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
2023-02-28
## calculating recursion for 2805 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 | 2023-02-28 | 29.76183 | -1.888190 | 0.4319714 |
## calculating recursion for 2805 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.831983 | 1.5976241 | 0.9345029 |
| 2020-06-02 | 2021-10-04 | -5.125153 | 1.5707920 | 0.9170833 |
| 2020-04-08 | 2020-06-01 | 22.633109 | -1.2439829 | 0.7728107 |
| 2021-10-05 | 2023-02-28 | 19.838999 | -0.8920839 | 0.7430428 |
## calculating recursion for 2805 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 |
| 2021-10-05 | 2023-02-28 | 19.83900 | -0.8920839 | 0.7430428 |
| 2022-10-21 | 2023-02-28 | -58.45764 | 6.2308020 | 0.7102045 |
| 2022-01-18 | 2023-02-28 | 29.76183 | -1.8881900 | 0.4319714 |
## calculating recursion for 2805 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.997538 | 2.4478119 | 0.9111718 |
| 2020-11-09 | 2021-01-05 | 414.499127 | -41.0832201 | 0.4503072 |
| 2021-01-06 | 2023-02-28 | 11.068622 | -0.5989813 | 0.4232956 |
| 2020-05-26 | 2020-11-06 | 2.864688 | 0.1746373 | 0.0280673 |
## calculating recursion for 2805 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.675830 | 0.9154820 |
| 2022-09-16 | 2023-02-28 | -230.71350 | 23.201274 | 0.9113180 |
| 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 2805 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-10 | -30.460770 | 3.5876346 | 0.9030602 |
| 2021-03-11 | 2022-11-03 | 22.326863 | -1.6720286 | 0.8203068 |
| 2022-11-04 | 2023-01-03 | 40.655676 | -3.4110769 | 0.8069441 |
| 2023-01-04 | 2023-02-28 | 9.537866 | -0.4031382 | 0.0743743 |
## calculating recursion for 2805 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-01-18 | -37.09210 | 4.1161597 | 0.9040889 |
| 2023-02-02 | 2023-02-28 | 257.65198 | -24.8849528 | 0.6125847 |
| 2022-01-19 | 2022-11-09 | 32.29757 | -2.7723262 | 0.3649809 |
| 2022-11-10 | 2023-02-01 | 14.42383 | -0.9947267 | 0.0084667 |
## calculating recursion for 2805 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.512755 | 2.4069408 | 0.8466705 |
| 2020-05-26 | 2020-11-05 | -1.036437 | 0.5038295 | 0.1524120 |
| 2020-11-06 | 2023-02-28 | 5.935695 | -0.1618496 | 0.0634686 |
