2017年7月30日日曜日

2017Q2GDP and other economic data vs. S&P500


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last(GDP,n=3)
getSymbols("GDP",src="FRED");last(GDP,n=3)  # gdp
G <- GDP
last(PA)
getSymbols("PAYEMS",src="FRED");last(PAYEMS,n=3)  # non farm payroll
PA <- PAYEMS
last(UC)
getSymbols("UNDCONTSA",src="FRED");last(UNDCONTSA,n=3) # private housing under construction
UC <- UNDCONTSA
kikan <-  "1992-01-01::2017-04-30"
summary(lm(apply.quarterly(SP5[kikan],mean)[,1] ~ apply.quarterly(PA[kikan],mean) * apply.quarterly(UC[kikan],mean) * G[kikan] - apply.quarterly(UC[kikan],mean) ))
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Residual standard error: 104 on 95 degrees of freedom
Multiple R-squared:  0.9566, Adjusted R-squared:  0.9539
F-statistic:   349 on 6 and 95 DF,  p-value: < 2.2e-16

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