R/VIF.R

In sangeeuw/factorAnalytics: Factor Analytics

#' @title Factor Model Variance Inflation Factor Values
#'
#' @description Calculate and plot the Factor Model Variance Inflaction Factor
#' Values for a fitted model. A VIF for a single explanatory variable (style
#' factor) is obtained using the time series of R-squared values obtained from
#' the regression of that variable against all other explanatory variables. So,
#' at least 2 explanatory variables are required in \code{exposure.vars} of
#' fitted model to find the VIF.
#'
#' @importFrom stats lm
#'
#' @param ffmObj an object of class \code{ffm} produced by \code{fitFfm}
#' @param digits an integer indicating the number of decimal places to be used
#' for rounding. Default is 2.
#' @param isPrint logical. if \code{TRUE}, the time series of the computed
#' factor model values is printed along with their mean values. Else, only the
#' mean values are printed. Default is \code{TRUE}.
#' @param isPlot logical. if \code{TRUE}, the time series of the output is
#' plotted. Default is \code{TRUE}.
#' @param lwd line width relative to the default. Default is 2.
#' @param stripText.cex a number indicating the amount by which strip text in
#' the plot(s) should be scaled relative to the default. 1=default, 1.5 is 50\%
#' larger, 0.5 is 50\% smaller, etc.
#' @param axis.cex a number indicating the amount by which axis in the plot(s)
#' should be scaled relative to the default. 1=default, 1.5 is 50\% larger, 0.5 is 50\% smaller, etc.
#' @param title logical. This argument is mainly used for the documentation
#' purpose when you need a plot without any title. If \code{TRUE}, the plots
#' will have the main tiltle. default is \code{TRUE}.
#' @param ... potentially further arguments passed.
#' @author Avinash Acharya
#'
#' @return \code{ffmRsq} returns the sample mean values and plots the time
#' series of corresponding R squared values and the Variance Inflation factors
#' depending on the values of \code{rsq}, \code{rsqAdj} and \code{VIF}. The
#' time series of the output values are also printed if \code{isPrint} is
#' \code{TRUE}.
#'
#' @examples
#'
#' # Load the data
#'  data("factorDataSetDjia5Yrs")
#'
#' # Fit a Ffm
#' require(factorAnalytics)
#' fit <- fitFfm(data=factorDataSetDjia5Yrs, asset.var="TICKER", ret.var="RETURN",
#'               date.var="DATE", exposure.vars=c("SECTOR", "P2B", "EV2S", "MKTCAP"))
#'
#' # Plot and print the time series of VIF values
#' vif(fit,isPrint=TRUE)
#' @export

vif <- function(ffmObj, digits=2, isPrint=TRUE, isPlot =TRUE, lwd =2,
                stripText.cex =1,axis.cex=1, title = TRUE, ...) {

  # check input object validity
  if (!inherits(ffmObj, c("tsfm", "sfm", "ffm")))
    stop("Invalid argument: Object should be of class 'tsfm', 'sfm' or 'ffm'.")

  n.assets <- length(ffmObj$asset.names)
  exposure.vars <- ffmObj$exposure.vars
  which.numeric <- sapply(ffmObj$data[,exposure.vars,drop=FALSE], is.numeric)
  exposures.num <- exposure.vars[which.numeric]

  if(length(exposures.num) < 2) {
    stop(" At least 2 continous variables required to find VIF")
  }

  object <- ffmObj$data[exposures.num]
  object <- as.matrix(object)
  ncols <- dim(object)[2]
  time.periods <- length(ffmObj$time.periods)
  vifs = matrix(0, nrow=time.periods, ncol=ncols)

  for(i in 1:time.periods) {
    vifs[i,1:ncols] <- sapply(seq(ncols), function(x)
      1/(1 - summary(lm(object[((i-1)*n.assets+1) : (i*n.assets), x] ~
                          object[((i-1)*n.assets+1) :(i*n.assets), -x]))$r.squared))
  }
  colnames(vifs) <- dimnames(object)[[2]]
  vifs.xts <- xts(vifs, order.by = ffmObj$time.periods)
  vifs.mean <- round(colMeans(vifs.xts),digits = digits)

  if(isPlot) {
    if(title) {
      title.vif <- "Factor Model VIF Values"
    } else {
      title.vif <- " "
    }

    # Assuming the number of continous variables in exposure.vars is less than
    # 6,layout=c(1,ncols) is defined.
    tsPlotMP(0.01*vifs.xts, stripLeft=TRUE, layout=c(1,ncols),
             scaleType="same",stripText.cex = stripText.cex, axis.cex=axis.cex,
             color="blue", yname="", lwd=lwd, main=title.vif, type="h")
  }
  vifs.xts <- round(vifs.xts, digits=digits)
  out <- list("Mean.VIF"=vifs.mean)
  ret <- list("VIF"=vifs.xts)

  if(isPrint) {
    print(c(out, ret))
  } else {
    print(out)
    invisible(c(out, ret))
  }
}