Personal Income and GDP PI

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Recalculate based upon the past 20 years except 2020.

summary(lm(last(yearlyReturn(PI),20)[-20] ~ last(yearlyReturn(G),20)[-20]))

Call:

lm(formula = last(yearlyReturn(PI), 20)[-20] ~ last(yearlyReturn(G), 

    20)[-20])

Residuals:

      Min        1Q    Median        3Q       Max 

-0.063473 -0.008838  0.000614  0.013313  0.045431 

Coefficients:

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

(Intercept)                    0.006467   0.012627   0.512  0.61514   

last(yearlyReturn(G), 20)[-20] 0.878119   0.290504   3.023  0.00767 **

---

Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.02297 on 17 degrees of freedom

Multiple R-squared:  0.3496, Adjusted R-squared:  0.3113 

F-statistic: 9.137 on 1 and 17 DF,  p-value: 0.007673

• calculate PI according to the formula above on the assumption that 2020 GDPC1 year return is -5% and CPI is 2%.

0.006467 + 0.878119 *G["2019-10-01"]*0.97

                GDP

2019-10-01 18508.34

• when 2020 GDP growth is forecasted as -0.05, to calculate PI growth rate do this.

0.006467 + 0.878119 *(expected GDP growth rate)

• then 2020 PI forecast is as below

(1 + 0.006467 + 0.878119 *-0.05)*PI["2019-10-01"]
                 PI
2019-10-01 18061.11

plot.default(last(yearlyReturn(G),20)[-20],last(yearlyReturn(PI),20)[-20])

abline(lm(last(yearlyReturn(PI),20)[-20] ~ last(yearlyReturn(G),20)[-20]))

abline(v=0)

Recalculate based upon the past 50 years except 2020.

summary(lm(last(yearlyReturn(PI),50)[-50] ~ last(yearlyReturn(G),50)[-50]))

Call:

lm(formula = last(yearlyReturn(PI), 50)[-50] ~ last(yearlyReturn(G), 

    50)[-50])

Residuals:

      Min        1Q    Median        3Q       Max 

-0.065914 -0.005273  0.000005  0.006657  0.043099 

Coefficients:

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

(Intercept)                    0.008346   0.005670   1.472    0.148    

last(yearlyReturn(G), 50)[-50] 0.890811   0.080517  11.064 1.11e-14 ***

---

Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

Residual standard error: 0.01723 on 47 degrees of freedom

Multiple R-squared:  0.7226, Adjusted R-squared:  0.7167 

F-statistic: 122.4 on 1 and 47 DF,  p-value: 1.11e-14

0.008346+0.890811 *G["2019-10-01"]*0.97

                GDP

2019-10-01 18775.85

0.008346+0.890811 *(expected GDP growth rate)

• when 2020 is -0.05

0.008346+0.890811 *-0.05
[1] -0.03619455

(1+ 0.008346+0.890811 *-0.05)*PI["2019-12-01"]

      PI
2019-12-01 18222.28