2017年8月3日木曜日

Draw graph S&P500 vs. refined GDP/S&P500 model



kikan <- "1992-01-01::2017-06-30"
x <- seq(min(as.Date(index(to.quarterly(SP5[kikan])[,1]))),as.Date(max(index(to.quarterly(SP5[kikan])[,1]))),"quarters")
result <- (lm(apply.quarterly(SP5[kikan],mean)[,1] ~ apply.quarterly(PA[kikan],mean) * apply.quarterly(UC[kikan],mean) * G[kikan] *PROP[kikan] - apply.quarterly(UC[kikan],mean) ))
plot(predict(result),type='l',col=2,axes=F,ylim=c(0,2500),ylab="")
par(new=T)
plot(x,to.quarterly(SP5[kikan])[,1],type='l',ylim=c(0,2500))
axis(side=2, pos=as.Date("2017-01-01"))  # draw aux axis at 2017-01-01
axis(side=2, pos=as.Date("2010-01-01"),labels=F)  # draw aux axis at 2010-01-01
par(new=T)
plot(x,rep(2400,length(x)),type='l',col=3,ylim=c(0,2500)) # draw the line at 2400 level

summary(result)

Residual standard error: 61.12 on 87 degrees of freedom
Multiple R-squared:  0.9863, Adjusted R-squared:  0.9841
F-statistic: 446.8 on 14 and 87 DF,  p-value: < 2.2e-16


0 件のコメント: