http://equitablegrowth.org/2014/08/26/moving-corrected-calculations-last-weeks-shiller-stock-market-posts-r-afternoon-note/ Begins
> Because only people who really, really, really want to make bad > mistakes do things in the un-debuggable Excel (or Numbers)… > and then proceeds with an extended analysis in R. He may have used Excel in the earlier posts; the comment is certainly a reference to an infamous series of errors in a spreadsheet behind a much publicized claim that it was disastrous for countries to have debt > 90% GDP. See http://en.wikipedia.org/wiki/Growth_in_a_Time_of_Debt for details. The background question to the blog post is whether current stock market valuations indicate stocks are likely to be a poor medium-term investment (10 years). A quick look does not reveal to me what, if any, substantive changes to the conclusions resulted from using R not Excel (or even if is previous conclusions were based on Excel). In fact, it's kind of hard to tell what the conclusion is! A couple of more technical comments: DeLong (the post's author) uses simple regression (lm) and then observes > The significance levels that R reports are wrong: its naive regression > package assumes that each of the 1482 observed 10-year returns is > independent of each of the others. They are not. I assume R has some tools that can do proper time series analyses; I'm not sure why he didn't use them. DeLong is an economic historian, not an econometrician. One important observation stems from something even simpler than regression: > Basically what we know about expected returns is that on the one > occasion when CAPE rose above 30, the dot-com crash of 2000 was in the > near future and the housing crash of 2008 came into the ten-year > return window. That is not much information on which to base a > long-run "sell" decision. > Ross Boylan ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
