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
2023-04-06
## calculating recursion for 2832 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2020-05-27 | 2022-01-14 | -10.74749 | 2.134652 | 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 | 2023-04-06 | 27.28918 | -1.644085 | 0.3983337 |
## calculating recursion for 2832 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.804419 | 1.5948510 | 0.9338209 |
| 2020-06-02 | 2021-09-23 | -5.362701 | 1.5946971 | 0.9160537 |
| 2020-04-08 | 2020-06-01 | 22.086272 | -1.1888856 | 0.7608387 |
| 2021-09-24 | 2023-04-06 | 19.095770 | -0.8198926 | 0.7288688 |
## calculating recursion for 2832 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 | 66.54613 | -6.0918050 | 0.8834144 |
| 2021-09-24 | 2023-04-06 | 19.09577 | -0.8198926 | 0.7288688 |
| 2022-10-21 | 2023-03-08 | -55.06078 | 5.8967040 | 0.7230981 |
| 2022-01-18 | 2023-04-06 | 27.28918 | -1.6440850 | 0.3983337 |
## calculating recursion for 2832 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.963324 | 2.4443704 | 0.9111557 |
| 2021-01-06 | 2023-04-06 | 10.815012 | -0.5739598 | 0.4185782 |
| 2020-11-09 | 2021-01-05 | 106.387700 | -10.1876026 | 0.2430928 |
| 2020-05-26 | 2020-11-06 | 2.853592 | 0.1757577 | 0.0288486 |
## calculating recursion for 2832 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.6758303 | 0.9154820 |
| 2022-04-27 | 2023-04-06 | -78.50743 | 8.2329586 | 0.6760199 |
| 2020-03-12 | 2020-11-06 | 25.53610 | -2.0600416 | 0.2508647 |
| 2020-11-09 | 2022-04-26 | 15.39507 | -0.9966016 | 0.2287696 |
## calculating recursion for 2832 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-09 | -30.38859 | 3.5803728 | 0.9018855 |
| 2021-03-10 | 2022-12-30 | 19.89436 | -1.4321551 | 0.7254776 |
| 2023-01-03 | 2023-04-06 | 10.57706 | -0.5035922 | 0.1480434 |
## calculating recursion for 2832 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 | 32.30054 | -2.772619 | 0.3648903 |
| 2023-02-01 | 2023-04-06 | 64.30723 | -5.884720 | 0.3046901 |
| 2022-11-10 | 2023-01-31 | 20.62418 | -1.604675 | 0.0229924 |
## calculating recursion for 2832 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.473830 | 2.4030239 | 0.8462803 |
| 2020-05-26 | 2020-11-05 | -0.969868 | 0.4971184 | 0.1506905 |
| 2020-11-06 | 2023-04-06 | 5.378591 | -0.1066574 | 0.0282409 |
