convergenceDFM (version 0.1.4)

deltaR2_ou: Incremental R-squared from X in OU model

Description

Computes the incremental explanatory power (delta R-squared) contributed by X factors in predicting Y factors, both in-sample and out-of-sample.

Usage

deltaR2_ou(
  results_robust,
  lag = 1,
  oos = TRUE,
  seed = 123,
  ridge = 1e-08,
  verbose = TRUE
)

Value

List with components:

in_sample

Data frame with R2_full, R2_baseline, and deltaR2.

per_equation

Vector of deltaR2 for each Y factor equation.

OOS

List with out-of-sample RMSE and deltaR2 (if oos = TRUE).

Arguments

results_robust

Output from run_complete_factor_analysis_robust()

lag

Number of lags for the model (default: 1)

oos

Logical, perform out-of-sample validation (default: TRUE)

seed

Random seed for reproducibility (default: 123)

ridge

Ridge regularization parameter (default: 1e-08)

verbose

Logical, print progress messages (default: TRUE)