Linear regression model of a latter vintage (L) on a preliminary vintage (P)
Arguments
- vintages.view
mts object. Vertical or diagonal view of the
create_vintages()output- gap
Integer. Gap to consider between each vintages. Default is 1 which means that revisions are calculated and tested for each vintages consecutively.
- 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)
slope_and_drift(vintages[["diagonal_view"]])
#> N R2 F intercept.estimate intercept.stderr
#> Release[2] 38 0.9391994 556.0994 -0.06568268 1.2909579
#> Release[3] 34 0.9843329 2010.4958 0.24997827 0.6488602
#> Release[4] 19 0.9803355 847.5016 -0.08068656 0.8230157
#> Release[5] 8 0.9914649 696.9773 0.86260328 0.8061034
#> intercept.pvalue slope.estimate slope.stderr slope.pvalue
#> Release[2] 0.9597032 0.9890335 0.04194062 0.7952150
#> Release[3] 0.7025957 0.9894999 0.02206806 0.6374460
#> Release[4] 0.9230490 1.0014081 0.03439861 0.9678248
#> Release[5] 0.3257257 0.9604211 0.03637914 0.3183743
#> skewness kurtosis JarqueBera.value JarqueBera.pvalue
#> Release[2] 0.15605397 -0.6334815 0.76884488 0.6808438
#> Release[3] -0.39550546 -0.9955188 2.22303950 0.3290585
#> Release[4] -0.03394303 -0.7621633 0.43912604 0.8028696
#> Release[5] 0.06076384 -0.1652076 0.01226824 0.9938847
#> BreuschPagan.R2 BreuschPagan.value BreuschPagan.pvalue White.R2
#> Release[2] 0.097312987 3.88093269 0.05656759 0.10018015
#> Release[3] 0.010771053 0.34842663 0.55915092 0.02862400
#> Release[4] 0.002025215 0.03449852 0.85484856 0.09595106
#> Release[5] 0.464049947 5.19507305 0.06286266 0.66098032
#> White.value White.pvalue arch.R2 arch.value arch.pvalue
#> Release[2] 3.8068457 0.14905754 0.0004645339 0.01718776 0.8956946
#> Release[3] 0.9732159 0.61470800 0.0219271593 0.72359626 0.3949668
#> Release[4] 1.8230701 0.40190681 0.0094828160 0.17069069 0.6794987
#> Release[5] 5.2878426 0.07108199 0.0470527504 0.32936925 0.5660307