2019年6月17日月曜日

CLI - composite leading indicator - USA, China and Europe Area


> summary(lm(cli_xts$oecd ~ cli_xts$usa + cli_xts$ea19 + cli_xts$china))

Call:
lm(formula = cli_xts$oecd ~ cli_xts$usa + cli_xts$ea19 + cli_xts$china)

Residuals:
     Min       1Q   Median       3Q      Max
-0.68475 -0.09634  0.03744  0.11972  0.41636

Coefficients:
              Estimate Std. Error t value Pr(>|t|) 
(Intercept)   9.265072   1.036438   8.939   <2e-16 ***
cli_xts$usa   0.402771   0.013317  30.246   <2e-16 ***
cli_xts$ea19  0.438171   0.012302  35.618   <2e-16 ***
cli_xts$china 0.065993   0.006695   9.857   <2e-16 ***
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 0.1958 on 348 degrees of freedom
  (420 observations deleted due to missingness)
Multiple R-squared:  0.9577, Adjusted R-squared:  0.9573
F-statistic:  2624 on 3 and 348 DF,  p-value: < 2.2e-16

> last(cli_xts,n=12)
                       oecd           usa           china         ea19
2018-05-01 100.33250 100.47600 99.29018 100.53100
2018-06-01 100.22810 100.42840 99.13142 100.40680
2018-07-01 100.11390 100.36340 98.96715 100.28170
2018-08-01  99.98618 100.27230 98.80726 100.14970
2018-09-01  99.84174 100.13410 98.67062 100.01150
2018-10-01  99.68746  99.94146 98.57309  99.87226
2018-11-01  99.53398  99.71795 98.51999  99.73539
2018-12-01  99.38741  99.48866 98.50362  99.59542
2019-01-01  99.25877  99.28568 98.52641  99.45764
2019-02-01  99.15687  99.12820 98.58793  99.32590
2019-03-01  99.08728  99.01845 98.69128  99.20160
2019-04-01  99.03429  98.93993 98.80725  99.08523

for future reference.

> last(tmp.predict,n=6)
        SP5.Open SP5.High SP5.Low SP5.Close  SP5.Volume   spline      eps
 1 2019  2476.96  2708.95 2443.96   2704.10 80391630000 2906.849 2760.208
 2 2019  2702.32  2813.49 2681.83   2784.49 70183430000 2929.656 2779.348
 3 2019  2798.22  2860.31 2722.27   2834.40 78596280000 2956.669 2804.840
 4 2019  2848.63  2949.52 2848.63   2945.83 69604840000 2983.000 2829.000
 5 2019  2952.33  2954.13 2750.52   2752.06 76860120000 3010.000 2854.000
 6 2019  2751.53  2910.61 2728.81   2886.98 33703630000 3037.000 2879.000

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