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
2023-03-02
## calculating recursion for 2807 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 | 2023-03-02 | 29.56552 | -1.868807 | 0.4297021 |
## calculating recursion for 2807 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.831873 | 1.5976131 | 0.9344917 |
| 2020-06-02 | 2021-09-30 | -5.228672 | 1.5811892 | 0.9189009 |
| 2020-04-08 | 2020-06-01 | 22.629695 | -1.2436394 | 0.7700060 |
| 2021-10-01 | 2023-03-02 | 19.649113 | -0.8736719 | 0.7362668 |
## calculating recursion for 2807 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 |
| 2021-10-01 | 2023-03-02 | 19.64911 | -0.8736719 | 0.7362668 |
| 2022-10-21 | 2023-03-02 | -58.41611 | 6.2267170 | 0.7197054 |
| 2022-01-18 | 2023-03-02 | 29.56552 | -1.8688070 | 0.4297021 |
## calculating recursion for 2807 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.99715 | 2.4477733 | 0.9111438 |
| 2020-11-09 | 2021-01-05 | 435.69249 | -43.2083426 | 0.4497015 |
| 2021-01-06 | 2023-03-02 | 11.00527 | -0.5927310 | 0.4184571 |
| 2020-05-26 | 2020-11-06 | 2.86023 | 0.1750871 | 0.0282272 |
## calculating recursion for 2807 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.675830 | 0.9154820 |
| 2022-09-16 | 2023-03-02 | -227.72596 | 22.907267 | 0.9089926 |
| 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 2807 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-10 | -30.459917 | 3.5875488 | 0.9030311 |
| 2021-03-11 | 2022-11-02 | 22.383553 | -1.6776179 | 0.8209786 |
| 2022-11-03 | 2023-01-03 | 42.184112 | -3.5581479 | 0.8097465 |
| 2023-01-04 | 2023-03-02 | 9.159179 | -0.3666877 | 0.0869744 |
## calculating recursion for 2807 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-01-18 | -37.09210 | 4.116160 | 0.9040889 |
| 2023-02-01 | 2023-03-02 | 192.47292 | -18.480067 | 0.4511406 |
| 2022-01-19 | 2022-11-09 | 32.29757 | -2.772326 | 0.3649809 |
| 2022-11-10 | 2023-01-31 | 21.94025 | -1.734031 | 0.0273332 |
## calculating recursion for 2807 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.512475 | 2.4069129 | 0.8466516 |
| 2020-05-26 | 2020-11-05 | -1.028700 | 0.5030493 | 0.1520041 |
| 2020-11-06 | 2023-03-02 | 5.878882 | -0.1562332 | 0.0594297 |
