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
2023-03-08
## calculating recursion for 2811 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 | 2023-03-08 | 28.75925 | -1.789221 | 0.4136244 |
## calculating recursion for 2811 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.831301 | 1.5975563 | 0.9344758 |
| 2020-06-02 | 2021-09-28 | -5.324872 | 1.5908532 | 0.9203511 |
| 2020-04-08 | 2020-06-01 | 22.646568 | -1.2453472 | 0.7670177 |
| 2021-09-29 | 2023-03-08 | 19.286894 | -0.8384642 | 0.7192657 |
## calculating recursion for 2811 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 | 2023-03-08 | -52.29450 | 5.6244920 | 0.7262305 |
| 2021-09-29 | 2023-03-08 | 19.28689 | -0.8384642 | 0.7192657 |
| 2022-01-18 | 2023-03-08 | 28.75925 | -1.7892210 | 0.4136244 |
## calculating recursion for 2811 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.99583 | 2.4476417 | 0.9110905 |
| 2020-11-09 | 2021-01-06 | 562.02666 | -55.8759424 | 0.5399452 |
| 2021-01-07 | 2023-03-08 | 10.90832 | -0.5830979 | 0.4126589 |
| 2020-05-26 | 2020-11-06 | 2.85876 | 0.1752355 | 0.0282703 |
## calculating recursion for 2811 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.675830 | 0.9154820 |
| 2022-09-13 | 2023-03-08 | -201.18846 | 20.296494 | 0.8791253 |
| 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 2811 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-10 | -30.458120 | 3.5873692 | 0.9030038 |
| 2021-03-11 | 2022-11-03 | 22.332440 | -1.6725808 | 0.8203140 |
| 2022-11-04 | 2023-01-03 | 38.484789 | -3.2021826 | 0.7485010 |
| 2023-01-04 | 2023-03-08 | 7.043699 | -0.1631182 | 0.0398582 |
## removing 1 NA or infinite y value(s)
## calculating recursion for 2810 datapoints
## adding back removed data points| 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 | 2023-03-08 | 108.79629 | -10.255718 | 0.3595371 |
| 2022-11-10 | 2023-01-31 | 16.90501 | -1.238785 | 0.0158212 |
## removing 1 NA or infinite y value(s)
## calculating recursion for 2810 datapoints
## adding back removed data points| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.511555 | 2.4068216 | 0.8466289 |
| 2020-05-26 | 2020-11-05 | -1.020261 | 0.5021987 | 0.1514455 |
| 2020-11-06 | 2023-03-08 | 5.737574 | -0.1422763 | 0.0497329 |
