Linear regression model of R_v on R_{v-1}
Arguments
- vintages.view
mts object. Vertical or diagonal view of the
create_vintages()output- gap
Integer. Gap to consider between each vintages. Default is 1 which means that revisions are calculated and tested for each vintages consecutively.
- na.zero
Boolean whether missing values should be considered as 0 or rather as data not (yet) available (the default).
Examples
## Simulated data
df_long <- simulate_long(
n_period = 10L * 4L,
n_revision = 5L,
periodicity = 4L,
start_period = as.Date("2010-01-01")
)
## Create vintage and test
vintages <- create_vintages(df_long, periodicity = 4L)
efficiencyModel2(vintages$diagonal_view)
#> N R2 F intercept.estimate
#> [Release[3]]-[Release[2]] 24 0.344031034 11.53817200 0.109860001
#> [Release[4]]-[Release[3]] 14 0.001302023 0.01564465 0.000632632
#> [Release[5]]-[Release[4]] 9 0.151834592 1.25310716 0.033831766
#> intercept.stderr intercept.pvalue slope.estimate
#> [Release[3]]-[Release[2]] 0.20213049 0.5922439 -0.30115024
#> [Release[4]]-[Release[3]] 0.16074738 0.9969245 0.01919427
#> [Release[5]]-[Release[4]] 0.06573168 0.6226141 -0.11829608
#> slope.stderr slope.pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.08865734 0.002591094 -0.04615157 -0.36199959
#> [Release[4]]-[Release[3]] 0.15345772 0.902532324 -1.03395405 2.29739182
#> [Release[5]]-[Release[4]] 0.10567597 0.299894962 0.48140272 -0.01239274
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.1337484 0.93531285 0.03935263
#> [Release[4]]-[Release[3]] 5.1752204 0.07519954 0.11395178
#> [Release[5]]-[Release[4]] 0.3090493 0.85682237 0.28960014
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 0.9012233 0.3527668 0.03974011
#> [Release[4]]-[Release[3]] 1.5432809 0.2378601 0.17483605
#> [Release[5]]-[Release[4]] 2.8536055 0.1350193 0.33025472
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 0.9537627 0.6207162 0.007372263 0.1695620
#> [Release[4]]-[Release[3]] 2.4477047 0.2940950 0.098329364 1.2782817
#> [Release[5]]-[Release[4]] 2.9722925 0.2262429 0.013632058 0.1090565
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.6805013
#> [Release[4]]-[Release[3]] 0.2582188
#> [Release[5]]-[Release[4]] 0.7412209