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
2023-03-15
## calculating recursion for 2816 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 | 2023-03-15 | 28.33197 | -1.747052 | 0.4132469 |
## calculating recursion for 2816 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.804999 | 1.594912 | 0.9338006 |
| 2020-06-02 | 2021-09-23 | -5.359741 | 1.594397 | 0.9160739 |
| 2020-04-08 | 2020-06-01 | 22.054967 | -1.185734 | 0.7598713 |
| 2021-09-24 | 2023-03-15 | 19.193528 | -0.829467 | 0.7273073 |
## calculating recursion for 2816 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-10-19 | -32.43363 | 3.733256 | 0.9370586 |
| 2021-10-20 | 2022-10-20 | 66.54996 | -6.092184 | 0.8834364 |
| 2021-09-24 | 2023-03-15 | 19.19353 | -0.829467 | 0.7273073 |
| 2022-10-21 | 2023-03-15 | -38.16714 | 4.234895 | 0.5155628 |
| 2022-01-18 | 2023-03-15 | 28.33197 | -1.747052 | 0.4132469 |
## calculating recursion for 2816 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.964043 | 2.4444468 | 0.9111256 |
| 2021-01-06 | 2023-03-15 | 10.831206 | -0.5755679 | 0.4096531 |
| 2020-11-09 | 2021-01-05 | 100.020278 | -9.5491018 | 0.2222744 |
| 2020-05-26 | 2020-11-06 | 2.859213 | 0.1751907 | 0.0286331 |
## calculating recursion for 2816 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-04 | -50.943751 | 5.7036324 | 0.9183285 |
| 2020-03-05 | 2023-03-15 | 6.477853 | -0.1245236 | 0.0027848 |
| NA | NA | NA | NA | NA |
| NA | NA | NA | NA | NA |
## calculating recursion for 2816 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-09 | -30.389758 | 3.580495 | 0.9018773 |
| 2021-03-10 | 2022-12-30 | 19.895150 | -1.432232 | 0.7255517 |
| 2023-01-03 | 2023-03-15 | 9.274075 | -0.378003 | 0.1268987 |
## removing 1 NA or infinite y value(s)
## calculating recursion for 2815 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 | 2023-03-15 | 69.95703 | -6.438789 | 0.2688906 |
| 2022-11-10 | 2023-01-31 | 14.77226 | -1.029051 | 0.0117441 |
## removing 1 NA or infinite y value(s)
## calculating recursion for 2815 datapoints
## adding back removed data points| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.4755862 | 2.4032049 | 0.8463268 |
| 2020-05-26 | 2020-11-05 | -0.9766919 | 0.4978065 | 0.1509267 |
| 2020-11-06 | 2023-03-15 | 5.6630840 | -0.1348547 | 0.0447229 |
