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 0.2616483 7.796097 0.30402427
#> [Release[4]]-[Release[3]] 14 0.1254770 1.721765 0.06466962
#> [Release[5]]-[Release[4]] NaN NaN NaN NaN
#> intercept.stderr intercept.pvalue slope.estimate
#> [Release[3]]-[Release[2]] 0.1901329 0.1240828 -0.2809205
#> [Release[4]]-[Release[3]] 0.1861737 0.7343359 -0.2564754
#> [Release[5]]-[Release[4]] NaN NaN NaN
#> slope.stderr slope.pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.1006108 0.01062318 0.00290885 0.4020624
#> [Release[4]]-[Release[3]] 0.1954604 0.21401174 -1.12966497 2.1653017
#> [Release[5]]-[Release[4]] NaN NaN NaN NaN
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.154951 0.92544969 0.0002473439
#> [Release[4]]-[Release[3]] 5.304598 0.07048898 0.0379624610
#> [Release[5]]-[Release[4]] NaN NaN NaN
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 0.005442912 0.9418552 0.0005553642
#> [Release[4]]-[Release[3]] 0.473525735 0.5044549 0.1987705511
#> [Release[5]]-[Release[4]] NaN NaN NaN
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 0.01332874 0.9933578 0.0006899178 0.01586811
#> [Release[4]]-[Release[3]] 2.78278772 0.2487284 0.0435449785 0.56608472
#> [Release[5]]-[Release[4]] NaN NaN NaN NaN
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.8997567
#> [Release[4]]-[Release[3]] 0.4518190
#> [Release[5]]-[Release[4]] NaN