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
2023-04-14
## calculating recursion for 2837 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 | 2023-04-14 | 26.63484 | -1.579493 | 0.3813802 |
## calculating recursion for 2837 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-04-07 | -5.804999 | 1.5949110 | 0.9338178 |
| 2020-06-02 | 2021-09-23 | -5.364786 | 1.5949032 | 0.9162510 |
| 2020-04-08 | 2020-06-01 | 22.038160 | -1.1840414 | 0.7590103 |
| 2021-09-24 | 2023-04-14 | 19.086907 | -0.8190134 | 0.7274629 |
## calculating recursion for 2837 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 | 2023-04-14 | 19.08691 | -0.8190134 | 0.7274629 |
| 2022-10-21 | 2023-03-08 | -55.05091 | 5.8957330 | 0.7231029 |
| 2022-01-18 | 2023-04-14 | 26.63484 | -1.5794930 | 0.3813802 |
## calculating recursion for 2837 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -19.963654 | 2.4444059 | 0.9111140 |
| 2021-01-06 | 2023-04-14 | 10.816933 | -0.5741433 | 0.4202715 |
| 2020-11-09 | 2021-01-05 | 99.744605 | -9.5214528 | 0.2294178 |
| 2020-05-26 | 2020-11-06 | 2.855629 | 0.1755524 | 0.0287562 |
## calculating recursion for 2837 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-03-11 | -50.67197 | 5.6758303 | 0.9154820 |
| 2022-04-27 | 2023-04-14 | -78.79532 | 8.2613388 | 0.6871970 |
| 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 2837 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2021-03-09 | -30.389367 | 3.5804532 | 0.9018859 |
| 2021-03-10 | 2022-12-19 | 20.364750 | -1.4785705 | 0.7492207 |
| 2022-12-20 | 2023-04-14 | 7.512373 | -0.2099324 | 0.0096138 |
## calculating recursion for 2837 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2022-04-05 | -36.19999 | 4.025233 | 0.9050533 |
| 2022-06-10 | 2023-04-14 | -60.63428 | 6.386096 | 0.6530121 |
| 2022-04-06 | 2022-06-09 | -33.05316 | 3.681371 | 0.2290841 |
## calculating recursion for 2837 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2012-01-05 | 2020-05-22 | -20.4751681 | 2.4031611 | 0.8463135 |
| 2020-05-26 | 2020-11-05 | -0.9734787 | 0.4974829 | 0.1507695 |
| 2020-11-06 | 2023-04-14 | 5.3232394 | -0.1011532 | 0.0254029 |
