [
        {
          "n": 676,
          "exposed": 122,
          "other": 554,
          "anchor_start": "2000-01-21",
          "anchor_end": "2012-12-28",
          "effect": 7.22714091258806
        },
        {
          "n": 720,
          "exposed": 8,
          "other": 712,
          "anchor_start": "2013-01-18",
          "anchor_end": "2026-10-30",
          "effect": -0.7106741573033468
        }
      ]
    },
    {
      "id": "I1",
      "kind": "inversion",
      "spread": "spread_10y3m_bp",
      "index": "NFCI",
      "null": "10Y–3M inversion has zero association with the 13-week NFCI change conditional on the starting level and prior 4-week change.",
      "n": 1383,
      "exposed": 231,
      "other": 1152,
      "anchor_start": "2000-02-04",
      "anchor_end": "2026-07-31",
      "unit": "index_units",
      "full_sample": {
        "13": {
          "effect": -0.003731651600816106,
          "se": 0.02634317551277747,
          "ci95": [
            -0.055363326844277416,
            0.0479000236426452
          ],
          "p_hac": 0.887352249121955,
          "p_holm": 1,
          "reject_holm": false
        },
        "26": {
          "effect": -0.003731651600816106,
          "se": 0.027625949947432192,
          "ci95": [
            -0.057877518536489404,
            0.05041421533485719
          ],
          "p_hac": 0.8925503892589399,
          "p_holm": 1,
          "reject_holm": false
        },
        "52": {
          "effect": -0.003731651600816106,
          "se": 0.02692227076313141,
          "ci95": [
            -0.05649833267858935,
            0.049035029476957134
          ],
          "p_hac": 0.8897596425474769,
          "p_holm": 1,
          "reject_holm": false
        }
      },
      "chronological_halves": [
        {
          "n": 661,
          "exposed": 80,
          "other": 581,
          "anchor_start": "2000-02-04",
          "anchor_end": "2012-09-28",
          "effect": 0.005576152724333693
        },
        {
          "n": 705,
          "exposed": 151,
          "other": 554,
          "anchor_start": "2013-02-01",
          "anchor_end": "2026-07-31",
          "effect": 0.02463958112773828
        }
      ]
    },
    {
      "id": "I2",
      "kind": "inversion",
      "spread": "spread_10y3m_bp",
      "index": "Credit",
      "null": "10Y–3M inversion has zero association with the 13-week Credit subindex change conditional on the starting level and prior 4-week change.",
      "n": 1383,
      "exposed": 231,
      "other": 1152,
      "anchor_start": "2000-02-04",
      "anchor_end": "2026-07-31",
      "unit": "index_units",
      "full_sample": {
        "13": {
          "effect": 0.006198626311512567,
          "se": 0.02887205305339625,
          "ci95": [
            -0.050389557832873785,
            0.06278681045589891
          ],
          "p_hac": 0.8300067176433165,
          "p_holm": 1,
          "reject_holm": false
        },
        "26": {
          "effect": 0.006198626311512567,
          "se": 0.029147255028549528,
          "ci95": [
            -0.05092894379264849,
            0.06332619641567362
          ],
          "p_hac": 0.8315875905714321,
          "p_holm": 1,
          "reject_holm": false
        },
        "52": {
          "effect": 0.006198626311512567,
          "se": 0.028455423471115345,
          "ci95": [
            -0.04957297885670924,
            0.06197023147973437
          ],
          "p_hac": 0.8275566015376645,
          "p_holm": 1,
          "reject_holm": false
        }
      },
      "chronological_halves": [
        {
          "n": 661,
          "exposed": 80,
          "other": 581,
          "anchor_start": "2000-02-04",
          "anchor_end": "2012-09-28",
          "effect": 0.02249949541395098
        },
        {
          "n": 705,
          "exposed": 151,
          "other": 554,
          "anchor_start": "2013-02-01",
          "anchor_end": "2026-07-31",
          "effect": 0.004319385098601521
        }
      ]
    }
  ],
  "methods": {
    "alignment": "Use the original 1,400-Friday common grid and the last actual Treasury session of the same week. No filling or interpolation.",
    "alternative": "two-sided",
    "covariance": "Newey-West HAC, Bartlett weights, asymptotic normal reference, as in the original study",
    "hac_lags": 26,
    "sensitivity_hac_lags": [
      13,
      52
    ],
    "split_date": "2013-01-04",
    "split_rule": "Recompute each fixed model separately in the two chronological halves, keeping each predictor and outcome entirely within the corresponding half. Use for direction only.",
    "multiplicity": "Holm across all four tests at each reported HAC bandwidth. Nominal individual 95% HAC intervals.",
    "tight_threshold": 0,
    "stress_lag_weeks": 2,
    "inversion_threshold_bp": 0,
    "inversion_horizon_weeks": 13,
    "recent_change_weeks": 4,
    "sources": {
      "original_study": "https://mattoccia.com/research-engines/markets/fsie-001/",
      "chicago_fed_definition": "https://www.chicagofed.org/research/data/nfci/about",
      "chicago_fed_release_and_revisions": "https://www.chicagofed.org/research/data/nfci/current-data",
      "chicago_fed_components": "https://www.chicagofed.org/-/media/publications/nfci/nfci-indicators-list-pdf.pdf?hash=5EA24A8B0B2329B41EC9318121B4AD9D&sc_lang=en",
      "ny_fed_term_spread_reference": "https://www.newyorkfed.org/research/capital_markets/ycfaq"
    }
  }
}