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
2023-02-24
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2020-05-27 | 2022-01-14 | -10.74748 | 2.134651 | 0.9199517 |
| 2013-05-06 | 2020-05-26 | -10.80709 | 2.119731 | 0.9184568 |
| 2012-05-04 | 2013-05-03 | -48.07578 | 5.945914 | 0.9039791 |
| 2012-01-05 | 2012-05-03 | -36.53595 | 4.762732 | 0.7309496 |
| 2022-01-18 | 2023-02-24 | 30.00509 | -1.912209 | 0.4359289 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.831955 | 1.5976213 | 0.9345067 |
| 2020-06-02 | 2021-10-05 | -5.074337 | 1.5656890 | 0.9161759 |
| 2020-04-08 | 2020-06-01 | 22.643939 | -1.2450785 | 0.7742974 |
| 2021-10-06 | 2023-02-24 | 19.936471 | -0.9015437 | 0.7457478 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-10-19 | -32.43363 | 3.7332560 | 0.9370586 |
| 2021-10-20 | 2022-10-20 | 66.54996 | -6.0921840 | 0.8834364 |
| 2021-10-06 | 2023-02-24 | 19.93647 | -0.9015437 | 0.7457478 |
| 2022-10-21 | 2023-02-24 | -58.02280 | 6.1880270 | 0.6963926 |
| 2022-01-18 | 2023-02-24 | 30.00509 | -1.9122090 | 0.4359289 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.99750 | 2.4478078 | 0.9111739 |
| 2020-11-09 | 2021-01-05 | 418.88776 | -41.5231868 | 0.4765129 |
| 2021-01-06 | 2023-02-24 | 11.11817 | -0.6038771 | 0.4272264 |
| 2020-05-26 | 2020-11-06 | 2.87072 | 0.1740290 | 0.0278533 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2022-09-16 | 2023-02-24 | -234.90230 | 23.613503 | 0.9173554 |
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.675830 | 0.9154820 |
| 2022-05-09 | 2022-09-15 | -102.34188 | 10.585606 | 0.7258709 |
| 2020-11-09 | 2022-05-06 | 17.40629 | -1.197267 | 0.2663964 |
| 2020-03-12 | 2020-11-06 | 25.53610 | -2.060042 | 0.2508647 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-10 | -30.461070 | 3.5876654 | 0.9030739 |
| 2021-03-11 | 2022-11-03 | 22.331986 | -1.6725313 | 0.8206448 |
| 2022-11-04 | 2023-01-03 | 40.040319 | -3.3519398 | 0.8092797 |
| 2023-01-04 | 2023-02-24 | 6.068413 | -0.0692341 | 0.0025382 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-01-18 | -37.09210 | 4.1161597 | 0.9040889 |
| 2023-02-02 | 2023-02-24 | 268.77166 | -25.9777366 | 0.5628457 |
| 2022-01-19 | 2022-11-09 | 32.29757 | -2.7723262 | 0.3649809 |
| 2022-11-10 | 2023-02-01 | 14.42630 | -0.9949702 | 0.0084702 |
## calculating recursion for 2803 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.512814 | 2.4069469 | 0.8466795 |
| 2020-05-26 | 2020-11-05 | -1.041047 | 0.5042946 | 0.1526042 |
| 2020-11-06 | 2023-02-24 | 5.983566 | -0.1665901 | 0.0670814 |
