RData Workspace Analysis
Your Name
2026-02-12
Load Workspace
load("Claudia_Shiller_HW_021226.RData")
cat("Objects in workspace:\n")## Objects in workspace:print(ls())## [1] "comparison" "dt" "i"
## [4] "ie_data" "ie_data_clean" "ie_data_no_crisis"
## [7] "model" "model_full" "model_no_crisis"
## [10] "mpg"Inspect All Objects
for (obj_name in ls()) {
cat("\n========================================\n")
cat("Object:", obj_name, "\n")
cat("========================================\n")
cat("Class:", class(get(obj_name)), "\n\n")
obj <- get(obj_name)
if (is.data.frame(obj) || inherits(obj, "data.table")) {
cat("Dimensions:", nrow(obj), "rows x", ncol(obj), "columns\n")
cat("\nColumn names:\n")
print(names(obj))
cat("\nFirst 5 rows:\n")
print(head(obj, 5))
cat("\nSummary:\n")
print(summary(obj))
} else if (inherits(obj, "lm")) {
cat("\nRegression summary:\n")
print(summary(obj))
} else if (is.list(obj)) {
cat("\nList structure:\n")
print(str(obj))
} else {
cat("\nValue:\n")
print(obj)
}
}##
## ========================================
## Object: comparison
## ========================================
## Class: data.frame
##
## Dimensions: 2 rows x 4 columns
##
## Column names:
## [1] "Model" "Intercept" "Slope" "R_Squared"
##
## First 5 rows:
## Model Intercept Slope R_Squared
## 1 Full Sample 0.06915811 0.001512485 0.1039074
## 2 Excluding 2007-2009 0.06992904 0.001496299 0.1061269
##
## Summary:
## Model Intercept Slope R_Squared
## Length:2 Min. :0.06916 Min. :0.001496 Min. :0.1039
## Class :character 1st Qu.:0.06935 1st Qu.:0.001500 1st Qu.:0.1045
## Mode :character Median :0.06954 Median :0.001504 Median :0.1050
## Mean :0.06954 Mean :0.001504 Mean :0.1050
## 3rd Qu.:0.06974 3rd Qu.:0.001508 3rd Qu.:0.1056
## Max. :0.06993 Max. :0.001512 Max. :0.1061
##
## ========================================
## Object: dt
## ========================================
## Class: data.table data.frame
##
## Dimensions: 2459 rows x 27 columns
##
## Column names:
## [1] "Date" "P" "D" "E" "CPI"
## [6] "Fraction" "Rate GS10" "Price" "Dividend" "Price"
## [11] "Earnings" "Earnings" "CAPE" "V14" "TR CAPE"
## [16] "V16" "Yield" "Returns" "Returns" "Real Return"
## [21] "Real Return" "Returns" "V23" "V24" "V25"
## [26] "V26" "CPI_lag12"
##
## First 5 rows:
## Date P D E CPI Fraction Rate GS10 Price Dividend Price
## 1 1871.01 4.44 0.26 0.4 12.46 1871.04 5.32 109.05 6.39 109.05
## 2 1871.02 4.50 0.26 0.4 12.84 1871.13 5.32 107.25 6.20 107.77
## 3 1871.03 4.61 0.26 0.4 13.03 1871.21 5.33 108.27 6.11 109.30
## 4 1871.04 4.74 0.26 0.4 12.56 1871.29 5.33 115.54 6.34 117.17
## 5 1871.05 4.86 0.26 0.4 12.27 1871.38 5.33 121.22 6.48 123.48
## Earnings Earnings CAPE V14 TR CAPE V16 Yield Returns Returns Real Return
## 1 9.82 9.82 NA NA NA NA 1 1.00 13.06%
## 2 9.53 9.58 NA NA NA NA 1 0.97 13.09%
## 3 9.39 9.48 NA NA NA NA 1 0.96 13.10%
## 4 9.75 9.89 NA NA NA NA 1 1.00 12.21%
## 5 9.98 10.16 NA NA NA NA 1 1.03 12.26%
## Real Return Returns V23 V24 V25 V26 CPI_lag12
## 1 9.25% 3.81% NA NA NA NA <NA>
## 2 9.46% 3.62% NA NA NA NA <NA>
## 3 9.62% 3.48% NA NA NA NA <NA>
## 4 9.10% 3.11% NA NA NA NA <NA>
## 5 8.95% 3.31% NA NA NA NA <NA>
##
## Summary:
## Date P D E
## Min. :1871 Length:2459 Min. : 0.180 Min. : 0.1600
## 1st Qu.:1909 Class :character 1st Qu.: 0.420 1st Qu.: 0.5725
## Median :1947 Mode :character Median : 0.930 Median : 1.5400
## Mean :1947 Mean : 7.482 Mean : 17.5837
## 3rd Qu.:1985 3rd Qu.: 7.705 3rd Qu.: 14.8975
## Max. :2023 Max. :68.710 Max. :197.9100
## NA's :626 NA's :629 NA's :629
## CPI Fraction Rate GS10 Price
## Length:2459 Min. :1871 Length:2459 Min. : 82.87
## Class :character 1st Qu.:1909 Class :character 1st Qu.: 210.30
## Mode :character Median :1947 Mode :character Median : 323.05
## Mean :1947 Mean : 743.79
## 3rd Qu.:1986 3rd Qu.: 812.92
## Max. :2024 Max. :5140.59
## NA's :626 NA's :626
## Dividend Price Earnings Earnings
## Min. : 6.11 Length:2459 Min. : 5.13 Length:2459
## 1st Qu.:10.61 Class :character 1st Qu.: 15.87 Class :character
## Median :16.25 Mode :character Median : 27.05 Mode :character
## Mean :20.25 Mean : 41.17
## 3rd Qu.:25.74 3rd Qu.: 49.65
## Max. :71.22 Max. :217.26
## NA's :629 NA's :629
## CAPE V14 TR CAPE V16
## Min. : 4.78 Mode:logical Min. : 6.58 Min. : 1.7
## 1st Qu.:11.95 NA's:2459 1st Qu.:15.44 1st Qu.: 356.1
## Median :16.50 Median :20.51 Median : 710.4
## Mean :17.40 Mean :20.82 Mean : 710.4
## 3rd Qu.:21.14 3rd Qu.:24.71 3rd Qu.:1064.8
## Max. :44.20 Max. :48.11 Max. :1419.2
## NA's :746 NA's :746 NA's :2457
## Yield Returns Returns Real Return
## Length:2459 Min. :0.920 Min. : 0.96 Length:2459
## Class :character 1st Qu.:1.000 1st Qu.: 6.35 Class :character
## Mode :character Median :1.000 Median :10.70 Mode :character
## Mean :1.003 Mean :14.97
## 3rd Qu.:1.010 3rd Qu.:15.46
## Max. :1.110 Max. :59.45
## NA's :627 NA's :626
## Real Return Returns V23 V24
## Length:2459 Length:2459 Mode:logical Mode:logical
## Class :character Class :character NA's:2459 NA's:2459
## Mode :character Mode :character
##
##
##
##
## V25 V26 CPI_lag12
## Mode:logical Mode:logical Length:2459
## NA's:2459 NA's:2459 Class :character
## Mode :character
##
##
##
##
##
## ========================================
## Object: i
## ========================================
## Class: integer
##
##
## Value:
## [1] 1
##
## ========================================
## Object: ie_data
## ========================================
## Class: data.table data.frame
##
## Dimensions: 1836 rows x 36 columns
##
## Column names:
## [1] "Date" "P" "D"
## [4] "E" "CPI" "...6"
## [7] "...7" "...8" "...9"
## [10] "...10" "...11" "...12"
## [13] "...13" "...14" "...15"
## [16] "...16" "...17" "...18"
## [19] "...19" "Stock_Returns" "Bond_Returns"
## [22] "...22" "...23" "...24"
## [25] "...25" "...26" "CPI_lag12"
## [28] "Inflation" "Earnings_Yield" "Year"
## [31] "Period" "Equity_Risk_Premium" "Inflation_60MA"
## [34] "Date_numeric" "Period_Original" "Period_Alternative"
##
## First 5 rows:
## Date P D E CPI ...6 ...7 ...8 ...9 ...10
## 1 NA NA <NA> NA NA <NA> <NA> <NA> <NA> <NA>
## 2 NA NA <NA> NA NA <NA> <NA> <NA> <NA> <NA>
## 3 NA NA D NA NA Fraction Rate GS10 Price Dividend Price
## 4 1871.01 4.44 0.26 0.4 12.46 1871.04 5.32 109.05 6.39 109.05
## 5 1871.02 4.50 0.26 0.4 12.84 1871.13 5.32 107.25 6.20 107.77
## ...11 ...12 ...13 ...14 ...15 ...16 ...17 ...18 ...19
## 1 <NA> <NA> Cyclically NA Cyclically NA <NA> <NA> <NA>
## 2 <NA> <NA> Adjusted NA Adjusted NA <NA> <NA> <NA>
## 3 Earnings Earnings CAPE NA TR CAPE NA Yield Returns Returns
## 4 9.82 9.82 <NA> NA <NA> NA <NA> 1.00 1.00
## 5 9.53 9.58 <NA> NA <NA> NA <NA> 1.00 0.97
## Stock_Returns Bond_Returns ...22 ...23 ...24 ...25 ...26 CPI_lag12
## 1 NA NA <NA> NA NA NA NA NA
## 2 NA NA <NA> NA NA NA NA NA
## 3 NA NA Returns NA NA NA NA NA
## 4 NA NA 3.81% NA NA NA NA NA
## 5 NA NA 3.62% NA NA NA NA NA
## Inflation Earnings_Yield Year Period Equity_Risk_Premium Inflation_60MA
## 1 NA NA NA <NA> NA NA
## 2 NA NA NA <NA> NA NA
## 3 NA NA NA <NA> NA NA
## 4 NA 0.09009009 1871 Before 1945 NA NA
## 5 NA 0.08888889 1871 Before 1945 NA NA
## Date_numeric Period_Original Period_Alternative
## 1 NA <NA> <NA>
## 2 NA <NA> <NA>
## 3 NA <NA> <NA>
## 4 1871.01 Before 1945 Pre-WWI
## 5 1871.02 Before 1945 Pre-WWI
##
## Summary:
## Date P D E
## Min. :1871 Min. : 2.73 Length:1836 Min. : 0.1600
## 1st Qu.:1909 1st Qu.: 7.93 Class :character 1st Qu.: 0.5725
## Median :1947 Median : 18.07 Mode :character Median : 1.5400
## Mean :1947 Mean : 376.97 Mean : 17.5837
## 3rd Qu.:1985 3rd Qu.: 186.20 3rd Qu.: 14.8975
## Max. :2023 Max. :4674.77 Max. :197.9100
## NA's :3 NA's :3 NA's :6
## CPI ...6 ...7 ...8
## Min. : 6.28 Length:1836 Length:1836 Length:1836
## 1st Qu.: 10.28 Class :character Class :character Class :character
## Median : 21.90 Mode :character Mode :character Mode :character
## Mean : 65.33
## 3rd Qu.:107.80
## Max. :306.13
## NA's :3
## ...9 ...10 ...11 ...12
## Length:1836 Length:1836 Length:1836 Length:1836
## Class :character Class :character Class :character Class :character
## Mode :character Mode :character Mode :character Mode :character
##
##
##
##
## ...13 ...14 ...15 ...16
## Length:1836 Mode:logical Length:1836 Min. : 1.7
## Class :character NA's:1836 Class :character 1st Qu.: 356.1
## Mode :character Mode :character Median : 710.4
## Mean : 710.4
## 3rd Qu.:1064.8
## Max. :1419.2
## NA's :1834
## ...17 ...18 ...19 Stock_Returns
## Length:1836 Length:1836 Length:1836 Min. : NA
## Class :character Class :character Class :character 1st Qu.: NA
## Mode :character Mode :character Mode :character Median : NA
## Mean :NaN
## 3rd Qu.: NA
## Max. : NA
## NA's :1836
## Bond_Returns ...22 ...23 ...24 ...25
## Min. : NA Length:1836 Mode:logical Mode:logical Mode:logical
## 1st Qu.: NA Class :character NA's:1836 NA's:1836 NA's:1836
## Median : NA Mode :character
## Mean :NaN
## 3rd Qu.: NA
## Max. : NA
## NA's :1836
## ...26 CPI_lag12 Inflation Earnings_Yield
## Mode:logical Min. : 6.28 Min. :-19.700 Min. :0.008078
## NA's:1836 1st Qu.: 10.20 1st Qu.: 0.000 1st Qu.:0.054506
## Median : 21.30 Median : 2.290 Median :0.067108
## Mean : 63.77 Mean : 2.293 Mean :0.072707
## 3rd Qu.:105.30 3rd Qu.: 4.678 3rd Qu.:0.086796
## Max. :296.81 Max. : 23.669 Max. :0.188235
## NA's :15 NA's :15 NA's :6
## Year Period Equity_Risk_Premium Inflation_60MA
## Min. :1871 Length:1836 Min. : NA Min. :-7.4145
## 1st Qu.:1909 Class :character 1st Qu.: NA 1st Qu.: 0.9049
## Median :1947 Mode :character Median : NA Median : 2.3078
## Mean :1947 Mean :NaN Mean : 2.3037
## 3rd Qu.:1985 3rd Qu.: NA 3rd Qu.: 4.0581
## Max. :2023 Max. : NA Max. :14.7814
## NA's :3 NA's :1836 NA's :74
## Date_numeric Period_Original Period_Alternative
## Min. :1871 Length:1836 Length:1836
## 1st Qu.:1909 Class :character Class :character
## Median :1947 Mode :character Mode :character
## Mean :1947
## 3rd Qu.:1985
## Max. :2023
## NA's :3
##
## ========================================
## Object: ie_data_clean
## ========================================
## Class: data.table data.frame
##
## Dimensions: 0 rows x 32 columns
##
## Column names:
## [1] "Date" "P" "D"
## [4] "E" "CPI" "...6"
## [7] "...7" "...8" "...9"
## [10] "...10" "...11" "...12"
## [13] "...13" "...14" "...15"
## [16] "...16" "...17" "...18"
## [19] "...19" "Stock_Returns" "Bond_Returns"
## [22] "...22" "...23" "...24"
## [25] "...25" "...26" "CPI_lag12"
## [28] "Inflation" "Earnings_Yield" "Year"
## [31] "Period" "Equity_Risk_Premium"
##
## First 5 rows:
## [1] Date P D
## [4] E CPI ...6
## [7] ...7 ...8 ...9
## [10] ...10 ...11 ...12
## [13] ...13 ...14 ...15
## [16] ...16 ...17 ...18
## [19] ...19 Stock_Returns Bond_Returns
## [22] ...22 ...23 ...24
## [25] ...25 ...26 CPI_lag12
## [28] Inflation Earnings_Yield Year
## [31] Period Equity_Risk_Premium
## <0 rows> (or 0-length row.names)
##
## Summary:
## Date P D E CPI
## Min. : NA Min. : NA Length:0 Min. : NA Min. : NA
## 1st Qu.: NA 1st Qu.: NA Class :character 1st Qu.: NA 1st Qu.: NA
## Median : NA Median : NA Mode :character Median : NA Median : NA
## Mean :NaN Mean :NaN Mean :NaN Mean :NaN
## 3rd Qu.: NA 3rd Qu.: NA 3rd Qu.: NA 3rd Qu.: NA
## Max. : NA Max. : NA Max. : NA Max. : NA
## ...6 ...7 ...8 ...9
## Length:0 Length:0 Length:0 Length:0
## Class :character Class :character Class :character Class :character
## Mode :character Mode :character Mode :character Mode :character
##
##
##
## ...10 ...11 ...12 ...13
## Length:0 Length:0 Length:0 Length:0
## Class :character Class :character Class :character Class :character
## Mode :character Mode :character Mode :character Mode :character
##
##
##
## ...14 ...15 ...16 ...17
## Mode:logical Length:0 Min. : NA Length:0
## Class :character 1st Qu.: NA Class :character
## Mode :character Median : NA Mode :character
## Mean :NaN
## 3rd Qu.: NA
## Max. : NA
## ...18 ...19 Stock_Returns Bond_Returns
## Length:0 Length:0 Min. : NA Min. : NA
## Class :character Class :character 1st Qu.: NA 1st Qu.: NA
## Mode :character Mode :character Median : NA Median : NA
## Mean :NaN Mean :NaN
## 3rd Qu.: NA 3rd Qu.: NA
## Max. : NA Max. : NA
## ...22 ...23 ...24 ...25 ...26
## Length:0 Mode:logical Mode:logical Mode:logical Mode:logical
## Class :character
## Mode :character
##
##
##
## CPI_lag12 Inflation Earnings_Yield Year Period
## Min. : NA Min. : NA Min. : NA Min. : NA Length:0
## 1st Qu.: NA 1st Qu.: NA 1st Qu.: NA 1st Qu.: NA Class :character
## Median : NA Median : NA Median : NA Median : NA Mode :character
## Mean :NaN Mean :NaN Mean :NaN Mean :NaN
## 3rd Qu.: NA 3rd Qu.: NA 3rd Qu.: NA 3rd Qu.: NA
## Max. : NA Max. : NA Max. : NA Max. : NA
## Equity_Risk_Premium
## Min. : NA
## 1st Qu.: NA
## Median : NA
## Mean :NaN
## 3rd Qu.: NA
## Max. : NA
##
## ========================================
## Object: ie_data_no_crisis
## ========================================
## Class: data.table data.frame
##
## Dimensions: 1797 rows x 36 columns
##
## Column names:
## [1] "Date" "P" "D"
## [4] "E" "CPI" "...6"
## [7] "...7" "...8" "...9"
## [10] "...10" "...11" "...12"
## [13] "...13" "...14" "...15"
## [16] "...16" "...17" "...18"
## [19] "...19" "Stock_Returns" "Bond_Returns"
## [22] "...22" "...23" "...24"
## [25] "...25" "...26" "CPI_lag12"
## [28] "Inflation" "Earnings_Yield" "Year"
## [31] "Period" "Equity_Risk_Premium" "Inflation_60MA"
## [34] "Date_numeric" "Period_Original" "Period_Alternative"
##
## First 5 rows:
## Date P D E CPI ...6 ...7 ...8 ...9 ...10 ...11 ...12 ...13
## 1 1871.01 4.44 0.26 0.4 12.46 1871.04 5.32 109.05 6.39 109.05 9.82 9.82 <NA>
## 2 1871.02 4.50 0.26 0.4 12.84 1871.13 5.32 107.25 6.20 107.77 9.53 9.58 <NA>
## 3 1871.03 4.61 0.26 0.4 13.03 1871.21 5.33 108.27 6.11 109.30 9.39 9.48 <NA>
## 4 1871.04 4.74 0.26 0.4 12.56 1871.29 5.33 115.54 6.34 117.17 9.75 9.89 <NA>
## 5 1871.05 4.86 0.26 0.4 12.27 1871.38 5.33 121.22 6.48 123.48 9.98 10.16 <NA>
## ...14 ...15 ...16 ...17 ...18 ...19 Stock_Returns Bond_Returns ...22 ...23
## 1 NA <NA> NA <NA> 1.00 1.00 NA NA 3.81% NA
## 2 NA <NA> NA <NA> 1.00 0.97 NA NA 3.62% NA
## 3 NA <NA> NA <NA> 1.00 0.96 NA NA 3.48% NA
## 4 NA <NA> NA <NA> 1.00 1.00 NA NA 3.11% NA
## 5 NA <NA> NA <NA> 1.00 1.03 NA NA 3.31% NA
## ...24 ...25 ...26 CPI_lag12 Inflation Earnings_Yield Year Period
## 1 NA NA NA NA NA 0.09009009 1871 Before 1945
## 2 NA NA NA NA NA 0.08888889 1871 Before 1945
## 3 NA NA NA NA NA 0.08676790 1871 Before 1945
## 4 NA NA NA NA NA 0.08438819 1871 Before 1945
## 5 NA NA NA NA NA 0.08230453 1871 Before 1945
## Equity_Risk_Premium Inflation_60MA Date_numeric Period_Original
## 1 NA NA 1871.01 Before 1945
## 2 NA NA 1871.02 Before 1945
## 3 NA NA 1871.03 Before 1945
## 4 NA NA 1871.04 Before 1945
## 5 NA NA 1871.05 Before 1945
## Period_Alternative
## 1 Pre-WWI
## 2 Pre-WWI
## 3 Pre-WWI
## 4 Pre-WWI
## 5 Pre-WWI
##
## Summary:
## Date P D E
## Min. :1871 Min. : 2.73 Length:1797 Min. : 0.160
## 1st Qu.:1908 1st Qu.: 7.87 Class :character 1st Qu.: 0.560
## Median :1945 Median : 17.06 Mode :character Median : 1.425
## Mean :1946 Mean : 360.19 Mean : 16.978
## 3rd Qu.:1983 3rd Qu.: 151.90 3rd Qu.: 14.727
## Max. :2023 Max. :4674.77 Max. :197.910
## NA's :3
## CPI ...6 ...7 ...8
## Min. : 6.28 Length:1797 Length:1797 Length:1797
## 1st Qu.: 10.18 Class :character Class :character Class :character
## Median : 19.80 Mode :character Mode :character Mode :character
## Mean : 62.38
## 3rd Qu.: 98.60
## Max. :306.13
##
## ...9 ...10 ...11 ...12
## Length:1797 Length:1797 Length:1797 Length:1797
## Class :character Class :character Class :character Class :character
## Mode :character Mode :character Mode :character Mode :character
##
##
##
##
## ...13 ...14 ...15 ...16
## Length:1797 Mode:logical Length:1797 Min. : 1.7
## Class :character NA's:1797 Class :character 1st Qu.: 356.1
## Mode :character Mode :character Median : 710.4
## Mean : 710.4
## 3rd Qu.:1064.8
## Max. :1419.2
## NA's :1795
## ...17 ...18 ...19 Stock_Returns
## Length:1797 Length:1797 Length:1797 Min. : NA
## Class :character Class :character Class :character 1st Qu.: NA
## Mode :character Mode :character Mode :character Median : NA
## Mean :NaN
## 3rd Qu.: NA
## Max. : NA
## NA's :1797
## Bond_Returns ...22 ...23 ...24 ...25
## Min. : NA Length:1797 Mode:logical Mode:logical Mode:logical
## 1st Qu.: NA Class :character NA's:1797 NA's:1797 NA's:1797
## Median : NA Mode :character
## Mean :NaN
## 3rd Qu.: NA
## Max. : NA
## NA's :1797
## ...26 CPI_lag12 Inflation Earnings_Yield
## Mode:logical Min. : 6.28 Min. :-19.700 Min. :0.02141
## NA's:1797 1st Qu.: 10.18 1st Qu.: 0.000 1st Qu.:0.05508
## Median : 18.90 Median : 2.285 Median :0.06770
## Mean : 60.86 Mean : 2.296 Mean :0.07344
## 3rd Qu.: 97.50 3rd Qu.: 4.706 3rd Qu.:0.08712
## Max. :296.81 Max. : 23.669 Max. :0.18824
## NA's :12 NA's :12 NA's :3
## Year Period Equity_Risk_Premium Inflation_60MA
## Min. :1871 Length:1797 Min. : NA Min. :-7.4145
## 1st Qu.:1908 Class :character 1st Qu.: NA 1st Qu.: 0.7664
## Median :1945 Mode :character Median : NA Median : 2.2526
## Mean :1946 Mean :NaN Mean : 2.2912
## 3rd Qu.:1983 3rd Qu.: NA 3rd Qu.: 4.1329
## Max. :2023 Max. : NA Max. :14.7814
## NA's :1797 NA's :71
## Date_numeric Period_Original Period_Alternative
## Min. :1871 Length:1797 Length:1797
## 1st Qu.:1908 Class :character Class :character
## Median :1945 Mode :character Mode :character
## Mean :1946
## 3rd Qu.:1983
## Max. :2023
##
##
## ========================================
## Object: model
## ========================================
## Class: lm
##
##
## Regression summary:
##
## Call:
## lm(formula = Earnings_Yield ~ Inflation, data = ie_data)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.059698 -0.017785 -0.005258 0.016187 0.103894
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0691581 0.0006518 106.10 <2e-16 ***
## Inflation 0.0015125 0.0001042 14.51 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.02586 on 1816 degrees of freedom
## (18 observations deleted due to missingness)
## Multiple R-squared: 0.1039, Adjusted R-squared: 0.1034
## F-statistic: 210.6 on 1 and 1816 DF, p-value: < 2.2e-16
##
##
## ========================================
## Object: model_full
## ========================================
## Class: lm
##
##
## Regression summary:
##
## Call:
## lm(formula = Earnings_Yield ~ Inflation, data = ie_data)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.059698 -0.017785 -0.005258 0.016187 0.103894
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0691581 0.0006518 106.10 <2e-16 ***
## Inflation 0.0015125 0.0001042 14.51 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.02586 on 1816 degrees of freedom
## (18 observations deleted due to missingness)
## Multiple R-squared: 0.1039, Adjusted R-squared: 0.1034
## F-statistic: 210.6 on 1 and 1816 DF, p-value: < 2.2e-16
##
##
## ========================================
## Object: model_no_crisis
## ========================================
## Class: lm
##
##
## Regression summary:
##
## Call:
## lm(formula = Earnings_Yield ~ Inflation, data = ie_data_no_crisis)
##
## Residuals:
## Min 1Q Median 3Q Max
## -0.050729 -0.017964 -0.005093 0.015861 0.103109
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0699290 0.0006486 107.81 <2e-16 ***
## Inflation 0.0014963 0.0001029 14.54 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 0.0255 on 1780 degrees of freedom
## (15 observations deleted due to missingness)
## Multiple R-squared: 0.1061, Adjusted R-squared: 0.1056
## F-statistic: 211.3 on 1 and 1780 DF, p-value: < 2.2e-16
##
##
## ========================================
## Object: mpg
## ========================================
## Class: numeric
##
##
## Value:
## [1] 4Data Visualizations
library(ggplot2)
library(data.table)
if (exists("ie_data")) {
setDT(ie_data)
if ("Date" %in% names(ie_data) && "Inflation" %in% names(ie_data)) {
cat("\n### Inflation Over Time\n\n")
p1 <- ggplot(ie_data, aes(x = Date, y = Inflation)) +
geom_line(color = "blue") +
labs(title = "Inflation Over Time", x = "Year", y = "Inflation (%)") +
theme_minimal()
print(p1)
}
if ("Date" %in% names(ie_data) && "Earnings_Yield" %in% names(ie_data)) {
cat("\n### Earnings Yield Over Time\n\n")
p2 <- ggplot(ie_data, aes(x = Date, y = Earnings_Yield)) +
geom_line(color = "darkgreen") +
labs(title = "Earnings Yield Over Time", x = "Year", y = "E/P Ratio") +
theme_minimal()
print(p2)
}
if ("Inflation" %in% names(ie_data) && "Earnings_Yield" %in% names(ie_data)) {
cat("\n### Inflation vs Earnings Yield\n\n")
p3 <- ggplot(ie_data, aes(x = Inflation, y = Earnings_Yield)) +
geom_point(alpha = 0.5) +
geom_smooth(method = "lm", color = "red") +
labs(title = "Inflation vs Earnings Yield", x = "Inflation (%)", y = "E/P Ratio") +
theme_minimal()
print(p3)
}
if ("Inflation_60MA" %in% names(ie_data)) {
cat("\n### Inflation with 60-Month Moving Average\n\n")
p4 <- ggplot(ie_data, aes(x = Date)) +
geom_line(aes(y = Inflation, color = "Raw"), alpha = 0.5) +
geom_line(aes(y = Inflation_60MA, color = "60-Month MA"), size = 1) +
labs(title = "Inflation and Rolling Mean", x = "Year", y = "Inflation (%)") +
theme_minimal() +
scale_color_manual(values = c("Raw" = "gray", "60-Month MA" = "red"))
print(p4)
}
}Inflation Over Time
### Earnings Yield Over Time
### Inflation vs Earnings Yield
### Inflation with 60-Month Moving Average
Statistical Models
model_objects <- ls()[grepl("model", ls())]
for (model_name in model_objects) {
cat("\n###", model_name, "\n\n")
model <- get(model_name)
if (inherits(model, "lm")) {
print(summary(model))
cat("\n")
}
}model
Call: lm(formula = Earnings_Yield ~ Inflation, data = ie_data)
Residuals: Min 1Q Median 3Q Max -0.059698 -0.017785 -0.005258 0.016187 0.103894
Coefficients: Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0691581 0.0006518 106.10 <2e-16 Inflation
0.0015125 0.0001042 14.51 <2e-16 — Signif. codes: 0
‘’ 0.001 ’’ 0.01 ’’ 0.05 ‘.’ 0.1 ’ ’ 1
Residual standard error: 0.02586 on 1816 degrees of freedom (18 observations deleted due to missingness) Multiple R-squared: 0.1039, Adjusted R-squared: 0.1034 F-statistic: 210.6 on 1 and 1816 DF, p-value: < 2.2e-16
model_full
Call: lm(formula = Earnings_Yield ~ Inflation, data = ie_data)
Residuals: Min 1Q Median 3Q Max -0.059698 -0.017785 -0.005258 0.016187 0.103894
Coefficients: Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0691581 0.0006518 106.10 <2e-16 Inflation
0.0015125 0.0001042 14.51 <2e-16 — Signif. codes: 0
‘’ 0.001 ’’ 0.01 ’’ 0.05 ‘.’ 0.1 ’ ’ 1
Residual standard error: 0.02586 on 1816 degrees of freedom (18 observations deleted due to missingness) Multiple R-squared: 0.1039, Adjusted R-squared: 0.1034 F-statistic: 210.6 on 1 and 1816 DF, p-value: < 2.2e-16
model_no_crisis
Call: lm(formula = Earnings_Yield ~ Inflation, data = ie_data_no_crisis)
Residuals: Min 1Q Median 3Q Max -0.050729 -0.017964 -0.005093 0.015861 0.103109
Coefficients: Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.0699290 0.0006486 107.81 <2e-16 Inflation
0.0014963 0.0001029 14.54 <2e-16 — Signif. codes: 0
‘’ 0.001 ’’ 0.01 ’’ 0.05 ‘.’ 0.1 ’ ’ 1
Residual standard error: 0.0255 on 1780 degrees of freedom (15 observations deleted due to missingness) Multiple R-squared: 0.1061, Adjusted R-squared: 0.1056 F-statistic: 211.3 on 1 and 1780 DF, p-value: < 2.2e-16
Period Analysis
if (exists("ie_data") && "Period" %in% names(ie_data)) {
setDT(ie_data)
period_stats <- ie_data[, .(
N = .N,
Mean_Inflation = mean(Inflation, na.rm = TRUE),
SD_Inflation = sd(Inflation, na.rm = TRUE),
Mean_Earnings_Yield = mean(Earnings_Yield, na.rm = TRUE),
SD_Earnings_Yield = sd(Earnings_Yield, na.rm = TRUE)
), by = Period]
print(period_stats)
}## Period N Mean_Inflation SD_Inflation Mean_Earnings_Yield
## <char> <int> <num> <num> <num>
## 1: <NA> 15 2.2736739 0.2409016 0.06469783
## 2: Before 1945 888 0.7460954 7.3611513 0.07819083
## 3: 1946-1969 288 3.0813058 3.8721400 0.07899016
## 4: 1970-1999 360 5.2191111 3.1363085 0.07614543
## 5: After 2000 285 2.5531815 1.8110133 0.04497078
## SD_Earnings_Yield
## <num>
## 1: 0.004906284
## 2: 0.023154778
## 3: 0.030164967
## 4: 0.029649455
## 5: 0.012590900Session Info
sessionInfo()## R version 4.5.1 (2025-06-13)
## Platform: aarch64-apple-darwin20
## Running under: macOS Tahoe 26.1
##
## Matrix products: default
## BLAS: /Library/Frameworks/R.framework/Versions/4.5-arm64/Resources/lib/libRblas.0.dylib
## LAPACK: /Library/Frameworks/R.framework/Versions/4.5-arm64/Resources/lib/libRlapack.dylib; LAPACK version 3.12.1
##
## locale:
## [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
##
## time zone: America/New_York
## tzcode source: internal
##
## attached base packages:
## [1] stats graphics grDevices utils datasets methods base
##
## other attached packages:
## [1] data.table_1.18.2.1 ggplot2_4.0.1
##
## loaded via a namespace (and not attached):
## [1] Matrix_1.7-3 gtable_0.3.6 jsonlite_2.0.0 dplyr_1.1.4
## [5] compiler_4.5.1 tidyselect_1.2.1 jquerylib_0.1.4 splines_4.5.1
## [9] scales_1.4.0 yaml_2.3.12 fastmap_1.2.0 lattice_0.22-7
## [13] R6_2.6.1 labeling_0.4.3 generics_0.1.4 knitr_1.51
## [17] tibble_3.3.0 bslib_0.10.0 pillar_1.11.1 RColorBrewer_1.1-3
## [21] rlang_1.1.6 cachem_1.1.0 xfun_0.56 sass_0.4.10
## [25] S7_0.2.1 cli_3.6.5 withr_3.0.2 magrittr_2.0.4
## [29] mgcv_1.9-3 digest_0.6.39 grid_4.5.1 rstudioapi_0.18.0
## [33] lifecycle_1.0.4 nlme_3.1-168 vctrs_0.6.5 evaluate_1.0.5
## [37] glue_1.8.0 farver_2.1.2 rmarkdown_2.30 tools_4.5.1
## [41] pkgconfig_2.0.3 htmltools_0.5.9