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.
Focus on BEA (NIPA) reported corporate profits
found BEA reports annualized quarterly so must be deannualized then
rolling annual.
BEA also reports Federal Reserve profit (loss) as part of national
corporate profits
George Robertson
2023-08-21
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2015-10-05 | 2021-06-03 | -6.586951 | 2.2397880 | 0.8991253 |
| 2009-02-02 | 2013-09-13 | 2.075648 | 1.0178397 | 0.8164065 |
| 2013-09-16 | 2015-10-02 | -18.300126 | 3.7882691 | 0.6018251 |
| 2021-06-04 | 2023-08-18 | 17.560193 | -0.8735033 | 0.3186442 |
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-12-14 | 2020-12-14 | -16.27226 | 2.676966 | 0.9520913 |
| 2009-02-02 | 2009-12-11 | 189.85857 | -18.845980 | 0.8970580 |
| 2020-12-15 | 2021-08-23 | -11.75017 | 2.246178 | 0.8487428 |
| 2021-08-24 | 2023-03-15 | 28.52150 | -1.770562 | 0.6959944 |
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-12-14 | 2020-12-14 | -16.27226 | 2.676966 | 0.9520913 |
| 2009-02-02 | 2009-12-11 | 189.85857 | -18.845980 | 0.8970580 |
| 2020-12-15 | 2021-08-23 | -11.75017 | 2.246178 | 0.8487428 |
| 2021-08-24 | 2023-03-15 | 28.52150 | -1.770562 | 0.6959944 |
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2022-04-25 | -28.13020 | 3.302329 | 0.9051506 |
| 2022-04-26 | 2023-08-18 | -24.20842 | 2.867006 | 0.6160606 |
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2022-04-25 | -28.13020 | 3.302329 | 0.9051506 |
| 2022-04-26 | 2023-08-18 | -24.20842 | 2.867006 | 0.6160606 |
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2020-03-11 | -46.81359 | 5.292844 | 0.9255116 |
| 2022-04-27 | 2023-08-18 | -59.11601 | 6.340155 | 0.7907665 |
| 2020-03-12 | 2020-11-13 | 131.30057 | -12.672099 | 0.4218322 |
| 2020-11-16 | 2022-04-26 | 18.22597 | -1.282926 | 0.3707640 |
## calculating recursion for 3662 datapoints| Start_Segment | End_Segment | Intercept | Slope | r2 |
|---|---|---|---|---|
| 2009-02-02 | 2020-03-11 | -51.05024 | 5.706203 | 0.9422081 |
| 2022-04-27 | 2023-08-18 | -52.02725 | 5.621011 | 0.7507193 |
| 2020-03-12 | 2020-11-13 | 129.87523 | -12.515476 | 0.4149050 |
| 2020-11-16 | 2022-04-26 | 17.07748 | -1.165595 | 0.3323758 |
