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]] 24 0.15292677 3.9717806 -0.05323799
#> [Release[4]]-[Release[3]] 23 0.20521692 5.4223038 0.07379524
#> [Release[5]]-[Release[4]] 18 0.01823896 0.2972448 -0.09969032
#> intercept.stderr intercept.pvalue slope.estimate
#> [Release[3]]-[Release[2]] 0.24481959 0.82985557 -0.23248727
#> [Release[4]]-[Release[3]] 0.10337921 0.48319096 -0.19335393
#> [Release[5]]-[Release[4]] 0.05036041 0.06522634 -0.04846351
#> slope.stderr slope.pvalue skewness kurtosis
#> [Release[3]]-[Release[2]] 0.11665586 0.05881727 -0.05496974 -0.3794160
#> [Release[4]]-[Release[3]] 0.08303498 0.02995006 -0.56937850 -0.3736280
#> [Release[5]]-[Release[4]] 0.08889100 0.59313434 0.16165741 -0.4453516
#> JarqueBera.value JarqueBera.pvalue BreuschPagan.R2
#> [Release[3]]-[Release[2]] 0.1495414 0.9279562 0.05987722
#> [Release[4]]-[Release[3]] 1.3166683 0.5177130 0.01046067
#> [Release[5]]-[Release[4]] 0.2145333 0.8982861 0.10620228
#> BreuschPagan.value BreuschPagan.pvalue White.R2
#> [Release[3]]-[Release[2]] 1.4011987 0.2491559 0.3465408
#> [Release[4]]-[Release[3]] 0.2219963 0.6423809 0.1117543
#> [Release[5]]-[Release[4]] 1.9011421 0.1869233 0.1275179
#> White.value White.pvalue arch.R2 arch.value
#> [Release[3]]-[Release[2]] 8.316978 0.01563115 5.009764e-02 1.1522456366
#> [Release[4]]-[Release[3]] 2.570349 0.27660230 3.052692e-05 0.0006715922
#> [Release[5]]-[Release[4]] 2.295322 0.31737821 4.215557e-05 0.0007166446
#> arch.pvalue
#> [Release[3]]-[Release[2]] 0.2830796
#> [Release[4]]-[Release[3]] 0.9793251
#> [Release[5]]-[Release[4]] 0.9786430