Evaluating Wilshire 5000 Using Regression to NGDP Current
Dollar (NGDP)
Applies R package “dpseg” segment selection regression for daily NGDP
(disaggregated) quarterly to
daily, made current using Atlanta Fed GDPNow and Cleveland Fed inflation
Livecasting.
George Robertson
2023-02-17
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2020-05-28 | 2022-01-18 | -10.75180 | 2.134982 | 0.9202573 |
| 2013-05-07 | 2020-05-27 | -10.82729 | 2.121758 | 0.9189756 |
| 2012-05-07 | 2013-05-06 | -48.04340 | 5.942495 | 0.9040482 |
| 2012-01-05 | 2012-05-04 | -37.91078 | 4.904621 | 0.7431219 |
| 2022-01-19 | 2023-02-17 | 30.94096 | -2.004553 | 0.4534016 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-08 | -5.850633 | 1.5994771 | 0.9347481 |
| 2020-06-03 | 2021-10-07 | -5.003359 | 1.5584605 | 0.9156966 |
| 2020-04-09 | 2020-06-02 | 22.737082 | -1.2547446 | 0.7698523 |
| 2021-10-08 | 2023-02-17 | 20.220517 | -0.9291195 | 0.7539376 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-10-19 | -39.64354 | 4.4470270 | 0.9538530 |
| 2021-10-20 | 2022-10-20 | 62.65790 | -5.7102670 | 0.8714646 |
| 2021-10-08 | 2023-02-17 | 20.22052 | -0.9291195 | 0.7539376 |
| 2022-10-21 | 2023-02-17 | -67.90813 | 7.1600020 | 0.7142624 |
| 2022-01-19 | 2023-02-17 | 30.94096 | -2.0045530 | 0.4534016 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -24.302351 | 2.8622653 | 0.9143447 |
| 2020-11-09 | 2021-01-05 | 467.058572 | -46.3593994 | 0.5138752 |
| 2021-01-06 | 2023-02-17 | 9.974880 | -0.4952057 | 0.3312972 |
| 2020-05-26 | 2020-11-06 | 1.285011 | 0.3266711 | 0.0924686 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -57.11670 | 6.321393 | 0.9313963 |
| 2022-09-16 | 2023-02-17 | -249.76135 | 25.076051 | 0.9248563 |
| 2022-05-09 | 2022-09-15 | -101.96143 | 10.548020 | 0.7301109 |
| 2020-11-09 | 2022-05-06 | 17.41515 | -1.198160 | 0.2665159 |
| 2020-03-12 | 2020-11-06 | 25.53145 | -2.059594 | 0.2502769 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-10 | -34.555938 | 3.9916024 | 0.9136166 |
| 2021-03-11 | 2022-11-03 | 22.368568 | -1.6761505 | 0.8214307 |
| 2022-11-04 | 2023-01-03 | 38.121238 | -3.1674382 | 0.7648641 |
| 2023-01-04 | 2023-02-17 | -4.764564 | 0.9735848 | 0.2551448 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-06-02 | -40.3956336 | 4.4368821 | 0.8999770 |
| 2020-06-03 | 2020-11-05 | -0.5156883 | 0.4478535 | 0.1573967 |
| 2023-02-02 | 2023-02-17 | 60.1947064 | -5.4796406 | 0.0643316 |
| 2020-11-06 | 2023-02-01 | 6.9892530 | -0.2702133 | 0.0315709 |
## calculating recursion for 2799 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -24.874127 | 2.8341251 | 0.8687857 |
| 2020-05-26 | 2020-11-05 | -1.482450 | 0.5455506 | 0.1734795 |
| 2020-11-06 | 2023-02-17 | 5.478564 | -0.1186905 | 0.0348132 |
