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]] 19 0.3436164 8.899490 0.2174527
#> [Release[4]]-[Release[3]] 10 0.2725891 2.997911 -0.2159651
#> [Release[5]]-[Release[4]] NaN NaN NaN NaN
#> intercept.stderr intercept.pvalue slope.estimate
#> [Release[3]]-[Release[2]] 0.232707 0.3631569 -0.3645881
#> [Release[4]]-[Release[3]] 0.160638 0.2156862 -0.1888791
#> [Release[5]]-[Release[4]] NaN NaN NaN
#> slope.stderr slope.pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.1222137 0.008348265 0.1993646 -0.9786191
#> [Release[4]]-[Release[3]] 0.1090874 0.121614278 0.3260991 -0.7747700
#> [Release[5]]-[Release[4]] NaN NaN NaN NaN
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.8375103 0.6578653 0.11460073
#> [Release[4]]-[Release[3]] 0.3846116 0.8250545 0.01013515
#> [Release[5]]-[Release[4]] NaN NaN NaN
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 2.20037724 0.1562798 0.20540348
#> [Release[4]]-[Release[3]] 0.08191138 0.7819952 0.09343585
#> [Release[5]]-[Release[4]] NaN NaN NaN
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 3.9026661 0.1420845 8.377876e-05 0.0015080176
#> [Release[4]]-[Release[3]] 0.9343585 0.6267677 9.094415e-05 0.0008184973
#> [Release[5]]-[Release[4]] NaN NaN NaN NaN
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.9690234
#> [Release[4]]-[Release[3]] 0.9771761
#> [Release[5]]-[Release[4]] NaN