Linear regression model of R_v on R_{v-1},...,R_{v-p}. (p=nrevs)
Arguments
- revisions.view
mts object. Vertical or diagonal view of the
get_revisions()output- nrevs
Integer. Number of lags to consider.
- 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)
revisions <- get_revisions(vintages, gap = 1)
orthogonallyModel1(revisions[["diagonal_view"]])
#> N R2 F intercept.estimate
#> [Release[3]]-[Release[2]] 33 0.04625398 1.503412 -0.03518030
#> [Release[4]]-[Release[3]] 27 0.41986215 18.093206 0.05346458
#> [Release[5]]-[Release[4]] 19 0.21102775 4.547019 -0.02275491
#> intercept.stderr intercept.pvalue x(1).estimate
#> [Release[3]]-[Release[2]] 0.20522127 0.8650028 -0.1037031
#> [Release[4]]-[Release[3]] 0.08634422 0.5413850 -0.2855930
#> [Release[5]]-[Release[4]] 0.04889975 0.6475950 -0.1780270
#> x(1).stderr x(1).pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.08457708 0.2293798895 0.3880885 -0.2858933
#> [Release[4]]-[Release[3]] 0.06714130 0.0002577254 -0.3461716 -0.3669641
#> [Release[5]]-[Release[4]] 0.08348770 0.0478563259 0.3069114 -0.4626095
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.9122474 0.6337354 0.001105081
#> [Release[4]]-[Release[3]] 0.6651686 0.7170682 0.013636635
#> [Release[5]]-[Release[4]] 0.4430896 0.8012800 0.008142130
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 0.03429542 0.8542862 0.02694416
#> [Release[4]]-[Release[3]] 0.34562909 0.5618714 0.04074979
#> [Release[5]]-[Release[4]] 0.13955247 0.7133441 0.01283545
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 0.8891574 0.6410943 0.14882173 4.762295
#> [Release[4]]-[Release[3]] 1.1002443 0.5768793 0.04719868 1.227166
#> [Release[5]]-[Release[4]] 0.2438735 0.8852044 0.11523084 2.074155
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.02908973
#> [Release[4]]-[Release[3]] 0.26795896
#> [Release[5]]-[Release[4]] 0.14981287