A practice zscore with R
Chung Nguyen
2023-03-02
#Load library
library(caTools)
library(data.table)
library(psych)
library(table1)##
## Attaching package: 'table1'## The following objects are masked from 'package:base':
##
## units, units<-library(explore)##
## Attaching package: 'explore'## The following object is masked from 'package:psych':
##
## describelibrary(ggplot2)##
## Attaching package: 'ggplot2'## The following objects are masked from 'package:psych':
##
## %+%, alphalibrary(GGally)## Registered S3 method overwritten by 'GGally':
## method from
## +.gg ggplot2##
## Attaching package: 'GGally'## The following object is masked from 'package:explore':
##
## rescale01library(gridExtra)
library(dataframeexplorer)
library(tidyverse)## ── Attaching core tidyverse packages ──────────────────────── tidyverse 2.0.0 ──
## ✔ dplyr 1.1.0 ✔ readr 2.1.4
## ✔ forcats 1.0.0 ✔ stringr 1.5.0
## ✔ lubridate 1.9.2 ✔ tibble 3.1.8
## ✔ purrr 1.0.1 ✔ tidyr 1.3.0## ── Conflicts ────────────────────────────────────────── tidyverse_conflicts() ──
## ✖ ggplot2::%+%() masks psych::%+%()
## ✖ ggplot2::alpha() masks psych::alpha()
## ✖ dplyr::between() masks data.table::between()
## ✖ dplyr::combine() masks gridExtra::combine()
## ✖ dplyr::filter() masks stats::filter()
## ✖ dplyr::first() masks data.table::first()
## ✖ lubridate::hour() masks data.table::hour()
## ✖ lubridate::isoweek() masks data.table::isoweek()
## ✖ dplyr::lag() masks stats::lag()
## ✖ dplyr::last() masks data.table::last()
## ✖ lubridate::mday() masks data.table::mday()
## ✖ lubridate::minute() masks data.table::minute()
## ✖ lubridate::month() masks data.table::month()
## ✖ lubridate::quarter() masks data.table::quarter()
## ✖ lubridate::second() masks data.table::second()
## ✖ purrr::transpose() masks data.table::transpose()
## ✖ lubridate::wday() masks data.table::wday()
## ✖ lubridate::week() masks data.table::week()
## ✖ lubridate::yday() masks data.table::yday()
## ✖ lubridate::year() masks data.table::year()
## ℹ Use the ]8;;http://conflicted.r-lib.org/conflicted package]8;; to force all conflicts to become errorslibrary(readxl)
library(MASS)##
## Attaching package: 'MASS'
##
## The following object is masked from 'package:dplyr':
##
## selectlibrary(ggplot2)
library(explore)
library(tidyverse)
library(broom)
library(nlme)##
## Attaching package: 'nlme'
##
## The following object is masked from 'package:dplyr':
##
## collapselibrary(dplyr)
library(plotly)##
## Attaching package: 'plotly'
##
## The following object is masked from 'package:MASS':
##
## select
##
## The following object is masked from 'package:ggplot2':
##
## last_plot
##
## The following object is masked from 'package:stats':
##
## filter
##
## The following object is masked from 'package:graphics':
##
## layoutlibrary(relaimpo)## Loading required package: boot
##
## Attaching package: 'boot'
##
## The following object is masked from 'package:psych':
##
## logit
##
## Loading required package: survey
## Loading required package: grid
## Loading required package: Matrix
##
## Attaching package: 'Matrix'
##
## The following objects are masked from 'package:tidyr':
##
## expand, pack, unpack
##
## Loading required package: survival
##
## Attaching package: 'survival'
##
## The following object is masked from 'package:boot':
##
## aml
##
##
## Attaching package: 'survey'
##
## The following object is masked from 'package:graphics':
##
## dotchart
##
## Loading required package: mitools
## This is the global version of package relaimpo.
##
## If you are a non-US user, a version with the interesting additional metric pmvd is available
##
## from Ulrike Groempings web site at prof.beuth-hochschule.de/groemping.library(survival)
library(survey)
library(Matrix)
library(psych)
library(gvlma)
library(scatterplot3d)
library(explore)
library(caTools)
library(nlme)Load data
This dataset includes the following variables: size: Quy mô ngân hà ng llr: Tá»· lệ dá»± phòng rủi ro tÃn dụng roa: Tá»· lệ lợi nhuáºn trên tổng tà i sản me: Tá»· lệ chi phà hoạt Ä‘á»™ng eta: Tá»· lệ VCSH trên tổng tà i sản grow: Tốc Ä‘á»™ tăng trưởng tÃn dụng gdp: Tốc Ä‘á»™ tăng trưởng GDP inf: Lạm phát zscore: Rủi ro phá sản (Vá»›i Z – score cà ng cao thì rủi ro cà ng thấp và ngược lại)
getwd()## [1] "/Users/macos/Documents/Research/Journal/Data/Banking/zscore"setwd("/Users/macos/Documents/Research/Journal/Data/Banking/zscore")
zscore=read_xlsx("zscore.xlsx")
names(zscore)## [1] "id" "bank" "year" "zscore" "size" "llr" "roa" "me"
## [9] "eta" "grow" "gdp" "inf"str(zscore)## tibble [360 × 12] (S3: tbl_df/tbl/data.frame)
## $ id : num [1:360] 1 1 1 1 1 1 1 1 1 1 ...
## $ bank : chr [1:360] "ABB" "ABB" "ABB" "ABB" ...
## $ year : num [1:360] 2010 2011 2012 2013 2014 ...
## $ zscore: num [1:360] 4.71 7.84 5.13 1.06 2.74 ...
## $ size : num [1:360] 14.7 17.3 17.2 16.8 16.1 ...
## $ llr : num [1:360] 0.0274 0.0145 0.0124 0.0175 0.0218 ...
## $ roa : num [1:360] 0.0825 0.1354 0.1069 0.0771 0.1042 ...
## $ me : num [1:360] 2.37 3.45 3.88 3.1 2.9 ...
## $ eta : num [1:360] 0.1444 0.0724 0.0724 0.0819 0.0886 ...
## $ grow : num [1:360] 0.1294 0.1068 0.1169 0.0934 0.0857 ...
## $ gdp : num [1:360] 0.0642 0.064 0.055 0.056 0.064 0.07 0.067 0.069 0.075 0.074 ...
## $ inf : num [1:360] 0.092 0.1807 0.091 0.066 0.0409 ...glimpse(zscore)## Rows: 360
## Columns: 12
## $ id <dbl> 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 2, 2, 2, …
## $ bank <chr> "ABB", "ABB", "ABB", "ABB", "ABB", "ABB", "ABB", "ABB", "ABB", …
## $ year <dbl> 2010, 2011, 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2019, 202…
## $ zscore <dbl> 4.70909218, 7.83534645, 5.12970471, 1.06438363, 2.74036965, 5.0…
## $ size <dbl> 14.66076, 17.25691, 17.23327, 16.80813, 16.12409, 16.63945, 16.…
## $ llr <dbl> 0.027399635, 0.014546667, 0.012426667, 0.017546667, 0.021786667…
## $ roa <dbl> 0.082515078, 0.135356916, 0.106941682, 0.077115702, 0.104164348…
## $ me <dbl> 2.366589, 3.448527, 3.877020, 3.104077, 2.895709, 3.055342, 2.6…
## $ eta <dbl> 0.14435677, 0.07239717, 0.07243490, 0.08192391, 0.08863542, 0.0…
## $ grow <dbl> 0.12939401, 0.10677246, 0.11691644, 0.09338707, 0.08568477, 0.1…
## $ gdp <dbl> 0.0642, 0.0640, 0.0550, 0.0560, 0.0640, 0.0700, 0.0670, 0.0690,…
## $ inf <dbl> 0.0920, 0.1807, 0.0910, 0.0660, 0.0409, 0.0063, 0.0266, 0.0353,…dim(zscore)## [1] 360 12zscore %>% head()## # A tibble: 6 × 12
## id bank year zscore size llr roa me eta grow gdp
## <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 1 ABB 2010 4.71 14.7 0.0274 0.0825 2.37 0.144 0.129 0.0642
## 2 1 ABB 2011 7.84 17.3 0.0145 0.135 3.45 0.0724 0.107 0.064
## 3 1 ABB 2012 5.13 17.2 0.0124 0.107 3.88 0.0724 0.117 0.055
## 4 1 ABB 2013 1.06 16.8 0.0175 0.0771 3.10 0.0819 0.0934 0.056
## 5 1 ABB 2014 2.74 16.1 0.0218 0.104 2.90 0.0886 0.0857 0.064
## 6 1 ABB 2015 5.02 16.6 0.0124 0.0860 3.06 0.0549 0.144 0.07
## # … with 1 more variable: inf <dbl>zscore %>% head() %>% data.table()## id bank year zscore size llr roa me eta
## 1: 1 ABB 2010 4.709092 14.66076 0.02739964 0.08251508 2.366589 0.14435677
## 2: 1 ABB 2011 7.835346 17.25691 0.01454667 0.13535692 3.448527 0.07239717
## 3: 1 ABB 2012 5.129705 17.23327 0.01242667 0.10694168 3.877020 0.07243490
## 4: 1 ABB 2013 1.064384 16.80813 0.01754667 0.07711570 3.104077 0.08192391
## 5: 1 ABB 2014 2.740370 16.12409 0.02178667 0.10416435 2.895709 0.08863542
## 6: 1 ABB 2015 5.016284 16.63945 0.01242667 0.08604211 3.055342 0.05486218
## grow gdp inf
## 1: 0.12939401 0.0642 0.0920
## 2: 0.10677246 0.0640 0.1807
## 3: 0.11691644 0.0550 0.0910
## 4: 0.09338707 0.0560 0.0660
## 5: 0.08568477 0.0640 0.0409
## 6: 0.14356244 0.0700 0.0063Descriptive analysis with table1
table1(~zscore+size+llr+roa+me+eta+grow+gdp+inf, data=zscore)| Overall (N=360) |
|
|---|---|
| zscore | |
| Mean (SD) | 4.31 (3.72) |
| Median [Min, Max] | 3.50 [0, 29.8] |
| size | |
| Mean (SD) | 16.1 (2.38) |
| Median [Min, Max] | 16.4 [0, 18.0] |
| llr | |
| Mean (SD) | 0.0173 (0.00954) |
| Median [Min, Max] | 0.0152 [0, 0.104] |
| roa | |
| Mean (SD) | 0.114 (0.0556) |
| Median [Min, Max] | 0.113 [-0.0810, 0.359] |
| me | |
| Mean (SD) | 2.94 (0.643) |
| Median [Min, Max] | 2.90 [0, 4.45] |
| eta | |
| Mean (SD) | 0.106 (0.0746) |
| Median [Min, Max] | 0.0867 [0, 0.808] |
| grow | |
| Mean (SD) | 0.0914 (0.0451) |
| Median [Min, Max] | 0.0885 [0, 0.276] |
| gdp | |
| Mean (SD) | 0.0594 (0.0154) |
| Median [Min, Max] | 0.0641 [0.0260, 0.0750] |
| inf | |
| Mean (SD) | 0.0546 (0.0465) |
| Median [Min, Max] | 0.0354 [0.00630, 0.181] |
Exploreatory analysis with explore package
temp=zscore[, c("zscore","size", "llr","roa", "me", "eta", "grow", "gdp", "inf")]
explore_all(temp)
Graphical analysis with ggplot2
p1=ggplot(data=zscore, aes(x=zscore, col=roa))+geom_histogram()
p2=ggplot(data=zscore, aes(x=zscore, col=roa))+geom_histogram(col="white", fill="blue")
p3=ggplot(data=zscore, aes(x=zscore, col=roa))+geom_histogram(aes(y=..density..), col="white", fill="blue")+geom_density(col="red")
grid.arrange(p1, p2, p3, ncol=3)## `stat_bin()` using `bins = 30`. Pick better value with `binwidth`.## Warning: The following aesthetics were dropped during statistical transformation: colour
## ℹ This can happen when ggplot fails to infer the correct grouping structure in
## the data.
## ℹ Did you forget to specify a `group` aesthetic or to convert a numerical
## variable into a factor?## `stat_bin()` using `bins = 30`. Pick better value with `binwidth`.## Warning: The dot-dot notation (`..density..`) was deprecated in ggplot2 3.4.0.
## ℹ Please use `after_stat(density)` instead.## `stat_bin()` using `bins = 30`. Pick better value with `binwidth`.
More graphical analysis with ggplot2 for variales
fig1 <- plot_ly(zscore, x=~id, y=~year, z=~size)
add_lines(fig1, linetype=~id)## Warning: plotly.js only supports 6 different linetypes## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig2 <- plot_ly(zscore, x=~id, y=~year, z=~llr)
add_lines(fig2, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig3 <- plot_ly(zscore, x=~id, y=~year, z=~roa)
add_lines(fig3, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig4 <- plot_ly(zscore, x=~id, y=~year, z=~me)
add_lines(fig4, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig5 <- plot_ly(zscore, x=~id, y=~year, z=~eta)
add_lines(fig5, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig6 <- plot_ly(zscore, x=~id, y=~year, z=~grow)
add_lines(fig6, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig7 <- plot_ly(zscore, x=~id, y=~year, z=~gdp)
add_lines(fig7, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig8 <- plot_ly(zscore, x=~id, y=~year, z=~inf)
add_lines(fig8, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'fig9 <- plot_ly(zscore, x=~id, y=~year, z=~zscore)
add_lines(fig9, linetype=~id)## Warning: plotly.js only supports 6 different linetypes
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'
## Warning: The following are not valid linetype codes:
## 'NA'
## Valid linetypes include:
## 'solid', 'dot', 'dash', 'longdash', 'dashdot', 'longdashdot'Pool OLS Regression
model1=lm(zscore~size+llr+roa+me+eta+grow+gdp+inf,data=zscore)
summary(model1)##
## Call:
## lm(formula = zscore ~ size + llr + roa + me + eta + grow + gdp +
## inf, data = zscore)
##
## Residuals:
## Min 1Q Median 3Q Max
## -7.4669 -1.7937 -0.2089 1.1202 27.0919
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.07521 1.43676 0.052 0.95828
## size 0.29816 0.14622 2.039 0.04218 *
## llr -41.91304 19.01211 -2.205 0.02813 *
## roa 28.78322 3.42656 8.400 1.12e-15 ***
## me -0.88785 0.57247 -1.551 0.12183
## eta 8.49383 3.09729 2.742 0.00641 **
## grow -11.62307 5.75254 -2.021 0.04409 *
## gdp -6.31924 10.78908 -0.586 0.55845
## inf 0.84764 4.25059 0.199 0.84205
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 3.055 on 351 degrees of freedom
## Multiple R-squared: 0.3392, Adjusted R-squared: 0.3241
## F-statistic: 22.52 on 8 and 351 DF, p-value: < 2.2e-16Correlation analysis with GGally
ggpairs(model1)
Robust model
calc.relimp(model1, type=c("lmg","last","first","pratt"),rela=TRUE)## Response variable: zscore
## Total response variance: 13.80494
## Analysis based on 360 observations
##
## 8 Regressors:
## size llr roa me eta grow gdp inf
## Proportion of variance explained by model: 33.92%
## Metrics are normalized to sum to 100% (rela=TRUE).
##
## Relative importance metrics:
##
## lmg last first pratt
## size 0.03560745 0.0442502952 0.0153925605 0.052855830
## llr 0.02091483 0.0517189800 0.0283995664 -0.040474170
## roa 0.53966655 0.7508851386 0.4524878144 0.646750080
## me 0.02208823 0.0255965322 0.0002179025 0.005060912
## eta 0.21038722 0.0800306721 0.2821364770 0.202187644
## grow 0.13977520 0.0434445087 0.1641410786 0.127436053
## gdp 0.01720920 0.0036506777 0.0297329029 0.010105095
## inf 0.01435131 0.0004231956 0.0274916977 -0.003921445
##
## Average coefficients for different model sizes:
##
## 1X 2Xs 3Xs 4Xs 5Xs
## size 0.14656193 0.20342537 0.22265234 0.22671213 0.2299521
## llr 49.64041454 28.26097514 8.37952517 -7.66172597 -19.7143254
## roa 33.99086960 32.99203213 31.90126871 30.88203933 30.0194182
## me -0.06452467 -0.03886033 -0.03363715 -0.07791254 -0.1878272
## eta 20.00602731 18.56963810 16.71019727 14.72969072 12.8422704
## grow -25.26959773 -24.69422117 -23.49174505 -21.70538303 -19.4214895
## gdp -31.38444692 -24.74331137 -19.26807185 -15.30370370 -12.4671616
## inf -10.03046936 -7.72541581 -5.65172113 -4.07619982 -2.8531826
## 6Xs 7Xs 8Xs
## size 0.2402796 0.2618736 0.2981609
## llr -28.6662329 -35.7326081 -41.9130384
## roa 29.3637202 28.9474696 28.7832206
## me -0.3647983 -0.6009543 -0.8878507
## eta 11.1735805 9.7522137 8.4938334
## grow -16.8003126 -14.0896289 -11.6230703
## gdp -10.2539026 -8.2700499 -6.3192434
## inf -1.7563193 -0.5851905 0.8476437boot <- boot.relimp(model1, b=1000, type=c("lmg", "last", "first", "pratt"), rank = TRUE, diff=TRUE, rela= TRUE)
booteval.relimp(boot)## Response variable: zscore
## Total response variance: 13.80494
## Analysis based on 360 observations
##
## 8 Regressors:
## size llr roa me eta grow gdp inf
## Proportion of variance explained by model: 33.92%
## Metrics are normalized to sum to 100% (rela=TRUE).
##
## Relative importance metrics:
##
## lmg last first pratt
## size 0.03560745 0.0442502952 0.0153925605 0.052855830
## llr 0.02091483 0.0517189800 0.0283995664 -0.040474170
## roa 0.53966655 0.7508851386 0.4524878144 0.646750080
## me 0.02208823 0.0255965322 0.0002179025 0.005060912
## eta 0.21038722 0.0800306721 0.2821364770 0.202187644
## grow 0.13977520 0.0434445087 0.1641410786 0.127436053
## gdp 0.01720920 0.0036506777 0.0297329029 0.010105095
## inf 0.01435131 0.0004231956 0.0274916977 -0.003921445
##
## Average coefficients for different model sizes:
##
## 1X 2Xs 3Xs 4Xs 5Xs
## size 0.14656193 0.20342537 0.22265234 0.22671213 0.2299521
## llr 49.64041454 28.26097514 8.37952517 -7.66172597 -19.7143254
## roa 33.99086960 32.99203213 31.90126871 30.88203933 30.0194182
## me -0.06452467 -0.03886033 -0.03363715 -0.07791254 -0.1878272
## eta 20.00602731 18.56963810 16.71019727 14.72969072 12.8422704
## grow -25.26959773 -24.69422117 -23.49174505 -21.70538303 -19.4214895
## gdp -31.38444692 -24.74331137 -19.26807185 -15.30370370 -12.4671616
## inf -10.03046936 -7.72541581 -5.65172113 -4.07619982 -2.8531826
## 6Xs 7Xs 8Xs
## size 0.2402796 0.2618736 0.2981609
## llr -28.6662329 -35.7326081 -41.9130384
## roa 29.3637202 28.9474696 28.7832206
## me -0.3647983 -0.6009543 -0.8878507
## eta 11.1735805 9.7522137 8.4938334
## grow -16.8003126 -14.0896289 -11.6230703
## gdp -10.2539026 -8.2700499 -6.3192434
## inf -1.7563193 -0.5851905 0.8476437
##
##
## Confidence interval information ( 1000 bootstrap replicates, bty= perc ):
## Relative Contributions with confidence intervals:
##
## Lower Upper
## percentage 0.95 0.95 0.95
## size.lmg 0.0356 ___DEFG_ 0.0128 0.0874
## llr.lmg 0.0209 ___DEFGH 0.0138 0.1032
## roa.lmg 0.5397 AB______ 0.2883 0.6530
## me.lmg 0.0221 ___DEFGH 0.0150 0.0492
## eta.lmg 0.2104 ABC_____ 0.0891 0.3930
## grow.lmg 0.1398 _BCD____ 0.0783 0.2134
## gdp.lmg 0.0172 __CDEFGH 0.0026 0.1542
## inf.lmg 0.0144 ____EFGH 0.0045 0.0463
##
## size.last 0.0443 _BCDEFG_ 0.0007 0.1520
## llr.last 0.0517 _BCDEFGH 0.0003 0.2608
## roa.last 0.7509 AB______ 0.3019 0.8771
## me.last 0.0256 __CDEFGH 0.0001 0.1000
## eta.last 0.0800 _BCDEFGH 0.0008 0.3558
## grow.last 0.0434 _BCDEFGH 0.0002 0.1676
## gdp.last 0.0037 _BCDEFGH 0.0000 0.1722
## inf.last 0.0004 ___DEFGH 0.0000 0.0290
##
## size.first 0.0154 ___DEFGH 0.0001 0.0584
## llr.first 0.0284 ___DEFGH 0.0001 0.1149
## roa.first 0.4525 AB______ 0.2802 0.5739
## me.first 0.0002 ____EFGH 0.0000 0.0295
## eta.first 0.2821 ABC_____ 0.1667 0.4013
## grow.first 0.1641 _BCD____ 0.0909 0.2355
## gdp.first 0.0297 __CDEFGH 0.0012 0.1475
## inf.first 0.0275 ___DEFG_ 0.0054 0.0705
##
## size.pratt 0.0529 _BCDEFG_ -0.0123 0.1894
## llr.pratt -0.0405 ___DEFGH -0.0784 0.0555
## roa.pratt 0.6468 AB______ 0.3317 0.7881
## me.pratt 0.0051 __CDEFGH -0.0411 0.0934
## eta.pratt 0.2022 ABCDEF__ 0.0150 0.5946
## grow.pratt 0.1274 _BCDEFG_ -0.0217 0.2695
## gdp.pratt 0.0101 __CDEFG_ -0.0123 0.1579
## inf.pratt -0.0039 ___DEFGH -0.0262 0.0378
##
## Letters indicate the ranks covered by bootstrap CIs.
## (Rank bootstrap confidence intervals always obtained by percentile method)
## CAUTION: Bootstrap confidence intervals can be somewhat liberal.
##
##
## Differences between Relative Contributions:
##
## Lower Upper
## difference 0.95 0.95 0.95
## size-llr.lmg 0.0147 -0.0750 0.0511
## size-roa.lmg -0.5041 * -0.6246 -0.2322
## size-me.lmg 0.0135 -0.0105 0.0474
## size-eta.lmg -0.1748 * -0.3690 -0.0260
## size-grow.lmg -0.1042 * -0.1779 -0.0257
## size-gdp.lmg 0.0184 -0.0906 0.0543
## size-inf.lmg 0.0213 -0.0109 0.0620
## llr-roa.lmg -0.5188 * -0.6267 -0.2286
## llr-me.lmg -0.0012 -0.0192 0.0769
## llr-eta.lmg -0.1895 * -0.3501 -0.0499
## llr-grow.lmg -0.1189 * -0.1901 -0.0094
## llr-gdp.lmg 0.0037 -0.1162 0.0795
## llr-inf.lmg 0.0066 -0.0173 0.0861
## roa-me.lmg 0.5176 * 0.2614 0.6290
## roa-eta.lmg 0.3293 -0.0423 0.5465
## roa-grow.lmg 0.3999 * 0.1374 0.5393
## roa-gdp.lmg 0.5225 * 0.1831 0.6387
## roa-inf.lmg 0.5253 * 0.2709 0.6404
## me-eta.lmg -0.1883 * -0.3736 -0.0570
## me-grow.lmg -0.1177 * -0.1871 -0.0502
## me-gdp.lmg 0.0049 -0.1160 0.0295
## me-inf.lmg 0.0077 -0.0185 0.0316
## eta-grow.lmg 0.0706 -0.0774 0.2787
## eta-gdp.lmg 0.1932 -0.0022 0.3684
## eta-inf.lmg 0.1960 * 0.0645 0.3786
## grow-gdp.lmg 0.1226 -0.0153 0.1921
## grow-inf.lmg 0.1254 * 0.0609 0.1957
## gdp-inf.lmg 0.0029 -0.0242 0.1203
##
## size-llr.last -0.0075 -0.2253 0.0981
## size-roa.last -0.7066 * -0.8655 -0.2166
## size-me.last 0.0187 -0.0131 0.0772
## size-eta.last -0.0358 -0.3528 0.1319
## size-grow.last 0.0008 -0.1185 0.0948
## size-gdp.last 0.0406 -0.0948 0.1118
## size-inf.last 0.0438 -0.0120 0.1385
## llr-roa.last -0.6992 * -0.8723 -0.0926
## llr-me.last 0.0261 -0.0560 0.2274
## llr-eta.last -0.0283 -0.2706 0.1610
## llr-grow.last 0.0083 -0.1507 0.2350
## llr-gdp.last 0.0481 -0.1398 0.2343
## llr-inf.last 0.0513 -0.0145 0.2595
## roa-me.last 0.7253 * 0.2647 0.8719
## roa-eta.last 0.6709 * 0.0399 0.8613
## roa-grow.last 0.7074 * 0.2386 0.8401
## roa-gdp.last 0.7472 * 0.1805 0.8764
## roa-inf.last 0.7505 * 0.2912 0.8728
## me-eta.last -0.0544 -0.3507 0.0747
## me-grow.last -0.0178 -0.1529 0.0725
## me-gdp.last 0.0219 -0.1433 0.0785
## me-inf.last 0.0252 -0.0150 0.0869
## eta-grow.last 0.0366 -0.1544 0.3531
## eta-gdp.last 0.0764 -0.1320 0.3399
## eta-inf.last 0.0796 -0.0129 0.3526
## grow-gdp.last 0.0398 -0.1087 0.1442
## grow-inf.last 0.0430 -0.0090 0.1643
## gdp-inf.last 0.0032 -0.0184 0.1656
##
## size-llr.first -0.0130 -0.0971 0.0407
## size-roa.first -0.4371 * -0.5497 -0.2616
## size-me.first 0.0152 -0.0250 0.0479
## size-eta.first -0.2667 * -0.3948 -0.1324
## size-grow.first -0.1487 * -0.2341 -0.0400
## size-gdp.first -0.0143 -0.1218 0.0345
## size-inf.first -0.0121 -0.0497 0.0278
## llr-roa.first -0.4241 * -0.5633 -0.2167
## llr-me.first 0.0282 -0.0191 0.1090
## llr-eta.first -0.2537 * -0.3935 -0.1073
## llr-grow.first -0.1357 * -0.2179 -0.0189
## llr-gdp.first -0.0013 -0.1187 0.0817
## llr-inf.first 0.0009 -0.0547 0.0955
## roa-me.first 0.4523 * 0.2719 0.5694
## roa-eta.first 0.1704 -0.0711 0.3875
## roa-grow.first 0.2883 * 0.0883 0.4460
## roa-gdp.first 0.4228 * 0.1636 0.5563
## roa-inf.first 0.4250 * 0.2377 0.5495
## me-eta.first -0.2819 * -0.3945 -0.1597
## me-grow.first -0.1639 * -0.2263 -0.0827
## me-gdp.first -0.0295 -0.1423 0.0080
## me-inf.first -0.0273 -0.0648 0.0099
## eta-grow.first 0.1180 -0.0221 0.2596
## eta-gdp.first 0.2524 * 0.0764 0.3850
## eta-inf.first 0.2546 * 0.1259 0.3830
## grow-gdp.first 0.1344 -0.0066 0.2093
## grow-inf.first 0.1366 * 0.0474 0.2079
## gdp-inf.first 0.0022 -0.0408 0.0956
##
## size-llr.pratt 0.0933 -0.0396 0.2331
## size-roa.pratt -0.5939 * -0.7446 -0.2558
## size-me.pratt 0.0478 -0.0907 0.2206
## size-eta.pratt -0.1493 -0.5905 0.1138
## size-grow.pratt -0.0746 -0.2372 0.0866
## size-gdp.pratt 0.0428 -0.0954 0.1498
## size-inf.pratt 0.0568 -0.0274 0.1990
## llr-roa.pratt -0.6872 * -0.8177 -0.3716
## llr-me.pratt -0.0455 -0.1292 0.0477
## llr-eta.pratt -0.2427 * -0.6586 -0.0024
## llr-grow.pratt -0.1679 -0.2975 0.0031
## llr-gdp.pratt -0.0506 -0.1932 0.0390
## llr-inf.pratt -0.0366 -0.0910 0.0584
## roa-me.pratt 0.6417 * 0.2991 0.8040
## roa-eta.pratt 0.4446 -0.1669 0.7275
## roa-grow.pratt 0.5193 * 0.1860 0.6945
## roa-gdp.pratt 0.6366 * 0.2313 0.7897
## roa-inf.pratt 0.6507 * 0.3324 0.7885
## me-eta.pratt -0.1971 -0.5852 0.0047
## me-grow.pratt -0.1224 -0.2675 0.0517
## me-gdp.pratt -0.0050 -0.1427 0.0686
## me-inf.pratt 0.0090 -0.0454 0.1041
## eta-grow.pratt 0.0748 -0.2121 0.6159
## eta-gdp.pratt 0.1921 -0.0741 0.5556
## eta-inf.pratt 0.2061 * 0.0117 0.5868
## grow-gdp.pratt 0.1173 -0.0732 0.2533
## grow-inf.pratt 0.1314 -0.0279 0.2764
## gdp-inf.pratt 0.0140 -0.0255 0.1595
##
## * indicates that CI for difference does not include 0.
## CAUTION: Bootstrap confidence intervals can be somewhat liberal.plot(booteval.relimp(boot, sort=TRUE)) 
AIC(model1)## [1] 1836.516