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
2023-03-13
## calculating recursion for 2814 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 | 2023-03-13 | 28.52174 | -1.765779 | 0.4135658 |
## calculating recursion for 2814 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.804615 | 1.5948728 | 0.9338255 |
| 2020-06-02 | 2021-09-24 | -5.330595 | 1.5914700 | 0.9161440 |
| 2020-04-08 | 2020-06-01 | 22.079258 | -1.1881793 | 0.7609839 |
| 2021-09-27 | 2023-03-13 | 19.310072 | -0.8407972 | 0.7294226 |
## calculating recursion for 2814 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 |
| 2021-09-27 | 2023-03-13 | 19.31007 | -0.8407972 | 0.7294226 |
| 2022-10-21 | 2023-03-13 | -44.20345 | 4.8286310 | 0.6065919 |
| 2022-01-18 | 2023-03-13 | 28.52174 | -1.7657790 | 0.4135658 |
## calculating recursion for 2814 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.963432 | 2.4443843 | 0.9111467 |
| 2021-01-06 | 2023-03-13 | 10.874242 | -0.5798073 | 0.4109778 |
| 2020-11-09 | 2021-01-05 | 107.966698 | -10.3459433 | 0.2510716 |
| 2020-05-26 | 2020-11-06 | 2.855854 | 0.1755295 | 0.0287702 |
## calculating recursion for 2814 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-04 | -50.94375 | 5.7036324 | 0.9183285 |
| 2020-03-05 | 2023-03-13 | 6.52338 | -0.1290746 | 0.0029736 |
| NA | NA | NA | NA | NA |
| NA | NA | NA | NA | NA |
## calculating recursion for 2814 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-09 | -30.389234 | 3.5804417 | 0.9019065 |
| 2021-03-10 | 2022-12-30 | 19.894641 | -1.4321811 | 0.7254500 |
| 2023-01-03 | 2023-03-13 | 8.424047 | -0.2962583 | 0.0642071 |
## removing 1 NA or infinite y value(s)
## calculating recursion for 2813 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 | 2023-03-13 | 74.04367 | -6.840619 | 0.2422234 |
| 2022-11-10 | 2023-01-31 | 15.89989 | -1.139941 | 0.0138523 |
## removing 1 NA or infinite y value(s)
## calculating recursion for 2813 datapoints
## adding back removed data points| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.4748129 | 2.4031260 | 0.8463342 |
| 2020-05-26 | 2020-11-05 | -0.9720686 | 0.4973401 | 0.1508064 |
| 2020-11-06 | 2023-03-13 | 5.7293471 | -0.1413958 | 0.0488022 |
