summary.reg: Summarizes Outcomes from 'reg' Object.

Description Usage Arguments Details Examples

View source: R/summary.reg.R

Description

The function summarizes selected outcomes obtained from roll.reg and rec.reg.

Usage

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## S3 method for class 'reg'
summary(object, ...)

Arguments

object

an object of reg class

...

not used

Details

The function produces the outcomes as print.reg.

Additionally, it provides how often p-values for t-test of statistical significance for each independent variable in the model is below 1%, 5% and 10%, respectively.

Examples

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wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]
roll <- roll.reg(y=ld.wti,x=ld.drivers,window=100)
rec <- rec.reg(y=ld.wti,x=ld.drivers)
summary(roll)
summary(rec)

Example output

Registered S3 method overwritten by 'quantmod':
  method            from
  as.zoo.data.frame zoo 
Mean coefficients: 
  const    MSCI   TB3MS     CSP   TWEXM    PROD    CONS     VXO 
 0.0082  0.0108  0.3985 -0.1219 -0.4829  0.1848 -0.0628  0.0424 

Frequency when p-values for t-test are less than: 
     const MSCI TB3MS  CSP TWEXM PROD CONS  VXO
0.01  0.00 0.00  0.03 0.01  0.00 0.00 0.05 0.00
0.05  0.04 0.09  0.18 0.11  0.01 0.02 0.12 0.01
0.10  0.09 0.23  0.21 0.26  0.15 0.15 0.25 0.06

RMSE:  0.0732
MAE:   0.0587
rolling window:  100
Mean coefficients: 
  const    MSCI   TB3MS     CSP   TWEXM    PROD    CONS     VXO 
 0.0073 -0.1131  0.4177 -0.1548 -0.6541  0.2106 -0.0341  0.0684 

Frequency when p-values for t-test are less than: 
     const MSCI TB3MS  CSP TWEXM PROD CONS  VXO
0.01     0    0  0.06 0.00  0.00 0.00    0 0.00
0.05     0    0  0.32 0.05  0.17 0.00    0 0.01
0.10     0    0  0.48 0.12  0.39 0.02    0 0.06

RMSE:  0.0768
MAE:   0.0613

fDMA documentation built on July 17, 2020, 5:06 p.m.

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