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]] 29 0.24591617 8.805038 0.08575764
#> [Release[4]]-[Release[3]] 27 0.07874309 2.136839 0.09901214
#> [Release[5]]-[Release[4]] 23 0.25484069 7.181893 -0.03872800
#> intercept.stderr intercept.pvalue x(1).estimate
#> [Release[3]]-[Release[2]] 0.19553399 0.6644541 -0.2713391
#> [Release[4]]-[Release[3]] 0.11134016 0.3823321 -0.1360981
#> [Release[5]]-[Release[4]] 0.04141999 0.3604126 -0.1792283
#> x(1).stderr x(1).pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.09144222 0.006223876 -0.44972705 -0.3252401
#> [Release[4]]-[Release[3]] 0.09310352 0.156255186 0.04720293 -0.1288304
#> [Release[5]]-[Release[4]] 0.06687860 0.014020100 -0.01006085 -1.1309021
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 1.06726527 0.5864707 0.1101192072
#> [Release[4]]-[Release[3]] 0.02763554 0.9862773 0.0250155395
#> [Release[5]]-[Release[4]] 1.17273248 0.5563452 0.0001836754
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 3.341142564 0.07863879 0.14560162
#> [Release[4]]-[Release[3]] 0.641434314 0.43073804 0.02512424
#> [Release[5]]-[Release[4]] 0.003857892 0.95106108 0.05599981
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 4.2224470 0.1210897 1.445946e-05 0.0004048648
#> [Release[4]]-[Release[3]] 0.6783545 0.7123562 2.565057e-02 0.6669147320
#> [Release[5]]-[Release[4]] 1.2879956 0.5251886 7.559007e-02 1.6629815149
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.9839466
#> [Release[4]]-[Release[3]] 0.4141293
#> [Release[5]]-[Release[4]] 0.1972012