Linear regression model of R_v on R_{v-k} (k = reference)
Arguments
- revisions.view
mts object. Vertical or diagonal view of the
get_revisions()output- reference
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)
orthogonallyModel2(revisions$diagonal_view)
#> N R2 F intercept.estimate
#> [Release[3]]-[Release[2]] 22 0.077572806 1.68192799 -0.13897991
#> [Release[4]]-[Release[3]] 11 0.455470977 7.52804463 -0.05148318
#> [Release[5]]-[Release[4]] 9 0.008626986 0.06091441 0.12369108
#> intercept.stderr intercept.pvalue slope.estimate
#> [Release[3]]-[Release[2]] 0.2508869 0.5857510 -0.18972044
#> [Release[4]]-[Release[3]] 0.1642145 0.7610360 -0.38615859
#> [Release[5]]-[Release[4]] 0.1268689 0.3620641 0.04818244
#> slope.stderr slope.pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.1462886 0.20943158 0.03044126 -0.2406966
#> [Release[4]]-[Release[3]] 0.1407423 0.02270863 -0.65965982 0.3534168
#> [Release[5]]-[Release[4]] 0.1952220 0.81213825 0.94958814 0.2656221
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.05393635 0.9733922 0.004267726
#> [Release[4]]-[Release[3]] 0.77729488 0.6779733 0.006800812
#> [Release[5]]-[Release[4]] 1.22580856 0.5417751 0.287237269
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 0.08572036 0.7727060 0.03048287
#> [Release[4]]-[Release[3]] 0.06162642 0.8095151 0.14220202
#> [Release[5]]-[Release[4]] 2.82093998 0.1369335 0.34810639
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 0.6706231 0.7151153 0.022126242 0.46465109
#> [Release[4]]-[Release[3]] 1.5642222 0.4574393 0.006867118 0.06867118
#> [Release[5]]-[Release[4]] 3.1329575 0.2087791 0.001806174 0.01444939
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.4954583
#> [Release[4]]-[Release[3]] 0.7932815
#> [Release[5]]-[Release[4]] 0.9043203