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
2023-03-29
## calculating recursion for 2826 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 | 2023-03-29 | 27.70844 | -1.685490 | 0.4107386 |
## calculating recursion for 2826 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.804667 | 1.5948757 | 0.9338242 |
| 2020-06-02 | 2021-09-23 | -5.352856 | 1.5937079 | 0.9159336 |
| 2020-04-08 | 2020-06-01 | 22.079915 | -1.1882526 | 0.7600014 |
| 2021-09-24 | 2023-03-29 | 19.168091 | -0.8269725 | 0.7322860 |
## calculating recursion for 2826 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 |
| 2021-09-24 | 2023-03-29 | 19.16809 | -0.8269725 | 0.7322860 |
| 2022-10-21 | 2023-03-08 | -51.04068 | 5.5011460 | 0.7232458 |
| 2022-01-18 | 2023-03-29 | 27.70844 | -1.6854900 | 0.4107386 |
## calculating recursion for 2826 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.963794 | 2.4444175 | 0.9111639 |
| 2021-01-06 | 2023-03-29 | 10.827818 | -0.5752255 | 0.4159351 |
| 2020-11-09 | 2021-01-05 | 98.798372 | -9.4266457 | 0.2119037 |
| 2020-05-26 | 2020-11-06 | 2.859739 | 0.1751378 | 0.0286193 |
## calculating recursion for 2826 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.6758303 | 0.9154820 |
| 2022-04-27 | 2023-03-29 | -76.37752 | 8.0228933 | 0.6663113 |
| 2020-03-12 | 2020-11-06 | 25.53610 | -2.0600415 | 0.2508647 |
| 2020-11-09 | 2022-04-26 | 15.39509 | -0.9966039 | 0.2287700 |
## calculating recursion for 2826 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-09 | -30.389210 | 3.5804355 | 0.9018877 |
| 2021-03-10 | 2022-12-19 | 20.366538 | -1.4787434 | 0.7492447 |
| 2022-12-20 | 2023-03-29 | 6.777683 | -0.1396468 | 0.0050754 |
## calculating recursion for 2826 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-01-18 | -37.09210 | 4.116160 | 0.9040889 |
| 2023-02-01 | 2023-03-29 | 75.72014 | -7.005341 | 0.4090533 |
| 2022-01-19 | 2022-11-09 | 32.29757 | -2.772326 | 0.3649809 |
| 2022-11-10 | 2023-01-31 | 18.25106 | -1.371268 | 0.0186984 |
## calculating recursion for 2826 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.4742577 | 2.4030668 | 0.8462854 |
| 2020-05-26 | 2020-11-05 | -0.9743199 | 0.4975677 | 0.1508243 |
| 2020-11-06 | 2023-03-29 | 5.4921212 | -0.1179070 | 0.0344825 |
