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
2023-06-27
Year over year percentage change taken monthly is used.
## calculating recursion for 5255 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-06-15 | 2022-05-05 | -17.743762 | 2.8239747 | 0.9649600 |
| 2009-03-10 | 2009-06-14 | 459.926469 | -47.0788244 | 0.9305413 |
| 2009-02-02 | 2009-03-09 | -507.565171 | 53.9035904 | 0.9207597 |
| 2022-05-06 | 2023-06-23 | 2.324572 | 0.8131669 | 0.1540436 |
## calculating recursion for 5255 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-06-15 | 2022-05-05 | -17.743762 | 2.8239747 | 0.9649600 |
| 2009-03-10 | 2009-06-14 | 459.926469 | -47.0788244 | 0.9305413 |
| 2009-02-02 | 2009-03-09 | -507.565171 | 53.9035904 | 0.9207597 |
| 2022-05-06 | 2023-06-23 | 2.324572 | 0.8131669 | 0.1540436 |
## calculating recursion for 5255 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2022-02-27 | -27.75816 | 3.260038 | 0.9204667 |
| 2022-02-28 | 2022-10-20 | 50.34976 | -4.495091 | 0.6923458 |
| 2022-10-21 | 2023-06-23 | -9.65795 | 1.430974 | 0.1827342 |
## calculating recursion for 5255 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2022-02-27 | -27.75816 | 3.260038 | 0.9204667 |
| 2022-02-28 | 2022-10-20 | 50.34976 | -4.495091 | 0.6923458 |
| 2022-10-21 | 2023-06-23 | -9.65795 | 1.430974 | 0.1827342 |
## calculating recursion for 5255 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2020-03-27 | -45.34261 | 5.134886 | 0.9286853 |
| 2022-04-27 | 2023-06-23 | -69.12209 | 7.307688 | 0.7463058 |
| 2020-05-27 | 2020-11-12 | 19.73634 | -1.469179 | 0.3207227 |
| 2020-11-13 | 2022-04-26 | 16.09736 | -1.066319 | 0.2646781 |
| 2020-03-28 | 2020-05-26 | -13.93252 | 1.894248 | 0.2123766 |
## calculating recursion for 5255 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2020-06-29 | -48.07467 | 5.3936114 | 0.9261468 |
| 2021-03-10 | 2022-11-07 | 46.11741 | -4.0382559 | 0.8119961 |
| 2022-11-08 | 2023-06-23 | -34.43776 | 3.8892200 | 0.4182186 |
| 2020-06-30 | 2020-11-12 | 16.33190 | -1.1259560 | 0.3749976 |
| 2020-11-13 | 2021-03-09 | 3.89932 | 0.1464575 | 0.0013239 |
