S&P500 and GDP and other macro-economical data - Case-Shiller 10-City Composite Home Price Index

getSymbols("GDP",src='FRED')
getSymbols("PAYEMS",src="FRED")
getSymbols("UNDCONTSA",src="FRED")

getSymbols('SPCS10RSA',src='FRED')
CS <- SPCS10RSA

k2k <- "2000-01-01::2017-12-01"

PAq <- apply.quarterly(PA[k2k],mean)
UCq <- apply.quarterly(UC[k2k],mean)
CSq <- apply.quarterly(CS[k2k],mean)
G <- GDP

summary(lm(apply.quarterly(SP5[k2k],mean)[,1] ~ PAq[k2k] * UCq[k2k] * G[k2k]*CSq[k2k] - UCq[k2k] -G[k2k] - PAq[k2k]*G[k2k] - UCq[k2k]*G[k2k]*CSq[k2k]))

> summary(lm(apply.quarterly(SP5[k2k],mean)[,1] ~ PAq[k2k] * UCq[k2k] * G[k2k]*CSq[k2k] - UCq[k2k] -G[k2k] - PAq[k2k]*G[k2k] - UCq[k2k]*G[k2k]*CSq[k2k]))

Call:

lm(formula = apply.quarterly(SP5[k2k], mean)[, 1] ~ PAq[k2k] * 

    UCq[k2k] * G[k2k] * CSq[k2k] - UCq[k2k] - G[k2k] - PAq[k2k] * 

    G[k2k] - UCq[k2k] * G[k2k] * CSq[k2k])

Residuals:

     Min       1Q   Median       3Q      Max 

-193.182  -33.564   -0.483   37.984  186.693 

Coefficients:

                                    Estimate Std. Error t value Pr(>|t|)    

(Intercept)                       -1.080e+03  3.794e+02  -2.846  0.00591 ** 

PAq[k2k]:UCq[k2k]                  7.692e-05  6.148e-06  12.512  < 2e-16 ***

PAq[k2k]:CSq[k2k]                 -2.019e-04  3.278e-05  -6.160 5.13e-08 ***

PAq[k2k]:UCq[k2k]:G[k2k]          -5.157e-09  4.380e-10 -11.776  < 2e-16 ***

PAq[k2k]:UCq[k2k]:CSq[k2k]        -1.639e-07  3.181e-08  -5.153 2.59e-06 ***

PAq[k2k]:G[k2k]:CSq[k2k]           2.161e-08  1.608e-09  13.442  < 2e-16 ***

PAq[k2k]:UCq[k2k]:G[k2k]:CSq[k2k]  9.053e-12  1.822e-12   4.968 5.19e-06 ***

---

Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 75.55 on 65 degrees of freedom

Multiple R-squared:  0.9713, Adjusted R-squared:  0.9686 

F-statistic: 366.6 on 6 and 65 DF,  p-value: < 2.2e-16

> my_sp5cs(k2k,19981.13, 147810,1120,221)

[1] "m_m params! apply.quarter - UC w/ nominal GDP"

[1] 2725.425

k = [1] "2000-01-01::2017-12-01"

plot(xts(as.numeric(residuals(lm(apply.quarterly(SP5[k2k],mean)[,1] ~ PAq[k2k] * UCq[k2k] * G[k2k]*CSq[k2k] - UCq[k2k] -G[k2k] - PAq[k2k]*G[k2k] - UCq[k2k]*G[k2k]*CSq[k2k]))),seq(as.Date(strsplit(k2k,"::")[[1]][1]),as.Date(strsplit(k2k,"::")[[1]][2]),by="quarters")),type='p')