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 0.04873909 1.127199 -0.08866510
#> [Release[4]]-[Release[3]] 21 0.09439635 1.980481 -0.08789253
#> [Release[5]]-[Release[4]] 4 0.54198761 2.366694 -0.12299091
#> intercept.stderr intercept.pvalue slope.estimate
#> [Release[3]]-[Release[2]] 0.1685217 0.6040588 -0.09269299
#> [Release[4]]-[Release[3]] 0.1223834 0.4813889 -0.22503317
#> [Release[5]]-[Release[4]] 0.1299782 0.4439037 -0.26028080
#> slope.stderr slope.pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.08730652 0.2998902 0.4078714 -0.5186398
#> [Release[4]]-[Release[3]] 0.15990470 0.1754889 0.4168826 -0.1797336
#> [Release[5]]-[Release[4]] 0.16918859 0.2638019 -0.9425746 0.7489839
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.8954891 0.6390679 9.407785e-03
#> [Release[4]]-[Release[3]] 0.6062238 0.7385164 1.207920e-01
#> [Release[5]]-[Release[4]] 0.5143455 0.7732346 6.290667e-06
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 2.089369e-01 0.6520835 0.03700649
#> [Release[4]]-[Release[3]] 2.610359e+00 0.1226513 0.13732102
#> [Release[5]]-[Release[4]] 1.258141e-05 0.9974919 0.99764724
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 0.8881558 0.6414155 0.09226517 2.1220990
#> [Release[4]]-[Release[3]] 2.8837414 0.2364850 0.01095087 0.2190175
#> [Release[5]]-[Release[4]] 3.9905890 0.1359736 0.51738928 1.5521679
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.1451874
#> [Release[4]]-[Release[3]] 0.6397896
#> [Release[5]]-[Release[4]] 0.2128157