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
2023-03-06
## calculating recursion for 2809 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 | 2023-03-06 | 28.97519 | -1.810541 | 0.4165707 |
## calculating recursion for 2809 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.831725 | 1.5975984 | 0.9344860 |
| 2020-06-02 | 2021-09-29 | -5.281610 | 1.5865067 | 0.9198567 |
| 2020-04-08 | 2020-06-01 | 22.632053 | -1.2438789 | 0.7685993 |
| 2021-09-30 | 2023-03-06 | 19.504371 | -0.8596073 | 0.7294178 |
## calculating recursion for 2809 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 |
| 2022-10-21 | 2023-03-06 | -54.40398 | 5.8319870 | 0.7391427 |
| 2021-09-30 | 2023-03-06 | 19.50437 | -0.8596073 | 0.7294178 |
| 2022-01-18 | 2023-03-06 | 28.97519 | -1.8105410 | 0.4165707 |
## calculating recursion for 2809 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.996790 | 2.4477371 | 0.9111268 |
| 2020-11-09 | 2021-01-05 | 459.139860 | -45.5594437 | 0.4669995 |
| 2021-01-06 | 2023-03-06 | 10.940876 | -0.5863758 | 0.4132609 |
| 2020-05-26 | 2020-11-06 | 2.858755 | 0.1752358 | 0.0282780 |
## calculating recursion for 2809 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.675830 | 0.9154820 |
| 2022-09-13 | 2023-03-06 | -204.20259 | 20.593112 | 0.8815901 |
| 2022-05-09 | 2022-09-12 | -111.06170 | 11.446113 | 0.7764581 |
| 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 2809 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-10 | -30.459323 | 3.5874892 | 0.9030184 |
| 2021-03-11 | 2022-11-03 | 22.327588 | -1.6721023 | 0.8201079 |
| 2022-11-04 | 2023-01-03 | 39.360292 | -3.2864018 | 0.7656939 |
| 2023-01-04 | 2023-03-06 | 7.491981 | -0.2062689 | 0.0328053 |
## calculating recursion for 2809 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-01-18 | -37.09210 | 4.116160 | 0.9040889 |
| 2022-01-19 | 2022-11-09 | 32.29757 | -2.772326 | 0.3649809 |
| 2023-02-01 | 2023-03-06 | 121.03489 | -11.458308 | 0.3563663 |
| 2022-11-10 | 2023-01-31 | 18.31072 | -1.377096 | 0.0191005 |
## calculating recursion for 2809 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.512202 | 2.4068858 | 0.8466418 |
| 2020-05-26 | 2020-11-05 | -1.025259 | 0.5027025 | 0.1518012 |
| 2020-11-06 | 2023-03-06 | 5.816705 | -0.1500842 | 0.0549725 |
