2018年10月22日月曜日

SP5,eps,PAYEMS,UC,CS


> summary(lm(apply.quarterly(SP5[,4][k2k],mean) ~ eps_year_xts[k2k]+apply.quarterly(PA[k2k],mean)+apply.quarterly(CS[k2k],mean)+apply.quarterly(UC[k2k],mean)))

Call:
lm(formula = apply.quarterly(SP5[, 4][k2k], mean) ~ eps_year_xts[k2k] +
    apply.quarterly(PA[k2k], mean) + apply.quarterly(CS[k2k],
    mean) + apply.quarterly(UC[k2k], mean))

Residuals:
    Min      1Q  Median      3Q     Max
-178.63  -65.62   14.98   57.55  320.86

Coefficients:
                                 Estimate Std. Error t value Pr(>|t|) 
(Intercept)                    -8.791e+03  4.347e+02 -20.222  < 2e-16 ***
eps_year_xts[k2k]               7.243e+00  6.983e-01  10.373 1.01e-15 ***
apply.quarterly(PA[k2k], mean)  7.740e-02  3.649e-03  21.210  < 2e-16 ***
apply.quarterly(CS[k2k], mean) -4.994e+00  5.692e-01  -8.774 7.71e-13 ***
apply.quarterly(UC[k2k], mean)  1.304e-01  5.309e-02   2.456   0.0166 *
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 97.83 on 69 degrees of freedom
Multiple R-squared:   0.96, Adjusted R-squared:  0.9577
F-statistic: 413.8 on 4 and 69 DF,  p-value: < 2.2e-16

tmp <- predict(lm(apply.quarterly(SP5[,4][k2k],mean) ~ eps_year_xts[k2k]+apply.quarterly(PA[k2k],mean)+apply.quarterly(CS[k2k],mean)+apply.quarterly(UC[k2k],mean)))
GSPC.predict <- merge(GSPC.predict[,-8],last(spline(seq(1,74,1),tmp,n=220)$y,n=138),suffixes = c("","eps"))

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