# regime_model_summary

target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.335428503859592
full_r2: 0.3524162491632
test_rmse: 22.7312013298831
test_mae: 19.2413699064178
test_r2: 0.396803050626259
high_leverage_month_count: 14
max_cooks_distance: 0.519176739535578
coef_intercept: -12.9982788597658
hac_se_intercept: 6.46407074503565
t_intercept: -2.01085034066937
p_intercept: 0.0453856405573196
coef_GM2_YoY_lag: 3.61304134376244
hac_se_GM2_YoY_lag: 0.955381156036104
t_GM2_YoY_lag: 3.78177999527752
p_GM2_YoY_lag: 0.000193707400674814
regime: war_spr_2022_2023
coef_CI_zscore: -2.60030295347649
hac_se_CI_zscore: 0.902232782490273
t_CI_zscore: -2.88207545097101
p_CI_zscore: 0.00428455506513359
coef_CI_monthly_change: -0.000273337409486096
hac_se_CI_monthly_change: 0.000237678732862849
t_CI_monthly_change: -1.1500288906531
p_CI_monthly_change: 0.2512009767872
coef_GM2_x_war_spr_2022_2023: 2.94260304443068
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-04;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2022-01;2023-02


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.396867227209485
full_r2: 0.397571788187597
test_rmse: 26.0881366104494
test_mae: 22.4544496463879
test_r2: 0.205487966400304
high_leverage_month_count: 14
max_cooks_distance: 0.180610472101913
coef_intercept: -11.45647273928
hac_se_intercept: 6.35101101527647
t_intercept: -1.80388173028247
p_intercept: 0.0724207397046346
coef_GM2_YoY_lag: 3.88347057836974
hac_se_GM2_YoY_lag: 0.882658791896814
t_GM2_YoY_lag: 4.39974156947358
p_GM2_YoY_lag: 1.58928496136745e-05
regime: war_spr_2022_2023
coef_CI_zscore: -2.19307951422555
hac_se_CI_zscore: 0.504909933147147
t_CI_zscore: -4.34350637658463
p_CI_zscore: 2.01980071232732e-05
coef_CI_monthly_change: -0.000193996268829988
hac_se_CI_monthly_change: 0.000237160322101476
t_CI_monthly_change: -0.817996311992615
p_CI_monthly_change: 0.414117042506841
coef_GM2_x_CI_zscore: -0.803683760024807
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.307810532147265
full_r2: 0.285032541138274
test_rmse: 30.2443624998047
test_mae: 24.6814753494334
test_r2: -0.0678327316278047
high_leverage_month_count: 15
max_cooks_distance: 0.457556297244424
coef_intercept: -21.0385858979268
hac_se_intercept: 6.0507458269317
t_intercept: -3.47702357687621
p_intercept: 0.000594085862884564
coef_GM2_YoY_lag: 3.8569716656357
hac_se_GM2_YoY_lag: 1.15360233383166
t_GM2_YoY_lag: 3.34341527623722
p_GM2_YoY_lag: 0.000949344837249289
regime: normal_period
coef_GM2_x_normal_period: 1.01090701073097
hac_se_GM2_x_normal_period: 1.0545436992971
t_GM2_x_normal_period: 0.958620312657295
p_GM2_x_normal_period: 0.33864061676917
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2009-05;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.364829990956112
full_r2: 0.356594671359678
test_rmse: 26.9365696653916
test_mae: 21.8766989593891
test_r2: 0.15296972063878
high_leverage_month_count: 13
max_cooks_distance: 1.33718670399378
coef_intercept: -14.004256041591
hac_se_intercept: 5.82980705450232
t_intercept: -2.40218173786312
p_intercept: 0.0170077216291917
coef_GM2_YoY_lag: 3.45251064408574
hac_se_GM2_YoY_lag: 1.11731990849637
t_GM2_YoY_lag: 3.0899929535239
p_GM2_YoY_lag: 0.00222159683102374
regime: normal_period
coef_CI_zscore: -3.31631404464244
hac_se_CI_zscore: 1.38885391115346
t_CI_zscore: -2.38780624658227
p_CI_zscore: 0.0176722367623341
coef_CI_monthly_change: -0.000324625403689272
hac_se_CI_monthly_change: 0.000225239703550616
t_CI_monthly_change: -1.4412441437809
p_CI_monthly_change: 0.150733027925643
coef_GM2_x_normal_period: 0.390785967389135
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-04;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.442132830685394
full_r2: 0.447164462753902
test_rmse: 22.4818930305205
test_mae: 19.7240864339767
test_r2: 0.409961821551224
high_leverage_month_count: 15
max_cooks_distance: 0.218426538369742
coef_intercept: -9.9761441379196
hac_se_intercept: 5.94322965572309
t_intercept: -1.67857288306417
p_intercept: 0.0944507652753683
coef_GM2_YoY_lag: 3.65030859572894
hac_se_GM2_YoY_lag: 0.882521598206971
t_GM2_YoY_lag: 4.13622579112546
p_GM2_YoY_lag: 4.78618898642758e-05
regime: normal_period
coef_CI_zscore: -2.81850358757337
hac_se_CI_zscore: 0.507248172171308
t_CI_zscore: -5.55645883455545
p_CI_zscore: 6.87403642896101e-08
coef_CI_monthly_change: -0.000142610554948686
hac_se_CI_monthly_change: 0.000221051745755961
t_CI_monthly_change: -0.645145571960903
p_CI_monthly_change: 0.519408360979369
coef_GM2_x_CI_zscore: -1.46052587668032
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-12;2015-07;2016-08;2016-12;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.325068092439043
full_r2: 0.316700321614573
test_rmse: 27.4986283113483
test_mae: 23.4602800985239
test_r2: 0.117252652774807
high_leverage_month_count: 24
max_cooks_distance: 0.32921560917483
coef_intercept: -22.5093971912917
hac_se_intercept: 5.53850480397628
t_intercept: -4.06416496653237
p_intercept: 6.39679608496202e-05
coef_GM2_YoY_lag: 5.06561438581595
hac_se_GM2_YoY_lag: 0.771027117668644
t_GM2_YoY_lag: 6.56995619185594
p_GM2_YoY_lag: 2.74654077259129e-10
coef_GM2_x_financial_crisis_2008_2009: -2.81434894733248
hac_se_GM2_x_financial_crisis_2008_2009: 1.59459964539164
t_GM2_x_financial_crisis_2008_2009: -1.76492510547453
p_GM2_x_financial_crisis_2008_2009: 0.0787548641730966
regime: financial_crisis_2008_2009
high_leverage_months:
2006-05;2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2009-06;2009-12;2020-12;2021-01;2021-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.418932963347069
full_r2: 0.412785142303705
test_rmse: 24.3037877502773
test_mae: 19.9858431967464
test_r2: 0.310455518813277
high_leverage_month_count: 19
max_cooks_distance: 0.6440236753961
coef_intercept: -13.099135839349
hac_se_intercept: 5.56232332218651
t_intercept: -2.35497562450215
p_intercept: 0.0192792736978669
coef_GM2_YoY_lag: 4.29278483813379
hac_se_GM2_YoY_lag: 0.779735571249487
t_GM2_YoY_lag: 5.50543671010779
p_GM2_YoY_lag: 8.94295648645738e-08
coef_GM2_x_financial_crisis_2008_2009: -1.68806607509786
hac_se_GM2_x_financial_crisis_2008_2009: 1.25986674454878
t_GM2_x_financial_crisis_2008_2009: -1.33987668330942
p_GM2_x_financial_crisis_2008_2009: 0.181473547368387
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.61037974290755
hac_se_CI_zscore: 0.918204958030642
t_CI_zscore: -2.8429161921607
p_CI_zscore: 0.00483076660831694
coef_CI_monthly_change: -0.000281604183768991
high_leverage_months:
2008-01;2008-02;2008-03;2008-05;2008-06;2008-09;2008-10;2008-11;2008-12;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.432172533350266
full_r2: 0.423247972842177
test_rmse: 25.2781673328888
test_mae: 21.0907322061026
test_r2: 0.254057196904373
high_leverage_month_count: 15
max_cooks_distance: 0.170765504332192
coef_intercept: -8.59957632302981
hac_se_intercept: 6.20256213498415
t_intercept: -1.38645548982506
p_intercept: 0.166814107475531
coef_GM2_YoY_lag: 3.72123589079357
hac_se_GM2_YoY_lag: 0.895044755846558
t_GM2_YoY_lag: 4.15759755753658
p_GM2_YoY_lag: 4.39061355870241e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.52068852830604
hac_se_CI_zscore: 0.503325912191992
t_CI_zscore: -5.0080642924351
p_CI_zscore: 1.02501433918434e-06
coef_CI_monthly_change: -0.000183268122434743
hac_se_CI_monthly_change: 0.000225476160506172
t_CI_monthly_change: -0.812804874907061
p_CI_monthly_change: 0.417085178550014
coef_GM2_x_CI_zscore: -0.563804900174863
high_leverage_months:
2008-07;2008-08;2008-09;2008-10;2008-11;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.247297675825715
full_r2: 0.25247543258418
test_rmse: 26.21309075357
test_mae: 20.8793344965889
test_r2: 0.197858803279682
high_leverage_month_count: 13
max_cooks_distance: 0.253056012981872
coef_intercept: -16.9776619547847
hac_se_intercept: 6.34688272650739
t_intercept: -2.67496071478972
p_intercept: 0.0079496822904197
coef_GM2_YoY_lag: 3.94284870357667
hac_se_GM2_YoY_lag: 1.00155339278203
t_GM2_YoY_lag: 3.9367334103123
p_GM2_YoY_lag: 0.000106208283283005
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -0.952566680324082
hac_se_GM2_x_shale_regime_2014_2017: 1.61488278564026
t_GM2_x_shale_regime_2014_2017: -0.589867381579906
p_GM2_x_shale_regime_2014_2017: 0.555793805852393
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2014-12;2015-01;2017-01;2017-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.330714246371162
full_r2: 0.325110642868945
test_rmse: 28.2019738072907
test_mae: 24.6406483298011
test_r2: 0.0715182555000027
high_leverage_month_count: 13
max_cooks_distance: 0.47188019285553
coef_intercept: -8.11230929033789
hac_se_intercept: 6.7829976158786
t_intercept: -1.19597702221617
p_intercept: 0.232812093497819
coef_GM2_YoY_lag: 3.48172894394189
hac_se_GM2_YoY_lag: 0.987280872681483
t_GM2_YoY_lag: 3.52658401502849
p_GM2_YoY_lag: 0.000498695576317543
regime: shale_regime_2014_2017
coef_CI_zscore: -7.02173867294044
hac_se_CI_zscore: 3.7637382448142
t_CI_zscore: -1.86562885519874
p_CI_zscore: 0.0632370592889555
coef_CI_monthly_change: -0.000323030792711343
hac_se_CI_monthly_change: 0.000231573923990046
t_CI_monthly_change: -1.39493595455604
p_CI_monthly_change: 0.164244240416063
coef_GM2_x_shale_regime_2014_2017: -1.06899280923902
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.256761581872175
full_r2: 0.258675713926218
test_rmse: 26.460548489737
test_mae: 20.6134565331933
test_r2: 0.182642515269
high_leverage_month_count: 19
max_cooks_distance: 0.865011717675521
coef_intercept: -16.6084354340651
hac_se_intercept: 6.52090676003723
t_intercept: -2.54695183434431
p_intercept: 0.0114459839358272
coef_GM2_YoY_lag: 3.61936999084991
hac_se_GM2_YoY_lag: 1.06261918524975
t_GM2_YoY_lag: 3.40608379849573
p_GM2_YoY_lag: 0.000763769107984036
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 1.06744725736573
hac_se_GM2_x_covid_2020_2021: 1.51658910262704
t_GM2_x_covid_2020_2021: 0.703847374029453
p_GM2_x_covid_2020_2021: 0.482160125337246
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2020-04;2020-05;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.388509995289529
full_r2: 0.382284814628003
test_rmse: 26.0403423410052
test_mae: 21.8519595174279
test_r2: 0.208396440762625
high_leverage_month_count: 13
max_cooks_distance: 0.188896981274784
coef_intercept: -7.47933938060054
hac_se_intercept: 6.66459759595056
t_intercept: -1.12224920903627
p_intercept: 0.262807960658097
coef_GM2_YoY_lag: 3.4894842558995
hac_se_GM2_YoY_lag: 0.940626189983826
t_GM2_YoY_lag: 3.70974601075003
p_GM2_YoY_lag: 0.000254457423778165
regime: covid_2020_2021
coef_CI_zscore: -2.60040872349706
hac_se_CI_zscore: 0.541980888000178
t_CI_zscore: -4.79797125889834
p_CI_zscore: 2.72519427491069e-06
coef_CI_monthly_change: -0.000213144266699938
hac_se_CI_monthly_change: 0.000220102256265588
t_CI_monthly_change: -0.968387468244517
p_CI_monthly_change: 0.33376488703433
coef_GM2_x_CI_zscore: -0.674629244986679
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2017-02;2020-04;2021-03;2021-04;2021-05;2021-07


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.252188146309744
full_r2: 0.284239752514222
test_rmse: 22.2230933244482
test_mae: 18.2808334884709
test_r2: 0.423468050422022
high_leverage_month_count: 13
max_cooks_distance: 0.275159912150102
coef_intercept: -18.420660285987
hac_se_intercept: 6.35292633957998
t_intercept: -2.8995551500767
p_intercept: 0.00405743368128864
coef_GM2_YoY_lag: 3.85794082869117
hac_se_GM2_YoY_lag: 1.01884242282127
t_GM2_YoY_lag: 3.78659225634537
p_GM2_YoY_lag: 0.000189880281733501
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 4.77803113493748
hac_se_GM2_x_war_spr_2022_2023: 1.08494504054662
t_GM2_x_war_spr_2022_2023: 4.4039384082812
p_GM2_x_war_spr_2022_2023: 1.55654406370775e-05
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2021-03;2021-04;2021-05;2021-10;2022-01;2022-02;2022-06


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.271182026363906
full_r2: 0.260435244779915
test_rmse: 28.7629047741103
test_mae: 23.4416118914226
test_r2: 0.0342163556430537
high_leverage_month_count: 14
max_cooks_distance: 0.404023251204017
coef_intercept: -19.6658521437301
hac_se_intercept: 5.91955166455413
t_intercept: -3.3221860806601
p_intercept: 0.00102189974441957
coef_GM2_YoY_lag: 3.69398560311034
hac_se_GM2_YoY_lag: 1.24045644920182
t_GM2_YoY_lag: 2.97792446118302
p_GM2_YoY_lag: 0.00317717337593959
regime: normal_period
coef_GM2_x_normal_period: 0.960744840146654
hac_se_GM2_x_normal_period: 1.09873901473874
t_GM2_x_normal_period: 0.874406776549301
p_GM2_x_normal_period: 0.382706850833532
high_leverage_months:
2006-05;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2009-06;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.335849763202249
full_r2: 0.336840332793095
test_rmse: 25.4409077130419
test_mae: 20.2192389479097
test_r2: 0.244421547041664
high_leverage_month_count: 13
max_cooks_distance: 1.35326657412496
coef_intercept: -12.394611461506
hac_se_intercept: 5.64916733186869
t_intercept: -2.19405989119568
p_intercept: 0.0291301375720867
coef_GM2_YoY_lag: 3.27232190467076
hac_se_GM2_YoY_lag: 1.18992748881851
t_GM2_YoY_lag: 2.75001790900711
p_GM2_YoY_lag: 0.00638417037990746
regime: normal_period
coef_CI_zscore: -3.36185405793066
hac_se_CI_zscore: 1.36426702378792
t_CI_zscore: -2.46421997989543
p_CI_zscore: 0.0143888933559093
coef_CI_monthly_change: -0.000383938562078079
hac_se_CI_monthly_change: 0.000222026905094643
t_CI_monthly_change: -1.72924340820054
p_CI_monthly_change: 0.0849710158390358
coef_GM2_x_normal_period: 0.354875940678477
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 6
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.293595012212836
full_r2: 0.294303287133216
test_rmse: 26.2730054677998
test_mae: 21.6063559043056
test_r2: 0.194187737859411
high_leverage_month_count: 21
max_cooks_distance: 0.293590125741803
coef_intercept: -20.9888545068879
hac_se_intercept: 5.33770044762733
t_intercept: -3.93219040911479
p_intercept: 0.000108221178073631
coef_GM2_YoY_lag: 4.88587895109776
hac_se_GM2_YoY_lag: 0.747520939201852
t_GM2_YoY_lag: 6.53610981963201
p_GM2_YoY_lag: 3.35564021014534e-10
coef_GM2_x_financial_crisis_2008_2009: -3.03084977957922
hac_se_GM2_x_financial_crisis_2008_2009: 1.65404268513447
t_GM2_x_financial_crisis_2008_2009: -1.83238909540766
p_GM2_x_financial_crisis_2008_2009: 0.0680460191142405
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2009-07;2009-12;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.402635891043616
full_r2: 0.401067736746845
test_rmse: 23.8030402707337
test_mae: 18.8149773175651
test_r2: 0.338577107609409
high_leverage_month_count: 19
max_cooks_distance: 0.585839695373965
coef_intercept: -11.9935874114587
hac_se_intercept: 5.23874317951368
t_intercept: -2.28940167526442
p_intercept: 0.0228736540959156
coef_GM2_YoY_lag: 4.18895281718637
hac_se_GM2_YoY_lag: 0.735475809481384
t_GM2_YoY_lag: 5.69556845131342
p_GM2_YoY_lag: 3.37893479862572e-08
coef_GM2_x_financial_crisis_2008_2009: -1.79587590539736
hac_se_GM2_x_financial_crisis_2008_2009: 1.30965457301401
t_GM2_x_financial_crisis_2008_2009: -1.37125921781372
p_GM2_x_financial_crisis_2008_2009: 0.171499663790475
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.74938021943997
hac_se_CI_zscore: 0.867079511356676
t_CI_zscore: -3.17085132727696
p_CI_zscore: 0.00170582036769495
coef_CI_monthly_change: -0.000332912104345162
high_leverage_months:
2008-01;2008-02;2008-03;2008-05;2008-06;2008-09;2008-10;2008-11;2008-12;2009-01;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.423268101262973
full_r2: 0.418377002533947
test_rmse: 24.565364701404
test_mae: 19.6120464392705
test_r2: 0.295532776491457
high_leverage_month_count: 13
max_cooks_distance: 0.176776608284286
coef_intercept: -8.54422364888912
hac_se_intercept: 5.83190712590008
t_intercept: -1.46508225601594
p_intercept: 0.144130323943794
coef_GM2_YoY_lag: 3.70849768281451
hac_se_GM2_YoY_lag: 0.856729729726705
t_GM2_YoY_lag: 4.32866696945081
p_GM2_YoY_lag: 2.15664334575205e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.26738639625769
hac_se_CI_zscore: 0.419914672172485
t_CI_zscore: -5.39963603683352
p_CI_zscore: 1.52869264358202e-07
coef_CI_monthly_change: -0.000229256267343381
hac_se_CI_monthly_change: 0.000214902441329975
t_CI_monthly_change: -1.06679228921074
p_CI_monthly_change: 0.287074592646024
coef_GM2_x_CI_zscore: -0.524655086064637
high_leverage_months:
2008-07;2008-09;2008-10;2008-11;2008-12;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 6
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.206531791328552
full_r2: 0.219976544000859
test_rmse: 25.2756991173762
test_mae: 19.4743323689634
test_r2: 0.254202860764183
high_leverage_month_count: 16
max_cooks_distance: 0.221150386036766
coef_intercept: -14.8110543708656
hac_se_intercept: 6.60025465778543
t_intercept: -2.24401256296906
p_intercept: 0.0256799441256563
coef_GM2_YoY_lag: 3.65353668322076
hac_se_GM2_YoY_lag: 1.08767032435708
t_GM2_YoY_lag: 3.35904786717461
p_GM2_YoY_lag: 0.000900302184674739
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.1549397221158
hac_se_GM2_x_shale_regime_2014_2017: 1.67993221240313
t_GM2_x_shale_regime_2014_2017: -0.687491860438623
p_GM2_x_shale_regime_2014_2017: 0.492390384980467
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2014-12;2015-01;2016-12;2017-01;2017-02;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.307140804527931
full_r2: 0.301487160406304
test_rmse: 29.770578761349
test_mae: 26.0061042443657
test_r2: -0.03463916685955
high_leverage_month_count: 14
max_cooks_distance: 0.449842494496813
coef_intercept: -6.24235828051123
hac_se_intercept: 6.96287886539233
t_intercept: -0.896519730012495
p_intercept: 0.370820819606462
coef_GM2_YoY_lag: 3.25235961574375
hac_se_GM2_YoY_lag: 1.04080560315887
t_GM2_YoY_lag: 3.12484829623587
p_GM2_YoY_lag: 0.00198468491694315
regime: shale_regime_2014_2017
coef_CI_zscore: -7.15672936287532
hac_se_CI_zscore: 3.65594706745804
t_CI_zscore: -1.95755825530903
p_CI_zscore: 0.0513725631231168
coef_CI_monthly_change: -0.000367374237286722
hac_se_CI_monthly_change: 0.000224917622317999
t_CI_monthly_change: -1.63337240319619
p_CI_monthly_change: 0.103624752205417
coef_GM2_x_shale_regime_2014_2017: -1.10435607054223
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-01;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.353448097575194
full_r2: 0.349916536197754
test_rmse: 26.8493163812639
test_mae: 21.7538287935222
test_r2: 0.158448256000238
high_leverage_month_count: 17
max_cooks_distance: 0.141796779500572
coef_intercept: -6.5296984727751
hac_se_intercept: 6.54377927158925
t_intercept: -0.997848216110333
p_intercept: 0.31929889884532
coef_GM2_YoY_lag: 3.44669666718787
hac_se_GM2_YoY_lag: 0.929073608840847
t_GM2_YoY_lag: 3.70982087359916
p_GM2_YoY_lag: 0.000254583006174425
regime: shale_regime_2014_2017
coef_CI_zscore: -2.20682644382181
hac_se_CI_zscore: 0.437309503989075
t_CI_zscore: -5.04637201728169
p_CI_zscore: 8.56725239639644e-07
coef_CI_monthly_change: -0.000262637980228853
hac_se_CI_monthly_change: 0.000216764877618093
t_CI_monthly_change: -1.21162608589931
p_CI_monthly_change: 0.226777101453317
coef_GM2_x_CI_zscore: -1.0928452905293
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2015-01;2015-08;2015-09;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 6
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.225886453322212
full_r2: 0.233502042014396
test_rmse: 25.8278866379263
test_mae: 19.5418480230346
test_r2: 0.221260681906178
high_leverage_month_count: 19
max_cooks_distance: 0.769294376359754
coef_intercept: -14.1647725082778
hac_se_intercept: 6.87502908483473
t_intercept: -2.06032183042296
p_intercept: 0.0403705606845
coef_GM2_YoY_lag: 3.2053200432225
hac_se_GM2_YoY_lag: 1.15506487028583
t_GM2_YoY_lag: 2.77501301067993
p_GM2_YoY_lag: 0.0059237418255389
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 1.51133483382366
hac_se_GM2_x_covid_2020_2021: 1.45622759964323
t_GM2_x_covid_2020_2021: 1.0378424596498
p_GM2_x_covid_2020_2021: 0.300315097423053
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2020-04;2020-05;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-08;2021-10


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.357085606731828
full_r2: 0.353730142788292
test_rmse: 26.5490968929311
test_mae: 21.8998421286815
test_r2: 0.177162900945221
high_leverage_month_count: 17
max_cooks_distance: 0.180866969726915
coef_intercept: -5.54149087855227
hac_se_intercept: 6.78710846290875
t_intercept: -0.816473010389664
p_intercept: 0.414991731195399
coef_GM2_YoY_lag: 3.24244870222732
hac_se_GM2_YoY_lag: 0.990406143513866
t_GM2_YoY_lag: 3.27385762241278
p_GM2_YoY_lag: 0.00120770760944877
regime: covid_2020_2021
coef_CI_zscore: -2.31241391862269
hac_se_CI_zscore: 0.445489937054313
t_CI_zscore: -5.19072088117844
p_CI_zscore: 4.28099003135785e-07
coef_CI_monthly_change: -0.00024776787031433
hac_se_CI_monthly_change: 0.000212414309185225
t_CI_monthly_change: -1.16643681522546
p_CI_monthly_change: 0.244527604453527
coef_GM2_x_CI_zscore: -0.764404311599048
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2015-08;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05;2021-08;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 6
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.209250406278273
full_r2: 0.246676350558865
test_rmse: 21.7701626637227
test_mae: 17.1879765736373
test_r2: 0.446729254205478
high_leverage_month_count: 13
max_cooks_distance: 0.240441589221559
coef_intercept: -16.2251852297524
hac_se_intercept: 6.59921656499418
t_intercept: -2.45865324617767
p_intercept: 0.0146033699204062
coef_GM2_YoY_lag: 3.54322686702389
hac_se_GM2_YoY_lag: 1.10313615502561
t_GM2_YoY_lag: 3.21195788106647
p_GM2_YoY_lag: 0.00148573422009979
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 4.06101967121759
hac_se_GM2_x_war_spr_2022_2023: 0.987450870928211
t_GM2_x_war_spr_2022_2023: 4.11262959077671
p_GM2_x_war_spr_2022_2023: 5.26321840246258e-05
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2021-03;2021-04;2021-05;2021-10;2022-01;2022-06


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.34693766183208
full_r2: 0.350211310479259
test_rmse: 26.9235407011215
test_mae: 22.1081253680289
test_r2: 0.153788923558503
high_leverage_month_count: 15
max_cooks_distance: 0.147287651241013
coef_intercept: -6.97086771152386
hac_se_intercept: 6.67363077754738
t_intercept: -1.04453901390177
p_intercept: 0.297225252116168
coef_GM2_YoY_lag: 3.36655595663844
hac_se_GM2_YoY_lag: 0.960296619504722
t_GM2_YoY_lag: 3.50574592085387
p_GM2_YoY_lag: 0.000537791362458018
regime: war_spr_2022_2023
coef_CI_zscore: -2.17229569201417
hac_se_CI_zscore: 0.45884785782353
t_CI_zscore: -4.73423958502957
p_CI_zscore: 3.64996387935967e-06
coef_CI_monthly_change: -0.000265029251134585
hac_se_CI_monthly_change: 0.000221821133648404
t_CI_monthly_change: -1.19478810145596
p_CI_monthly_change: 0.233279906967535
coef_GM2_x_CI_zscore: -0.834158669151256
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2015-08;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 6
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.225700759749837
full_r2: 0.225015210205732
test_rmse: 27.6627315425081
test_mae: 21.8570115920971
test_r2: 0.10668529392223
high_leverage_month_count: 14
max_cooks_distance: 0.350906862812175
coef_intercept: -17.5963248345323
hac_se_intercept: 5.94053440449522
t_intercept: -2.96207775873112
p_intercept: 0.00334073471876128
coef_GM2_YoY_lag: 3.43909143625082
hac_se_GM2_YoY_lag: 1.33041053788812
t_GM2_YoY_lag: 2.58498511422647
p_GM2_YoY_lag: 0.0102880030044359
regime: normal_period
coef_GM2_x_normal_period: 0.884968975459958
hac_se_GM2_x_normal_period: 1.14527178868885
t_GM2_x_normal_period: 0.772715249079088
p_GM2_x_normal_period: 0.44039822642048
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2009-07;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.393556942286802
full_r2: 0.40449835717808
test_rmse: 22.9999701235757
test_mae: 18.3785461270382
test_r2: 0.382454582810125
high_leverage_month_count: 14
max_cooks_distance: 0.179875263009111
coef_intercept: -6.55863367373474
hac_se_intercept: 5.96900388181598
t_intercept: -1.09878194144169
p_intercept: 0.272899528393514
coef_GM2_YoY_lag: 3.13520085576652
hac_se_GM2_YoY_lag: 0.932271183982406
t_GM2_YoY_lag: 3.36297089262569
p_GM2_YoY_lag: 0.000889576315440843
regime: normal_period
coef_CI_zscore: -2.41903243862934
hac_se_CI_zscore: 0.547713701001931
t_CI_zscore: -4.41660019496357
p_CI_zscore: 1.48268822837139e-05
coef_CI_monthly_change: -0.000208936848697494
hac_se_CI_monthly_change: 0.000208117005762494
t_CI_monthly_change: -1.00393933658615
p_CI_monthly_change: 0.316359553050595
coef_GM2_x_CI_zscore: -1.43696791002134
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-09;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 7
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.260030217429298
full_r2: 0.274002839527598
test_rmse: 24.3135462219845
test_mae: 19.242883300712
test_r2: 0.309901675002944
high_leverage_month_count: 22
max_cooks_distance: 0.281085312131094
coef_intercept: -19.3277474092089
hac_se_intercept: 5.40992396125633
t_intercept: -3.57264677796331
p_intercept: 0.000421846589030883
coef_GM2_YoY_lag: 4.67531963293898
hac_se_GM2_YoY_lag: 0.778105898886
t_GM2_YoY_lag: 6.00859039834108
p_GM2_YoY_lag: 6.37302610684287e-09
coef_GM2_x_financial_crisis_2008_2009: -3.25035708242971
hac_se_GM2_x_financial_crisis_2008_2009: 1.69275456524373
t_GM2_x_financial_crisis_2008_2009: -1.92015850919399
p_GM2_x_financial_crisis_2008_2009: 0.055944643167652
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-07;2009-12;2010-06;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.386522983503228
full_r2: 0.390527383531178
test_rmse: 23.3417639291867
test_mae: 18.3302429026167
test_r2: 0.363963990310692
high_leverage_month_count: 19
max_cooks_distance: 0.606012082004191
coef_intercept: -10.8702004535688
hac_se_intercept: 5.25712107904279
t_intercept: -2.06770973887252
p_intercept: 0.0396800478527921
coef_GM2_YoY_lag: 4.06222173923408
hac_se_GM2_YoY_lag: 0.74494709802396
t_GM2_YoY_lag: 5.45303384630867
p_GM2_YoY_lag: 1.17298414759048e-07
coef_GM2_x_financial_crisis_2008_2009: -1.83372540726162
hac_se_GM2_x_financial_crisis_2008_2009: 1.36306770650939
t_GM2_x_financial_crisis_2008_2009: -1.34529297297896
p_GM2_x_financial_crisis_2008_2009: 0.179730440052301
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.90525280946912
hac_se_CI_zscore: 0.841930511583512
t_CI_zscore: -3.45070379265016
p_CI_zscore: 0.000654613598003451
coef_CI_monthly_change: -0.000347760893744997
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 7
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.165247685577982
full_r2: 0.189093122780973
test_rmse: 24.0524704180203
test_mae: 17.9592581753298
test_r2: 0.324642483508574
high_leverage_month_count: 17
max_cooks_distance: 0.210039645634629
coef_intercept: -12.5447007496029
hac_se_intercept: 6.94062670086701
t_intercept: -1.8074305520618
p_intercept: 0.0718644096930183
coef_GM2_YoY_lag: 3.346264893868
hac_se_GM2_YoY_lag: 1.17194364771938
t_GM2_YoY_lag: 2.8553121136668
p_GM2_YoY_lag: 0.0046504231419382
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.38475558866202
hac_se_GM2_x_shale_regime_2014_2017: 1.74254667138239
t_GM2_x_shale_regime_2014_2017: -0.794673457763668
p_GM2_x_shale_regime_2014_2017: 0.427536705823403
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-07;2014-12;2015-01;2015-02;2016-12;2017-01;2017-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.284789844629625
full_r2: 0.277969264436632
test_rmse: 31.5913367354667
test_mae: 28.0194917260015
test_r2: -0.165065561201239
high_leverage_month_count: 15
max_cooks_distance: 0.494710814816852
coef_intercept: -4.32856348966393
hac_se_intercept: 7.19266874087705
t_intercept: -0.601802146825423
p_intercept: 0.547842622707297
coef_GM2_YoY_lag: 3.00056624281838
hac_se_GM2_YoY_lag: 1.08642615674897
t_GM2_YoY_lag: 2.76186855791222
p_GM2_YoY_lag: 0.00616688698725687
regime: shale_regime_2014_2017
coef_CI_zscore: -7.25471727846005
hac_se_CI_zscore: 3.61995715561148
t_CI_zscore: -2.00408926586718
p_CI_zscore: 0.046122256505795
coef_CI_monthly_change: -0.00038342910176814
hac_se_CI_monthly_change: 0.000224072134078398
t_CI_monthly_change: -1.71118601313445
p_CI_monthly_change: 0.0882675808857039
coef_GM2_x_shale_regime_2014_2017: -1.12295177756525
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2014-12;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.333002872943507
full_r2: 0.333722303651614
test_rmse: 26.8823775365759
test_mae: 22.2811537784972
test_r2: 0.156374474875267
high_leverage_month_count: 14
max_cooks_distance: 0.136497443378363
coef_intercept: -5.20579411901865
hac_se_intercept: 6.50366368043215
t_intercept: -0.800440240272809
p_intercept: 0.424203802319994
coef_GM2_YoY_lag: 3.2788984672553
hac_se_GM2_YoY_lag: 0.922774971291679
t_GM2_YoY_lag: 3.55330234267795
p_GM2_YoY_lag: 0.0004534339679656
regime: shale_regime_2014_2017
coef_CI_zscore: -1.94278083902659
hac_se_CI_zscore: 0.504811578640402
t_CI_zscore: -3.84852670031667
p_CI_zscore: 0.000150396556492183
coef_CI_monthly_change: -0.000269387448547764
hac_se_CI_monthly_change: 0.000217007578247974
t_CI_monthly_change: -1.24137346134491
p_CI_monthly_change: 0.215612989286245
coef_GM2_x_CI_zscore: -1.12826589131808
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-01;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 7
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.199373293109144
full_r2: 0.213318825402578
test_rmse: 25.1100586517823
test_mae: 18.4372973947268
test_r2: 0.263945768647669
high_leverage_month_count: 20
max_cooks_distance: 0.741459144439904
coef_intercept: -11.7075081299605
hac_se_intercept: 7.19784983146803
t_intercept: -1.62652853339296
p_intercept: 0.105062742550547
coef_GM2_YoY_lag: 2.78046048066828
hac_se_GM2_YoY_lag: 1.21147677459814
t_GM2_YoY_lag: 2.29510011167204
p_GM2_YoY_lag: 0.022533518624074
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 2.00791796328103
hac_se_GM2_x_covid_2020_2021: 1.45270678339663
t_GM2_x_covid_2020_2021: 1.38219080837926
p_GM2_x_covid_2020_2021: 0.16811320007241
high_leverage_months:
2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-07;2020-04;2020-05;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-08;2021-10


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.343713393347526
full_r2: 0.332868029124845
test_rmse: 28.1249337952502
test_mae: 24.0776658610788
test_r2: 0.076584038825406
high_leverage_month_count: 18
max_cooks_distance: 0.545871421431126
coef_intercept: -1.67981518767426
hac_se_intercept: 7.00141109097611
t_intercept: -0.239925233048995
p_intercept: 0.810581729669061
coef_GM2_YoY_lag: 2.1237660264373
hac_se_GM2_YoY_lag: 1.12038147325743
t_GM2_YoY_lag: 1.89557403181847
p_GM2_YoY_lag: 0.0591515935457279
regime: covid_2020_2021
coef_CI_zscore: -3.16445022034899
hac_se_CI_zscore: 0.868096930834721
t_CI_zscore: -3.64527290438201
p_CI_zscore: 0.000323922050236236
coef_CI_monthly_change: -0.000333283880237456
hac_se_CI_monthly_change: 0.000217842066502183
t_CI_monthly_change: -1.52993352289061
p_CI_monthly_change: 0.12727760631524
coef_GM2_x_covid_2020_2021: 1.9696625206313
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-08;2017-02;2020-03;2020-04;2021-01;2021-03;2021-04;2021-05;2021-07;2021-08;2021-09;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.333559855686336
full_r2: 0.334033287805457
test_rmse: 26.8005463110967
test_mae: 22.7777335722648
test_r2: 0.161502729450993
high_leverage_month_count: 14
max_cooks_distance: 0.187809479299872
coef_intercept: -4.11933093674562
hac_se_intercept: 6.85934212752506
t_intercept: -0.600543151247061
p_intercept: 0.548679775925231
coef_GM2_YoY_lag: 3.05822939559532
hac_se_GM2_YoY_lag: 1.02572541608606
t_GM2_YoY_lag: 2.98152833851464
p_GM2_YoY_lag: 0.00314676480991682
regime: covid_2020_2021
coef_CI_zscore: -1.88756074289379
hac_se_CI_zscore: 0.558807821671393
t_CI_zscore: -3.37783522293603
p_CI_zscore: 0.000845286312997962
coef_CI_monthly_change: -0.000255707402964767
hac_se_CI_monthly_change: 0.000215396794526603
t_CI_monthly_change: -1.18714581396979
p_CI_monthly_change: 0.236279169391032
coef_GM2_x_CI_zscore: -0.858025439106509
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 7
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.164558456664447
full_r2: 0.210224310334891
test_rmse: 21.0317539213904
test_mae: 15.8254126608316
test_r2: 0.483624839615514
high_leverage_month_count: 13
max_cooks_distance: 0.229888024131448
coef_intercept: -13.9260559106642
hac_se_intercept: 6.967860052931
t_intercept: -1.99861303253446
p_intercept: 0.0467035685766737
coef_GM2_YoY_lag: 3.20586154003385
hac_se_GM2_YoY_lag: 1.19177305900231
t_GM2_YoY_lag: 2.68999329680907
p_GM2_YoY_lag: 0.00761339525039006
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 3.38756293638331
hac_se_GM2_x_war_spr_2022_2023: 1.00064744490693
t_GM2_x_war_spr_2022_2023: 3.38537109510972
p_GM2_x_war_spr_2022_2023: 0.000822024032887114
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-07;2021-03;2021-04;2021-05;2021-10;2022-01


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.325713610874229
full_r2: 0.330764803814207
test_rmse: 27.0250513621601
test_mae: 22.8092318301551
test_r2: 0.147395902567977
high_leverage_month_count: 14
max_cooks_distance: 0.144815805369695
coef_intercept: -5.33140760564084
hac_se_intercept: 6.64169864460547
t_intercept: -0.80271748101235
p_intercept: 0.422888499488014
coef_GM2_YoY_lag: 3.18911897608373
hac_se_GM2_YoY_lag: 0.96826867715285
t_GM2_YoY_lag: 3.2936302199315
p_GM2_YoY_lag: 0.00112970150448422
regime: war_spr_2022_2023
coef_CI_zscore: -1.75430272998474
hac_se_CI_zscore: 0.536372610451981
t_CI_zscore: -3.2706791804795
p_CI_zscore: 0.00122140812348226
coef_CI_monthly_change: -0.000267247123627801
hac_se_CI_monthly_change: 0.000222472740525843
t_CI_monthly_change: -1.20125783948239
p_CI_monthly_change: 0.23077012508137
coef_GM2_x_CI_zscore: -0.917951289262728
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-08;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05;2022-01


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 7
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.178312871136097
full_r2: 0.190697941904542
test_rmse: 26.1115493519711
test_mae: 19.84527809684
test_r2: 0.204061260293524
high_leverage_month_count: 16
max_cooks_distance: 0.330332950756235
coef_intercept: -15.4114832308878
hac_se_intercept: 6.1076939148162
t_intercept: -2.52329004135296
p_intercept: 0.0122300958309669
coef_GM2_YoY_lag: 3.16239728910226
hac_se_GM2_YoY_lag: 1.42409690689013
t_GM2_YoY_lag: 2.22063349326988
p_GM2_YoY_lag: 0.0272480932248347
regime: normal_period
coef_GM2_x_normal_period: 0.800216403841951
hac_se_GM2_x_normal_period: 1.19849797506002
t_GM2_x_normal_period: 0.667682733299467
p_GM2_x_normal_period: 0.504935249998042
high_leverage_months:
2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-07;2010-06;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.275287950671163
full_r2: 0.289824324931458
test_rmse: 24.0912174584454
test_mae: 18.6370814042879
test_r2: 0.32246481259693
high_leverage_month_count: 14
max_cooks_distance: 1.38670092355866
coef_intercept: -7.64654061875911
hac_se_intercept: 5.74421754314063
t_intercept: -1.33117183695282
p_intercept: 0.1843260417564
coef_GM2_YoY_lag: 2.77771327197192
hac_se_GM2_YoY_lag: 1.31672018442487
t_GM2_YoY_lag: 2.1095699031797
p_GM2_YoY_lag: 0.0358739814709483
regime: normal_period
coef_CI_zscore: -3.79686025730407
hac_se_CI_zscore: 1.35197652124537
t_CI_zscore: -2.8083773628011
p_CI_zscore: 0.00536597627365021
coef_CI_monthly_change: -0.000439590862312933
hac_se_CI_monthly_change: 0.000222558565092552
t_CI_monthly_change: -1.9751693767891
p_CI_monthly_change: 0.0493316308259724
coef_GM2_x_normal_period: 0.0618322654008874
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.374029011357806
full_r2: 0.389397816865686
test_rmse: 22.6070321829035
test_mae: 18.1204944009433
test_r2: 0.403374976434614
high_leverage_month_count: 15
max_cooks_distance: 0.176860368909341
coef_intercept: -5.755384779199
hac_se_intercept: 5.79671758051487
t_intercept: -0.992869619618039
p_intercept: 0.321718393612529
coef_GM2_YoY_lag: 2.94602287321737
hac_se_GM2_YoY_lag: 0.920105594300086
t_GM2_YoY_lag: 3.20183128052643
p_GM2_YoY_lag: 0.0015396569601509
regime: normal_period
coef_CI_zscore: -1.6194885492969
hac_se_CI_zscore: 0.627704968847718
t_CI_zscore: -2.58001550038675
p_CI_zscore: 0.0104421945985071
coef_CI_monthly_change: -0.000221219817937435
hac_se_CI_monthly_change: 0.000212861188626322
t_CI_monthly_change: -1.03926798194191
p_CI_monthly_change: 0.299668399421888
coef_GM2_x_CI_zscore: -1.46134959011628
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-08;2015-09;2015-10;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.224962805996424
full_r2: 0.251052469930337
test_rmse: 21.1728976385991
test_mae: 15.8889373149419
test_r2: 0.410333792247984
high_leverage_month_count: 18
max_cooks_distance: 0.212288648236441
coef_intercept: -17.4533102481489
hac_se_intercept: 5.43871844258704
t_intercept: -3.20908508730356
p_intercept: 0.00150143921630685
coef_GM2_YoY_lag: 4.42803977363319
hac_se_GM2_YoY_lag: 0.789560571834661
t_GM2_YoY_lag: 5.60823315093354
p_GM2_YoY_lag: 5.28914816388948e-08
coef_GM2_x_financial_crisis_2008_2009: -3.38836788182745
hac_se_GM2_x_financial_crisis_2008_2009: 1.68388422078058
t_GM2_x_financial_crisis_2008_2009: -2.01223328778314
p_GM2_x_financial_crisis_2008_2009: 0.0452427862743436
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-12;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.399610092094534
full_r2: 0.404233632177353
test_rmse: 22.72815517092
test_mae: 18.2804126037732
test_r2: 0.320524165154541
high_leverage_month_count: 13
max_cooks_distance: 0.299398971655334
coef_intercept: -8.64435842554175
hac_se_intercept: 5.35404285790676
t_intercept: -1.61454785756448
p_intercept: 0.107655071495805
coef_GM2_YoY_lag: 3.69746444988557
hac_se_GM2_YoY_lag: 0.774687208644628
t_GM2_YoY_lag: 4.77284820070097
p_GM2_YoY_lag: 3.07457030346292e-06
regime: financial_crisis_2008_2009
coef_CI_zscore: -1.80810064020156
hac_se_CI_zscore: 0.603533348751762
t_CI_zscore: -2.99585871094133
p_CI_zscore: 0.00300854693853259
coef_CI_monthly_change: -0.00023822578481747
hac_se_CI_monthly_change: 0.000216266466863286
t_CI_monthly_change: -1.10153824711099
p_CI_monthly_change: 0.271709306161695
coef_GM2_x_CI_zscore: -0.481265100859439
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-02;2009-04;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.127113721121749
full_r2: 0.158929815672755
test_rmse: 21.8592334950497
test_mae: 16.2546214629196
test_r2: 0.371485208799652
high_leverage_month_count: 18
max_cooks_distance: 0.155025715067528
coef_intercept: -10.2892016791523
hac_se_intercept: 7.17144562239975
t_intercept: -1.4347458268406
p_intercept: 0.152580039104643
coef_GM2_YoY_lag: 3.03468176714517
hac_se_GM2_YoY_lag: 1.21531313775328
t_GM2_YoY_lag: 2.49703691408727
p_GM2_YoY_lag: 0.0131525461472173
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.51471675672864
hac_se_GM2_x_shale_regime_2014_2017: 1.85496969065756
t_GM2_x_shale_regime_2014_2017: -0.816572240698817
p_GM2_x_shale_regime_2014_2017: 0.414932131642111
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2014-12;2015-01;2015-02;2015-03;2016-12;2017-01;2017-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.269914032878066
full_r2: 0.254024186139842
test_rmse: 34.184892539052
test_mae: 30.4559236219667
test_r2: -0.537142330201209
high_leverage_month_count: 15
max_cooks_distance: 0.555426272631652
coef_intercept: -2.34690669562632
hac_se_intercept: 7.37011985846491
t_intercept: -0.318435349858088
p_intercept: 0.750417435871384
coef_GM2_YoY_lag: 2.72103080358244
hac_se_GM2_YoY_lag: 1.09646055630895
t_GM2_YoY_lag: 2.48164951117105
p_GM2_YoY_lag: 0.0137276626378324
regime: shale_regime_2014_2017
coef_CI_zscore: -7.32198640378248
hac_se_CI_zscore: 3.5937898810599
t_CI_zscore: -2.03739969394734
p_CI_zscore: 0.0426506677397007
coef_CI_monthly_change: -0.000377098931644948
hac_se_CI_monthly_change: 0.000229298468053504
t_CI_monthly_change: -1.64457675991519
p_CI_monthly_change: 0.101299034743229
coef_GM2_x_shale_regime_2014_2017: -0.953481511963865
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-01;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.31927292986746
full_r2: 0.317188673676266
test_rmse: 27.3842150117533
test_mae: 22.9490833908093
test_r2: 0.0136155059295359
high_leverage_month_count: 17
max_cooks_distance: 0.158200225122772
coef_intercept: -4.17541981583152
hac_se_intercept: 6.34640701786464
t_intercept: -0.657918693849614
p_intercept: 0.511188553775732
coef_GM2_YoY_lag: 3.11087763086075
hac_se_GM2_YoY_lag: 0.877850245026836
t_GM2_YoY_lag: 3.54374524411695
p_GM2_YoY_lag: 0.000469692346259043
regime: shale_regime_2014_2017
coef_CI_zscore: -1.5467363656238
hac_se_CI_zscore: 0.892335494728375
t_CI_zscore: -1.73335743648147
p_CI_zscore: 0.0842505092595784
coef_CI_monthly_change: -0.000270528020536176
hac_se_CI_monthly_change: 0.000221626480763639
t_CI_monthly_change: -1.22064845141267
p_CI_monthly_change: 0.223355573158769
coef_GM2_x_CI_zscore: -1.1677241005046
high_leverage_months:
2005-08;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-01;2015-08;2015-09;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.172642787224241
full_r2: 0.19318817240151
test_rmse: 23.1739926497619
test_mae: 17.0743522974746
test_r2: 0.293605394287111
high_leverage_month_count: 15
max_cooks_distance: 0.624958574187347
coef_intercept: -9.42746766387858
hac_se_intercept: 7.4097892367904
t_intercept: -1.27229903072954
p_intercept: 0.204421315837255
coef_GM2_YoY_lag: 2.40875158141112
hac_se_GM2_YoY_lag: 1.23268548330569
t_GM2_YoY_lag: 1.95406826318063
p_GM2_YoY_lag: 0.0517819456631086
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 2.40706934115023
hac_se_GM2_x_covid_2020_2021: 1.45637631405802
t_GM2_x_covid_2020_2021: 1.65277979181303
p_GM2_x_covid_2020_2021: 0.0996015264467542
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-08


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.329940830970053
full_r2: 0.313385247656806
test_rmse: 29.7060866448309
test_mae: 26.3923840364309
test_r2: -0.160744224067473
high_leverage_month_count: 16
max_cooks_distance: 0.559076770188878
coef_intercept: 0.751382027447323
hac_se_intercept: 7.22361340924529
t_intercept: 0.10401747503343
p_intercept: 0.917237889376326
coef_GM2_YoY_lag: 1.7787404391683
hac_se_GM2_YoY_lag: 1.13016553835069
t_GM2_YoY_lag: 1.57387601975911
p_GM2_YoY_lag: 0.116765766898583
regime: covid_2020_2021
coef_CI_zscore: -3.3508562208434
hac_se_CI_zscore: 0.863840592439432
t_CI_zscore: -3.87902148865312
p_CI_zscore: 0.000133789836271658
coef_CI_monthly_change: -0.000328905058139206
hac_se_CI_monthly_change: 0.000223785639330584
t_CI_monthly_change: -1.46973263844395
p_CI_monthly_change: 0.142876602294298
coef_GM2_x_covid_2020_2021: 2.20416248083569
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-02;2020-03;2020-04;2021-03;2021-04;2021-05;2021-07;2021-08;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.128521870939035
full_r2: 0.175672270001219
test_rmse: 18.8782337004621
test_mae: 14.0252651946497
test_r2: 0.531220770861431
high_leverage_month_count: 13
max_cooks_distance: 0.170190614571974
coef_intercept: -11.4887928707586
hac_se_intercept: 7.22953185035425
t_intercept: -1.58914755596459
p_intercept: 0.113261291181352
coef_GM2_YoY_lag: 2.85680715199408
hac_se_GM2_YoY_lag: 1.24498853834845
t_GM2_YoY_lag: 2.29464534330879
p_GM2_YoY_lag: 0.0225631633243799
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 2.85351644612328
hac_se_GM2_x_war_spr_2022_2023: 1.01728655109161
t_GM2_x_war_spr_2022_2023: 2.80502720011513
p_GM2_x_war_spr_2022_2023: 0.00541725088264422
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2021-04;2021-05;2021-10;2022-01;2022-02


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.305396219882904
full_r2: 0.309833483639321
test_rmse: 26.0843368418673
test_mae: 21.881324221909
test_r2: 0.10503666359808
high_leverage_month_count: 16
max_cooks_distance: 0.154776195400778
coef_intercept: -4.43431432977546
hac_se_intercept: 6.44885746244023
t_intercept: -0.687612395777395
p_intercept: 0.492326781471272
coef_GM2_YoY_lag: 3.05165832606492
hac_se_GM2_YoY_lag: 0.939603385827312
t_GM2_YoY_lag: 3.24781537837687
p_GM2_YoY_lag: 0.00132024584040158
regime: war_spr_2022_2023
coef_CI_zscore: -0.968434280685271
hac_se_CI_zscore: 0.906617926376648
t_CI_zscore: -1.06818346793084
p_CI_zscore: 0.286455906488736
coef_CI_monthly_change: -0.000265444625596079
hac_se_CI_monthly_change: 0.000227983002427133
t_CI_monthly_change: -1.16431761477884
p_CI_monthly_change: 0.245392065557976
coef_GM2_x_CI_zscore: -0.988424476098025
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-09;2015-11;2017-02;2020-04;2021-03;2021-04;2021-05;2022-01


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.132293623272838
full_r2: 0.158159018693288
test_rmse: 23.0187522302992
test_mae: 17.2344954980093
test_r2: 0.303037837988179
high_leverage_month_count: 14
max_cooks_distance: 0.250687438619323
coef_intercept: -13.1826942441002
hac_se_intercept: 6.24447821021766
t_intercept: -2.11109620376764
p_intercept: 0.0357336785287299
coef_GM2_YoY_lag: 2.8744215607505
hac_se_GM2_YoY_lag: 1.46770486547911
t_GM2_YoY_lag: 1.95844657080441
p_GM2_YoY_lag: 0.0512634547958166
regime: normal_period
coef_GM2_x_normal_period: 0.733156838223472
hac_se_GM2_x_normal_period: 1.23668980208319
t_GM2_x_normal_period: 0.592838104582474
p_GM2_x_normal_period: 0.553812830142453
high_leverage_months:
2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.347510386552016
full_r2: 0.363173629684077
test_rmse: 22.1268247457311
test_mae: 17.8465801799013
test_r2: 0.35600301146258
high_leverage_month_count: 19
max_cooks_distance: 0.268578692256012
coef_intercept: -5.54683335264394
hac_se_intercept: 5.58169059122638
t_intercept: -0.993755075095486
p_intercept: 0.321291601461501
coef_GM2_YoY_lag: 2.81523088920858
hac_se_GM2_YoY_lag: 0.87350464287735
t_GM2_YoY_lag: 3.22291462577134
p_GM2_YoY_lag: 0.0014355314790746
regime: normal_period
coef_CI_zscore: -0.443203895424604
hac_se_CI_zscore: 0.995220314084958
t_CI_zscore: -0.44533244463775
p_CI_zscore: 0.656460325312396
coef_CI_monthly_change: -0.000238011479830824
hac_se_CI_monthly_change: 0.000220859974315499
t_CI_monthly_change: -1.07765782626971
p_CI_monthly_change: 0.282212924119738
coef_GM2_x_CI_zscore: -1.4370375976874
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-03;2015-04;2015-08;2015-09;2015-10;2015-11;2015-12;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 9
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.188619296455695
full_r2: 0.224058319924008
test_rmse: 19.8577557765868
test_mae: 15.8677781202341
test_r2: 0.481312269760117
high_leverage_month_count: 20
max_cooks_distance: 0.147093299984256
coef_intercept: -15.5373272568966
hac_se_intercept: 5.47037488917748
t_intercept: -2.8402673622306
p_intercept: 0.00487125530290999
coef_GM2_YoY_lag: 4.16145862056387
hac_se_GM2_YoY_lag: 0.79638767574298
t_GM2_YoY_lag: 5.22541815665528
p_GM2_YoY_lag: 3.61556159678145e-07
coef_GM2_x_financial_crisis_2008_2009: -3.3624047161297
hac_se_GM2_x_financial_crisis_2008_2009: 1.65415260879624
t_GM2_x_financial_crisis_2008_2009: -2.03270526446565
p_GM2_x_financial_crisis_2008_2009: 0.0431183956425103
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-12;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.354591958875958
full_r2: 0.364439926368739
test_rmse: 23.0202954463085
test_mae: 18.8863742655709
test_r2: 0.302944383815743
high_leverage_month_count: 17
max_cooks_distance: 0.621660648614304
coef_intercept: -8.26850044014768
hac_se_intercept: 5.18550498875856
t_intercept: -1.59454102504435
p_intercept: 0.112068293232968
coef_GM2_YoY_lag: 3.73989687253192
hac_se_GM2_YoY_lag: 0.718996755896566
t_GM2_YoY_lag: 5.20154902210704
p_GM2_YoY_lag: 4.09421073710448e-07
coef_GM2_x_financial_crisis_2008_2009: -1.51824856834149
hac_se_GM2_x_financial_crisis_2008_2009: 1.37848269097879
t_GM2_x_financial_crisis_2008_2009: -1.10139110072065
p_GM2_x_financial_crisis_2008_2009: 0.271777341044344
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.3001488539191
hac_se_CI_zscore: 0.819607109624591
t_CI_zscore: -4.02650100903917
p_CI_zscore: 7.49522091112453e-05
coef_CI_monthly_change: -0.000345839280448068
high_leverage_months:
2008-01;2008-02;2008-03;2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 9
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.0975673266388362
full_r2: 0.133668114407757
test_rmse: 21.8042960324056
test_mae: 16.7464996633902
test_r2: 0.374640453749871
high_leverage_month_count: 18
max_cooks_distance: 0.107309948433324
coef_intercept: -8.14405224775781
hac_se_intercept: 7.27504108126764
t_intercept: -1.11945103220486
p_intercept: 0.26400109912952
coef_GM2_YoY_lag: 2.7469093522211
hac_se_GM2_YoY_lag: 1.22907887685098
t_GM2_YoY_lag: 2.2349333341884
p_GM2_YoY_lag: 0.0262881977551399
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.65387166280422
hac_se_GM2_x_shale_regime_2014_2017: 1.94738550706265
t_GM2_x_shale_regime_2014_2017: -0.849277996989332
p_GM2_x_shale_regime_2014_2017: 0.396523221371727
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2014-12;2015-01;2015-02;2015-03;2015-04;2016-12;2017-01;2017-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.304285147571633
full_r2: 0.303955490138936
test_rmse: 27.8913299487428
test_mae: 23.6234212753959
test_r2: -0.0232555079642487
high_leverage_month_count: 17
max_cooks_distance: 0.209585641896225
coef_intercept: -3.2504060485049
hac_se_intercept: 6.08327293415828
t_intercept: -0.534318628094672
p_intercept: 0.593592170091739
coef_GM2_YoY_lag: 2.97367711490904
hac_se_GM2_YoY_lag: 0.810837267649291
t_GM2_YoY_lag: 3.66741544025236
p_GM2_YoY_lag: 0.000298875737953175
regime: shale_regime_2014_2017
coef_CI_zscore: -1.2959143343719
hac_se_CI_zscore: 1.23617750900592
t_CI_zscore: -1.04832382479925
p_CI_zscore: 0.295493817920284
coef_CI_monthly_change: -0.00029287755942109
hac_se_CI_monthly_change: 0.000221228924488776
t_CI_monthly_change: -1.32386648851583
p_CI_monthly_change: 0.186747016435111
coef_GM2_x_CI_zscore: -1.17227324424985
high_leverage_months:
2005-08;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-01;2015-08;2015-12;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 9
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.151681986621327
full_r2: 0.174456752678781
test_rmse: 23.3420246857958
test_mae: 17.6076365870323
test_r2: 0.283324278320627
high_leverage_month_count: 14
max_cooks_distance: 0.508579200034426
coef_intercept: -7.45012746299838
hac_se_intercept: 7.5283466774003
t_intercept: -0.989610040855752
p_intercept: 0.323302840794593
coef_GM2_YoY_lag: 2.10691193799087
hac_se_GM2_YoY_lag: 1.23718041849337
t_GM2_YoY_lag: 1.70299489589129
p_GM2_YoY_lag: 0.0897874765554829
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 2.70101916649792
hac_se_GM2_x_covid_2020_2021: 1.48293683186229
t_GM2_x_covid_2020_2021: 1.82139866544818
p_GM2_x_covid_2020_2021: 0.0697179285032217
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2020-04;2020-05;2021-03;2021-04;2021-05;2021-08;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.319120114658976
full_r2: 0.297001507788116
test_rmse: 31.6500754301807
test_mae: 28.607984576818
test_r2: -0.317635063103872
high_leverage_month_count: 16
max_cooks_distance: 0.58983015298144
coef_intercept: 2.60973095966373
hac_se_intercept: 7.3185070466281
t_intercept: 0.356593352037028
p_intercept: 0.72169464637994
coef_GM2_YoY_lag: 1.53632332472061
hac_se_GM2_YoY_lag: 1.12866961489787
t_GM2_YoY_lag: 1.36118072502521
p_GM2_YoY_lag: 0.174672493933869
regime: covid_2020_2021
coef_CI_zscore: -3.50622099593073
hac_se_CI_zscore: 0.862257022061699
t_CI_zscore: -4.06632930346822
p_CI_zscore: 6.3893486708988e-05
coef_CI_monthly_change: -0.000331482557037299
hac_se_CI_monthly_change: 0.00022411173820075
t_CI_monthly_change: -1.47909502509133
p_CI_monthly_change: 0.140363843433475
coef_GM2_x_covid_2020_2021: 2.3348886830938
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-02;2020-04;2020-05;2021-03;2021-04;2021-05;2021-08;2021-11;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.296415958503195
full_r2: 0.298660594324416
test_rmse: 27.3860567093605
test_mae: 23.751799102439
test_r2: 0.0134828248905328
high_leverage_month_count: 17
max_cooks_distance: 0.258615554999052
coef_intercept: -2.27076296743548
hac_se_intercept: 6.46076274126693
t_intercept: -0.351469796736444
p_intercept: 0.725529617857465
coef_GM2_YoY_lag: 2.69933849294113
hac_se_GM2_YoY_lag: 0.969482996793845
t_GM2_YoY_lag: 2.78430720483809
p_GM2_YoY_lag: 0.00577111682644316
regime: covid_2020_2021
coef_CI_zscore: -0.610038170746136
hac_se_CI_zscore: 1.29962812962826
t_CI_zscore: -0.469394403551906
p_CI_zscore: 0.639193621116924
coef_CI_monthly_change: -0.000288332057242435
hac_se_CI_monthly_change: 0.000219692023788211
t_CI_monthly_change: -1.31243753082449
p_CI_monthly_change: 0.190566649092818
coef_GM2_x_CI_zscore: -0.91336298695844
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05;2021-11;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.284766333993722
full_r2: 0.293593641799358
test_rmse: 25.6910627998753
test_mae: 21.5723472781108
test_r2: 0.131819982105718
high_leverage_month_count: 15
max_cooks_distance: 0.243665889872675
coef_intercept: -3.78753483199695
hac_se_intercept: 6.14949745627862
t_intercept: -0.615909650979672
p_intercept: 0.538510050705341
coef_GM2_YoY_lag: 2.94464520362022
hac_se_GM2_YoY_lag: 0.888260603699566
t_GM2_YoY_lag: 3.31506901393116
p_GM2_YoY_lag: 0.00105096520572445
regime: war_spr_2022_2023
coef_CI_zscore: -0.30966614849301
hac_se_CI_zscore: 1.26842309457895
t_CI_zscore: -0.244134744799647
p_CI_zscore: 0.807325111606167
coef_CI_monthly_change: -0.00029202540221096
hac_se_CI_monthly_change: 0.000227050937139844
t_CI_monthly_change: -1.28616690989959
p_CI_monthly_change: 0.199565267587105
coef_GM2_x_CI_zscore: -1.01642081426787
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 9
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.0974023663029104
full_r2: 0.130830535866633
test_rmse: 22.2349631825574
test_mae: 17.1418153998266
test_r2: 0.349692932801545
high_leverage_month_count: 15
max_cooks_distance: 0.179327719716725
coef_intercept: -11.1480198879529
hac_se_intercept: 6.36862747938695
t_intercept: -1.75045878001738
p_intercept: 0.0812418042942866
coef_GM2_YoY_lag: 2.60676631913485
hac_se_GM2_YoY_lag: 1.4652038719802
t_GM2_YoY_lag: 1.77911509038797
p_GM2_YoY_lag: 0.0764120269187678
regime: normal_period
coef_GM2_x_normal_period: 0.694631041711706
hac_se_GM2_x_normal_period: 1.25661111209343
t_GM2_x_normal_period: 0.552781234406321
p_GM2_x_normal_period: 0.580897460695156
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.318843900162764
full_r2: 0.338018274032032
test_rmse: 22.1671185743013
test_mae: 17.942392926949
test_r2: 0.353655387550868
high_leverage_month_count: 17
max_cooks_distance: 0.41714297379005
coef_intercept: -4.99220765837805
hac_se_intercept: 5.36935919987766
t_intercept: -0.92975855638263
p_intercept: 0.353385879408137
coef_GM2_YoY_lag: 2.6910655578176
hac_se_GM2_YoY_lag: 0.819225572706927
t_GM2_YoY_lag: 3.28488959264986
p_GM2_YoY_lag: 0.00116502940130991
regime: normal_period
coef_CI_zscore: 0.353085041488781
hac_se_CI_zscore: 1.35790984962126
t_CI_zscore: 0.260020973842455
p_CI_zscore: 0.795059915509572
coef_CI_monthly_change: -0.000279753294877505
hac_se_CI_monthly_change: 0.000220382017075216
t_CI_monthly_change: -1.26940164442739
p_CI_monthly_change: 0.20546891967413
coef_GM2_x_CI_zscore: -1.36783733042264
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2015-04;2015-05;2015-08;2015-10;2015-11;2015-12;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 10
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.15923225466249
full_r2: 0.197986481300073
test_rmse: 19.7254659551383
test_mae: 16.3697583034986
test_r2: 0.488200112354986
high_leverage_month_count: 24
max_cooks_distance: 0.118140182715899
coef_intercept: -13.8761837354289
hac_se_intercept: 5.5323131468315
t_intercept: -2.50820648924694
p_intercept: 0.0127587492803027
coef_GM2_YoY_lag: 3.9052427891934
hac_se_GM2_YoY_lag: 0.806629757500228
t_GM2_YoY_lag: 4.84143158974927
p_GM2_YoY_lag: 2.24107806823248e-06
coef_GM2_x_financial_crisis_2008_2009: -3.23453070043736
hac_se_GM2_x_financial_crisis_2008_2009: 1.62865525102181
t_GM2_x_financial_crisis_2008_2009: -1.98601312242603
p_GM2_x_financial_crisis_2008_2009: 0.0481068221829859
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-11;2009-12;2012-04;2012-06;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.346633950645055
full_r2: 0.356712468865802
test_rmse: 23.3463563873218
test_mae: 19.4276697922036
test_r2: 0.283058259120381
high_leverage_month_count: 16
max_cooks_distance: 0.666357564257535
coef_intercept: -7.55069522140802
hac_se_intercept: 5.05370539522698
t_intercept: -1.49409089586808
p_intercept: 0.136407909783094
coef_GM2_YoY_lag: 3.62553053844881
hac_se_GM2_YoY_lag: 0.703887540582165
t_GM2_YoY_lag: 5.15072412767846
p_GM2_YoY_lag: 5.25007117335718e-07
coef_GM2_x_financial_crisis_2008_2009: -1.12021811573471
hac_se_GM2_x_financial_crisis_2008_2009: 1.36518483531775
t_GM2_x_financial_crisis_2008_2009: -0.820561499625779
p_GM2_x_financial_crisis_2008_2009: 0.412674685790931
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.46312901835433
hac_se_CI_zscore: 0.808343146179131
t_CI_zscore: -4.28423131280795
p_CI_zscore: 2.6142719119493e-05
coef_CI_monthly_change: -0.000361155664164059
high_leverage_months:
2008-01;2008-02;2008-05;2008-06;2008-09;2008-11;2008-12;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 10
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.0792723986189429
full_r2: 0.115407460336339
test_rmse: 22.36850201618
test_mae: 17.5782337797298
test_r2: 0.341858242696993
high_leverage_month_count: 17
max_cooks_distance: 0.0879836976486366
coef_intercept: -6.38948081961072
hac_se_intercept: 7.30139680332996
t_intercept: -0.875103900214909
p_intercept: 0.382344115082986
coef_GM2_YoY_lag: 2.50849523859578
hac_se_GM2_YoY_lag: 1.2268377583198
t_GM2_YoY_lag: 2.04468375837344
p_GM2_YoY_lag: 0.0419169500661896
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.80703808440626
hac_se_GM2_x_shale_regime_2014_2017: 1.99874885086937
t_GM2_x_shale_regime_2014_2017: -0.904084614542881
p_GM2_x_shale_regime_2014_2017: 0.366807202100471
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-01;2015-02;2015-03;2015-04;2017-01;2017-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.293691697170714
full_r2: 0.294135221726238
test_rmse: 28.0414091283616
test_mae: 23.7212434193748
test_r2: -0.0342971122614453
high_leverage_month_count: 16
max_cooks_distance: 0.246428965056139
coef_intercept: -2.65830176934186
hac_se_intercept: 5.92158253196357
t_intercept: -0.448917456607732
p_intercept: 0.653878539122217
coef_GM2_YoY_lag: 2.8841008060011
hac_se_GM2_YoY_lag: 0.773636753080993
t_GM2_YoY_lag: 3.72797801360293
p_GM2_YoY_lag: 0.000238576107173483
regime: shale_regime_2014_2017
coef_CI_zscore: -1.06891271993291
hac_se_CI_zscore: 1.53949456592691
t_CI_zscore: -0.694327049663429
p_CI_zscore: 0.48811927709118
coef_CI_monthly_change: -0.000314538592975477
hac_se_CI_monthly_change: 0.000217414083575455
t_CI_monthly_change: -1.44672593331018
p_CI_monthly_change: 0.149221350636373
coef_GM2_x_CI_zscore: -1.1580907564685
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 10
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.140711682162321
full_r2: 0.162818956452938
test_rmse: 23.8158488834518
test_mae: 18.2774533005054
test_r2: 0.253933093481152
high_leverage_month_count: 14
max_cooks_distance: 0.468443936828024
coef_intercept: -6.03187210129527
hac_se_intercept: 7.52200301269357
t_intercept: -0.80189706001398
p_intercept: 0.423362086257399
coef_GM2_YoY_lag: 1.87936014180409
hac_se_GM2_YoY_lag: 1.2181265328831
t_GM2_YoY_lag: 1.54282834424103
p_GM2_YoY_lag: 0.124117354861119
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 3.02668820356928
hac_se_GM2_x_covid_2020_2021: 1.56329020198366
t_GM2_x_covid_2020_2021: 1.9361013071845
p_GM2_x_covid_2020_2021: 0.0539647630888678
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2020-04;2020-05;2021-03;2021-04;2021-05;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.314142178293613
full_r2: 0.287955103706813
test_rmse: 32.7313479454153
test_mae: 29.7782988919973
test_r2: -0.409202568406615
high_leverage_month_count: 18
max_cooks_distance: 0.624468579320746
coef_intercept: 3.71041530167132
hac_se_intercept: 7.27442609293234
t_intercept: 0.510062959506355
p_intercept: 0.610455575152508
coef_GM2_YoY_lag: 1.38592532640605
hac_se_GM2_YoY_lag: 1.11319326722481
t_GM2_YoY_lag: 1.2449997383304
p_GM2_YoY_lag: 0.214292953884348
regime: covid_2020_2021
coef_CI_zscore: -3.61833399763361
hac_se_CI_zscore: 0.858426420893351
t_CI_zscore: -4.21507762292319
p_CI_zscore: 3.48645762071609e-05
coef_CI_monthly_change: -0.000328592699194719
hac_se_CI_monthly_change: 0.000218479423262067
t_CI_monthly_change: -1.50399838249559
p_CI_monthly_change: 0.133838993188679
coef_GM2_x_covid_2020_2021: 2.50550449973476
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2017-02;2020-04;2020-05;2021-03;2021-04;2021-05;2021-08;2021-11;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.284225106106319
full_r2: 0.288207885447052
test_rmse: 27.4701299304619
test_mae: 23.7132580508341
test_r2: 0.00741645419095971
high_leverage_month_count: 17
max_cooks_distance: 0.293274574271621
coef_intercept: -1.72796269389964
hac_se_intercept: 6.15644360649828
t_intercept: -0.280675468557161
p_intercept: 0.779190535577052
coef_GM2_YoY_lag: 2.58601219308885
hac_se_GM2_YoY_lag: 0.918213880333376
t_GM2_YoY_lag: 2.81635057852746
p_GM2_YoY_lag: 0.00524321091170998
regime: covid_2020_2021
coef_CI_zscore: -0.123245407097594
hac_se_CI_zscore: 1.56174102195204
t_CI_zscore: -0.0789153933752395
p_CI_zscore: 0.937162796554866
coef_CI_monthly_change: -0.000317304766217941
hac_se_CI_monthly_change: 0.000215788602764489
t_CI_monthly_change: -1.4704426561594
p_CI_monthly_change: 0.142694346236682
coef_GM2_x_CI_zscore: -0.915648320017794
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-12


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 10
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.0736485058844121
full_r2: 0.109908829951469
test_rmse: 22.1984835273598
test_mae: 17.5766919786607
test_r2: 0.351825026919347
high_leverage_month_count: 17
max_cooks_distance: 0.147764663128089
coef_intercept: -9.46803140314585
hac_se_intercept: 6.48764244623899
t_intercept: -1.45939476190379
p_intercept: 0.145692087532568
coef_GM2_YoY_lag: 2.39371937587573
hac_se_GM2_YoY_lag: 1.44604754347539
t_GM2_YoY_lag: 1.65535316364684
p_GM2_YoY_lag: 0.0990878583468868
regime: normal_period
coef_GM2_x_normal_period: 0.632423937035798
hac_se_GM2_x_normal_period: 1.26289217377009
t_GM2_x_normal_period: 0.500774294251768
p_GM2_x_normal_period: 0.616963636204096
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2012-04;2012-06;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 11
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.133684306185503
full_r2: 0.171156899718833
test_rmse: 20.4845838213569
test_mae: 16.7205150409256
test_r2: 0.448049750103871
high_leverage_month_count: 22
max_cooks_distance: 0.0931819423234897
coef_intercept: -11.8977370721088
hac_se_intercept: 5.60839791358383
t_intercept: -2.12141457425691
p_intercept: 0.0348594348902707
coef_GM2_YoY_lag: 3.59796863446513
hac_se_GM2_YoY_lag: 0.793604057092104
t_GM2_YoY_lag: 4.53370746068093
p_GM2_YoY_lag: 8.94978137178093e-06
coef_GM2_x_financial_crisis_2008_2009: -3.11692916978208
hac_se_GM2_x_financial_crisis_2008_2009: 1.58929192116428
t_GM2_x_financial_crisis_2008_2009: -1.96120620024211
p_GM2_x_financial_crisis_2008_2009: 0.0509517755260525
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-11;2009-12;2012-05;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.338047528224625
full_r2: 0.343246321613564
test_rmse: 24.4801905681802
test_mae: 20.6093249753105
test_r2: 0.21172957440072
high_leverage_month_count: 17
max_cooks_distance: 0.701413717103756
coef_intercept: -6.27956945050031
hac_se_intercept: 5.02494491453545
t_intercept: -1.24967926162447
p_intercept: 0.212585381302226
coef_GM2_YoY_lag: 3.44181731962737
hac_se_GM2_YoY_lag: 0.676827024845725
t_GM2_YoY_lag: 5.0852244270416
p_GM2_YoY_lag: 7.20713950519425e-07
coef_GM2_x_financial_crisis_2008_2009: -0.831700024441106
hac_se_GM2_x_financial_crisis_2008_2009: 1.37143365878844
t_GM2_x_financial_crisis_2008_2009: -0.606445684857881
p_GM2_x_financial_crisis_2008_2009: 0.544769122798926
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.6802384044177
hac_se_CI_zscore: 0.808328449075786
t_CI_zscore: -4.5528997632405
p_CI_zscore: 8.26860817704222e-06
coef_CI_monthly_change: -0.000347187179132735
high_leverage_months:
2008-02;2008-03;2008-05;2008-09;2008-10;2008-11;2008-12;2009-06;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 11
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0664240866411033
full_r2: 0.0987062993792268
test_rmse: 23.5616837802965
test_mae: 18.7897276145431
test_r2: 0.269772321315124
high_leverage_month_count: 20
max_cooks_distance: 0.072925839131809
coef_intercept: -4.19547625081519
hac_se_intercept: 7.32153040253641
t_intercept: -0.573032688543059
p_intercept: 0.56713150196534
coef_GM2_YoY_lag: 2.2294642206935
hac_se_GM2_YoY_lag: 1.20882101718734
t_GM2_YoY_lag: 1.84432946564825
p_GM2_YoY_lag: 0.0663042002208862
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -2.1427048528053
hac_se_GM2_x_shale_regime_2014_2017: 1.96893480484109
t_GM2_x_shale_regime_2014_2017: -1.08825586684585
p_GM2_x_shale_regime_2014_2017: 0.277517749738166
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-01;2015-02;2015-03;2015-04;2015-06;2017-01;2017-02;2017-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.247895796807675
full_r2: 0.215302312925498
test_rmse: 38.0888933619837
test_mae: 34.1029229403962
test_r2: -0.908281122149463
high_leverage_month_count: 16
max_cooks_distance: 0.7225364417737
coef_intercept: 1.82767520930421
hac_se_intercept: 7.27466757493371
t_intercept: 0.251238313019529
p_intercept: 0.801836247489768
coef_GM2_YoY_lag: 2.20303282497833
hac_se_GM2_YoY_lag: 1.0224451262254
t_GM2_YoY_lag: 2.15467096323433
p_GM2_YoY_lag: 0.0321430888385097
regime: shale_regime_2014_2017
coef_CI_zscore: -8.27835363355164
hac_se_CI_zscore: 3.44204231098833
t_CI_zscore: -2.40507027096208
p_CI_zscore: 0.016896850526529
coef_CI_monthly_change: -0.000384840304785694
hac_se_CI_monthly_change: 0.000226896572374101
t_CI_monthly_change: -1.69610453238218
p_CI_monthly_change: 0.0911108971680579
coef_GM2_x_shale_regime_2014_2017: -0.892917634556532
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.279063406798999
full_r2: 0.275746035470902
test_rmse: 29.1518038071944
test_mae: 24.9041198669742
test_r2: -0.117831926434782
high_leverage_month_count: 16
max_cooks_distance: 0.379692139435709
coef_intercept: -1.59881584711336
hac_se_intercept: 5.94406095758989
t_intercept: -0.268977027409494
p_intercept: 0.788169206344706
coef_GM2_YoY_lag: 2.70377376648192
hac_se_GM2_YoY_lag: 0.751764857495596
t_GM2_YoY_lag: 3.59656844759834
p_GM2_YoY_lag: 0.00038850539565094
regime: shale_regime_2014_2017
coef_CI_zscore: -0.973785776014769
hac_se_CI_zscore: 2.02731490692535
t_CI_zscore: -0.480332765614408
p_CI_zscore: 0.631410820008077
coef_CI_monthly_change: -0.000333405970941669
hac_se_CI_monthly_change: 0.000221472595736971
t_CI_monthly_change: -1.50540508107664
p_CI_monthly_change: 0.133482347541137
coef_GM2_x_CI_zscore: -1.10003539379553
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2010-10;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.313823604039192
full_r2: 0.282959450210382
test_rmse: 33.4109994501552
test_mae: 30.4925795202894
test_r2: -0.468333065653656
high_leverage_month_count: 17
max_cooks_distance: 0.64033880047663
coef_intercept: 4.76790063226745
hac_se_intercept: 7.14006999614136
t_intercept: 0.667766651425563
p_intercept: 0.504898526365081
coef_GM2_YoY_lag: 1.2255490966793
hac_se_GM2_YoY_lag: 1.07882905012655
t_GM2_YoY_lag: 1.13599934719551
p_GM2_YoY_lag: 0.257044655637663
regime: covid_2020_2021
coef_CI_zscore: -3.70989025559733
hac_se_CI_zscore: 0.849150933010757
t_CI_zscore: -4.36894091659714
p_CI_zscore: 1.83093861114703e-05
coef_CI_monthly_change: -0.000317405155467076
hac_se_CI_monthly_change: 0.000215777291160367
t_CI_monthly_change: -1.47098498530682
p_CI_monthly_change: 0.14255271961654
coef_GM2_x_covid_2020_2021: 2.86243885706945
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-08;2021-11;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.271563014022918
full_r2: 0.273427244053017
test_rmse: 28.1569664360814
test_mae: 24.4075875780469
test_r2: -0.0428392549510597
high_leverage_month_count: 18
max_cooks_distance: 0.472675307902948
coef_intercept: -0.554745827345263
hac_se_intercept: 5.88155443620779
t_intercept: -0.094319594141671
p_intercept: 0.924930835880881
coef_GM2_YoY_lag: 2.33461375976066
hac_se_GM2_YoY_lag: 0.840916092543731
t_GM2_YoY_lag: 2.77627432803499
p_GM2_YoY_lag: 0.00591459599750022
regime: covid_2020_2021
coef_CI_zscore: 0.324854460084591
hac_se_CI_zscore: 1.98951076702102
t_CI_zscore: 0.163283589850086
p_CI_zscore: 0.870427070075739
coef_CI_monthly_change: -0.000346421402960928
hac_se_CI_monthly_change: 0.000218923926078921
t_CI_monthly_change: -1.58238256167599
p_CI_monthly_change: 0.114826500603471
coef_GM2_x_CI_zscore: -0.860922367977938
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-12;2016-01;2016-02;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.209998593003075
full_r2: 0.209175946299662
test_rmse: 36.291834721347
test_mae: 31.7539387363279
test_r2: -0.732461104801663
high_leverage_month_count: 15
max_cooks_distance: 0.785479891695807
coef_intercept: 0.948449138116788
hac_se_intercept: 7.37034740532768
t_intercept: 0.128684454878097
p_intercept: 0.897710798696625
coef_GM2_YoY_lag: 1.89528620191405
hac_se_GM2_YoY_lag: 1.19963445612538
t_GM2_YoY_lag: 1.57988643310189
p_GM2_YoY_lag: 0.115397247339375
regime: war_spr_2022_2023
coef_CI_zscore: -3.93935156929475
hac_se_CI_zscore: 0.986462232064914
t_CI_zscore: -3.993413474177
p_CI_zscore: 8.56802142661373e-05
coef_CI_monthly_change: -0.000397647191629824
hac_se_CI_monthly_change: 0.000239824065390344
t_CI_monthly_change: -1.65807877113
p_CI_monthly_change: 0.0985557363243021
coef_GM2_x_war_spr_2022_2023: 0.101474533101443
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2023-03


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.251848560660055
full_r2: 0.263390945282008
test_rmse: 25.2586326700914
test_mae: 20.8383409222668
test_r2: 0.160800302527304
high_leverage_month_count: 20
max_cooks_distance: 0.521065895629341
coef_intercept: -3.0219945370325
hac_se_intercept: 5.85550393631261
t_intercept: -0.516094698236262
p_intercept: 0.606244426085281
coef_GM2_YoY_lag: 2.77383760042519
hac_se_GM2_YoY_lag: 0.873131397053082
t_GM2_YoY_lag: 3.17688449846977
p_GM2_YoY_lag: 0.00167585778243451
regime: war_spr_2022_2023
coef_CI_zscore: 1.04330455467808
hac_se_CI_zscore: 2.12564612975873
t_CI_zscore: 0.490817610735847
p_CI_zscore: 0.623985998638337
coef_CI_monthly_change: -0.000356301756538446
hac_se_CI_monthly_change: 0.000224133629945484
t_CI_monthly_change: -1.58968449591928
p_CI_monthly_change: 0.113169714126395
coef_GM2_x_CI_zscore: -1.04020198450035
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-01;2016-02;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-12;2022-01


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 11
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0540763895612324
full_r2: 0.0890561402428092
test_rmse: 22.8755566468937
test_mae: 18.0321143380009
test_r2: 0.311682223002378
high_leverage_month_count: 15
max_cooks_distance: 0.122963596152775
coef_intercept: -7.63301691933252
hac_se_intercept: 6.64155624953425
t_intercept: -1.14928137812095
p_intercept: 0.251525285721439
coef_GM2_YoY_lag: 2.1262492623194
hac_se_GM2_YoY_lag: 1.41426128686094
t_GM2_YoY_lag: 1.50343453651253
p_GM2_YoY_lag: 0.133974245348888
regime: normal_period
coef_GM2_x_normal_period: 0.628738180346481
hac_se_GM2_x_normal_period: 1.25827419956873
t_GM2_x_normal_period: 0.499682963031413
p_GM2_x_normal_period: 0.617732610351342
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2012-05;2021-04;2021-05;2021-09;2021-10;2021-11


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.106919817013776
full_r2: 0.142759981641734
test_rmse: 21.3956966142382
test_mae: 17.4999323984001
test_r2: 0.397858574268046
high_leverage_month_count: 22
max_cooks_distance: 0.0727136814788522
coef_intercept: -9.40025801467826
hac_se_intercept: 5.83836842855255
t_intercept: -1.6100830445551
p_intercept: 0.108631617796102
coef_GM2_YoY_lag: 3.21098617462477
hac_se_GM2_YoY_lag: 0.764298953287243
t_GM2_YoY_lag: 4.20121754820459
p_GM2_YoY_lag: 3.68731055222504e-05
coef_GM2_x_financial_crisis_2008_2009: -3.00172479845086
hac_se_GM2_x_financial_crisis_2008_2009: 1.52940732990507
t_GM2_x_financial_crisis_2008_2009: -1.9626719054872
p_GM2_x_financial_crisis_2008_2009: 0.0507844466135812
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-12;2012-06;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.322685492369173
full_r2: 0.320590189739118
test_rmse: 26.296333162673
test_mae: 22.2847194709227
test_r2: 0.0904302021283316
high_leverage_month_count: 18
max_cooks_distance: 0.716095155410165
coef_intercept: -4.15118639446079
hac_se_intercept: 5.27244395547555
t_intercept: -0.787336276974492
p_intercept: 0.431833822803866
coef_GM2_YoY_lag: 3.13337255781362
hac_se_GM2_YoY_lag: 0.640390790759502
t_GM2_YoY_lag: 4.89290696091592
p_GM2_YoY_lag: 1.78557315289041e-06
coef_GM2_x_financial_crisis_2008_2009: -0.638181145989184
hac_se_GM2_x_financial_crisis_2008_2009: 1.40903176722659
t_GM2_x_financial_crisis_2008_2009: -0.452921758638075
p_GM2_x_financial_crisis_2008_2009: 0.650999481202335
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.90054904981804
hac_se_CI_zscore: 0.816831999945211
t_CI_zscore: -4.77521577274112
p_CI_zscore: 3.06600798438694e-06
coef_CI_monthly_change: -0.000308912293354613
high_leverage_months:
2008-02;2008-03;2008-05;2008-06;2008-09;2008-10;2008-11;2008-12;2009-06;2009-07;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0564390031766201
full_r2: 0.0825572043655456
test_rmse: 25.2080324019015
test_mae: 20.4629838472363
test_r2: 0.164159248897122
high_leverage_month_count: 17
max_cooks_distance: 0.0626879318445781
coef_intercept: -1.53174927182577
hac_se_intercept: 7.44953987548712
t_intercept: -0.205616628332446
p_intercept: 0.837256391182649
coef_GM2_YoY_lag: 1.89222875486484
hac_se_GM2_YoY_lag: 1.17678764739814
t_GM2_YoY_lag: 1.60796109565607
p_GM2_YoY_lag: 0.109095822111279
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -2.54861728060136
hac_se_GM2_x_shale_regime_2014_2017: 1.89752205371128
t_GM2_x_shale_regime_2014_2017: -1.34312920137957
p_GM2_x_shale_regime_2014_2017: 0.180438514896855
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-01;2017-02;2017-03;2017-11;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.120455281651256
full_r2: 0.136936298259193
test_rmse: 25.3311706669106
test_mae: 19.6964647814672
test_r2: 0.155973337040076
high_leverage_month_count: 15
max_cooks_distance: 0.345397562453834
coef_intercept: -3.12151231980551
hac_se_intercept: 7.42643263203999
t_intercept: -0.420324599234674
p_intercept: 0.674606525521661
coef_GM2_YoY_lag: 1.41026871410431
hac_se_GM2_YoY_lag: 1.13258639337609
t_GM2_YoY_lag: 1.24517539885013
p_GM2_YoY_lag: 0.214223896931427
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 3.88419957867909
hac_se_GM2_x_covid_2020_2021: 1.69474833540946
t_GM2_x_covid_2020_2021: 2.29190346290598
p_GM2_x_covid_2020_2021: 0.0227363469207924
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2020-11;2021-03;2021-04;2021-05;2021-12;2022-03


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.309769000132577
full_r2: 0.2714080924351
test_rmse: 34.6498242187235
test_mae: 31.7953097103788
test_r2: -0.579238473914599
high_leverage_month_count: 15
max_cooks_distance: 0.647795434190454
coef_intercept: 6.32684739300333
hac_se_intercept: 7.1045547121958
t_intercept: 0.890533981270149
p_intercept: 0.374038865832588
coef_GM2_YoY_lag: 1.00670203034108
hac_se_GM2_YoY_lag: 1.04545450156072
t_GM2_YoY_lag: 0.962932417277089
p_GM2_YoY_lag: 0.336515639156405
regime: covid_2020_2021
coef_CI_zscore: -3.79927766183563
hac_se_CI_zscore: 0.851423253161999
t_CI_zscore: -4.46226673716738
p_CI_zscore: 1.22909529307602e-05
coef_CI_monthly_change: -0.000305769833807368
hac_se_CI_monthly_change: 0.000214541843965969
t_CI_monthly_change: -1.42522236294319
p_CI_monthly_change: 0.155345204358769
coef_GM2_x_covid_2020_2021: 3.0920798644122
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-11;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.224426106221825
full_r2: 0.233142494717232
test_rmse: 26.6520629016646
test_mae: 22.1497740987855
test_r2: 0.0656549189623157
high_leverage_month_count: 18
max_cooks_distance: 0.959502961503209
coef_intercept: -1.27088404264988
hac_se_intercept: 6.00401014285417
t_intercept: -0.2116725342582
p_intercept: 0.83253566801146
coef_GM2_YoY_lag: 2.3878369709756
hac_se_GM2_YoY_lag: 0.898866434277593
t_GM2_YoY_lag: 2.65649809573173
p_GM2_YoY_lag: 0.0084058378191445
regime: war_spr_2022_2023
coef_CI_zscore: 1.35294867669999
hac_se_CI_zscore: 2.82513835127122
t_CI_zscore: 0.478896432130911
p_CI_zscore: 0.632432579196054
coef_CI_monthly_change: -0.000387910141477654
hac_se_CI_monthly_change: 0.000229920583456921
t_CI_monthly_change: -1.68714838682694
p_CI_monthly_change: 0.0928270982586976
coef_GM2_x_CI_zscore: -0.930923966967955
high_leverage_months:
2008-11;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-01;2016-02;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0353717623994567
full_r2: 0.0671974594523183
test_rmse: 23.9641428599628
test_mae: 18.867672751697
test_r2: 0.244613108216328
high_leverage_month_count: 17
max_cooks_distance: 0.0944748727447362
coef_intercept: -5.41874828519174
hac_se_intercept: 6.91583483293409
t_intercept: -0.783527718069114
p_intercept: 0.43405306228583
coef_GM2_YoY_lag: 1.79085115718124
hac_se_GM2_YoY_lag: 1.36827081910934
t_GM2_YoY_lag: 1.30884261519732
p_GM2_YoY_lag: 0.191779976098688
regime: normal_period
coef_GM2_x_normal_period: 0.649280806244502
hac_se_GM2_x_normal_period: 1.23739541782499
t_GM2_x_normal_period: 0.524715702750671
p_GM2_x_normal_period: 0.600242119888799
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2012-06;2021-04;2021-05;2021-09;2021-10;2021-11;2022-03


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 13
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0905096047028188
full_r2: 0.118021047420822
test_rmse: 22.4850016178154
test_mae: 18.1436364269824
test_r2: 0.282717378137081
high_leverage_month_count: 22
max_cooks_distance: 0.0584414518875602
coef_intercept: -7.1540761161136
hac_se_intercept: 6.2100013288548
t_intercept: -1.15202489295327
p_intercept: 0.250406922777846
coef_GM2_YoY_lag: 2.85187038093252
hac_se_GM2_YoY_lag: 0.750920077289602
t_GM2_YoY_lag: 3.79783477254485
p_GM2_YoY_lag: 0.00018314421877208
coef_GM2_x_financial_crisis_2008_2009: -2.8423299495217
hac_se_GM2_x_financial_crisis_2008_2009: 1.48726084086999
t_GM2_x_financial_crisis_2008_2009: -1.91111731810208
p_GM2_x_financial_crisis_2008_2009: 0.0571285630736094
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-11;2009-12;2012-07;2021-04;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.3147761769964
full_r2: 0.300394552742839
test_rmse: 28.1916659896084
test_mae: 24.0948321011537
test_r2: -0.127576316209761
high_leverage_month_count: 17
max_cooks_distance: 0.702060377394688
coef_intercept: -2.13738550001186
hac_se_intercept: 5.74119992876267
t_intercept: -0.372288986019079
p_intercept: 0.70999563226509
coef_GM2_YoY_lag: 2.8280620388096
hac_se_GM2_YoY_lag: 0.623847232444826
t_GM2_YoY_lag: 4.53326053515789
p_GM2_YoY_lag: 9.04217815822506e-06
coef_GM2_x_financial_crisis_2008_2009: -0.480779486351518
hac_se_GM2_x_financial_crisis_2008_2009: 1.41486442794124
t_GM2_x_financial_crisis_2008_2009: -0.339806045623112
p_GM2_x_financial_crisis_2008_2009: 0.734290203621512
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.04221730651798
hac_se_CI_zscore: 0.822902139039337
t_CI_zscore: -4.91214825524321
p_CI_zscore: 1.63666807395657e-06
coef_CI_monthly_change: -0.000302381449865052
high_leverage_months:
2008-02;2008-03;2008-05;2008-06;2008-10;2008-11;2008-12;2009-06;2009-07;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 13
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0571360950664186
full_r2: 0.0732157192412151
test_rmse: 26.3714455152093
test_mae: 21.765842678348
test_r2: 0.0133290672483615
high_leverage_month_count: 14
max_cooks_distance: 0.0605471570612618
coef_intercept: 0.794242101037504
hac_se_intercept: 7.68315528261284
t_intercept: 0.103374469449406
p_intercept: 0.91774832009575
coef_GM2_YoY_lag: 1.60318344086951
hac_se_GM2_YoY_lag: 1.14575043732168
t_GM2_YoY_lag: 1.3992431411304
p_GM2_YoY_lag: 0.162974648711172
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -2.938837498982
hac_se_GM2_x_shale_regime_2014_2017: 1.82173311942684
t_GM2_x_shale_regime_2014_2017: -1.61320967799423
p_GM2_x_shale_regime_2014_2017: 0.107955475372215
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2017-02;2017-11;2021-04;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.305026375284596
full_r2: 0.26003557750454
test_rmse: 35.3847258407131
test_mae: 32.5172792571975
test_r2: -0.776381055016631
high_leverage_month_count: 14
max_cooks_distance: 0.646311414181084
coef_intercept: 7.46977299590717
hac_se_intercept: 7.13877071237348
t_intercept: 1.04636684617983
p_intercept: 0.296410450410959
coef_GM2_YoY_lag: 0.84949577335283
hac_se_GM2_YoY_lag: 1.01735410767196
t_GM2_YoY_lag: 0.835005006562325
p_GM2_YoY_lag: 0.404518553680726
regime: covid_2020_2021
coef_CI_zscore: -3.85727371430965
hac_se_CI_zscore: 0.858158026133963
t_CI_zscore: -4.49482915365463
p_CI_zscore: 1.06909535462218e-05
coef_CI_monthly_change: -0.000316954763094679
hac_se_CI_monthly_change: 0.000217811663648572
t_CI_monthly_change: -1.45517810105004
p_CI_monthly_change: 0.146884556272579
coef_GM2_x_covid_2020_2021: 3.24326154558112
high_leverage_months:
2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-11;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.208681527983751
full_r2: 0.182495314157432
test_rmse: 34.2084928676013
test_mae: 30.3498409454773
test_r2: -0.660245624120581
high_leverage_month_count: 14
max_cooks_distance: 0.813775544261116
coef_intercept: 5.1945384486385
hac_se_intercept: 7.77432313456204
t_intercept: 0.668166007346069
p_intercept: 0.504648999084253
coef_GM2_YoY_lag: 1.31435875856934
hac_se_GM2_YoY_lag: 1.1883632522219
t_GM2_YoY_lag: 1.10602440466908
p_GM2_YoY_lag: 0.269787702705793
regime: war_spr_2022_2023
coef_CI_zscore: -4.17850935836595
hac_se_CI_zscore: 1.02726240390146
t_CI_zscore: -4.06761635829006
p_CI_zscore: 6.38505328629524e-05
coef_CI_monthly_change: -0.000385012749037905
hac_se_CI_monthly_change: 0.00024746919967158
t_CI_monthly_change: -1.55580067963553
p_CI_monthly_change: 0.121030684648776
coef_GM2_x_war_spr_2022_2023: -0.14655852289025
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2023-03


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 13
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0256641970310647
full_r2: 0.0514150450516089
test_rmse: 24.3931500096938
test_mae: 19.011517541152
test_r2: 0.155809936897343
high_leverage_month_count: 18
max_cooks_distance: 0.0852891339673279
coef_intercept: -3.54446323434751
hac_se_intercept: 7.2491434638549
t_intercept: -0.48894924648969
p_intercept: 0.625304588945906
coef_GM2_YoY_lag: 1.49238152734525
hac_se_GM2_YoY_lag: 1.32234178524109
t_GM2_YoY_lag: 1.12858985778261
p_GM2_YoY_lag: 0.260148432155216
regime: normal_period
coef_GM2_x_normal_period: 0.694783129319468
hac_se_GM2_x_normal_period: 1.21037512135197
t_GM2_x_normal_period: 0.574022976069935
p_GM2_x_normal_period: 0.566466280463229
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2012-06;2012-07;2021-04;2021-05;2021-09;2021-10;2021-11;2022-03


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.225695350666656
full_r2: 0.231882412595492
test_rmse: 26.5108789050866
test_mae: 22.0093875383882
test_r2: 0.00286786051196075
high_leverage_month_count: 16
max_cooks_distance: 2.70949745124942
coef_intercept: -0.417540099278857
hac_se_intercept: 5.93638268589487
t_intercept: -0.0703357787682645
p_intercept: 0.943983088677149
coef_GM2_YoY_lag: 1.7693926094763
hac_se_GM2_YoY_lag: 0.756162397702769
t_GM2_YoY_lag: 2.33996376287917
p_GM2_YoY_lag: 0.0200794568525886
regime: normal_period
coef_CI_zscore: 2.34069156708053
hac_se_CI_zscore: 3.32149838510211
t_CI_zscore: 0.704709530367143
p_CI_zscore: 0.48165228443724
coef_CI_monthly_change: -0.00045786550714122
hac_se_CI_monthly_change: 0.000233346687057073
t_CI_monthly_change: -1.96216844951063
p_CI_monthly_change: 0.0508611414112803
coef_GM2_x_CI_zscore: -1.01692215832272
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-01;2016-02;2017-02;2020-04;2021-03;2021-04;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0713341372396668
full_r2: 0.0935917701506516
test_rmse: 23.7426325136084
test_mae: 18.8038938216371
test_r2: 0.200235350594453
high_leverage_month_count: 22
max_cooks_distance: 0.0727622082799644
coef_intercept: -5.34485861928491
hac_se_intercept: 6.5926618817113
t_intercept: -0.810728460701448
p_intercept: 0.418292732527655
coef_GM2_YoY_lag: 2.54185387474232
hac_se_GM2_YoY_lag: 0.755648777016374
t_GM2_YoY_lag: 3.36380333304932
p_GM2_YoY_lag: 0.000889482612412618
coef_GM2_x_financial_crisis_2008_2009: -2.53497084730912
hac_se_GM2_x_financial_crisis_2008_2009: 1.47792897024082
t_GM2_x_financial_crisis_2008_2009: -1.71521832128107
p_GM2_x_financial_crisis_2008_2009: 0.0875442680780971
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-11;2009-12;2021-04;2021-10;2021-11


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.307692869548851
full_r2: 0.28575948439131
test_rmse: 29.3649316612731
test_mae: 24.9833615939555
test_r2: -0.223383029161361
high_leverage_month_count: 14
max_cooks_distance: 0.733676692293246
coef_intercept: -0.623494083888255
hac_se_intercept: 6.17681268594105
t_intercept: -0.100941070352899
p_intercept: 0.919679127865352
coef_GM2_YoY_lag: 2.55074346515078
hac_se_GM2_YoY_lag: 0.637498706141819
t_GM2_YoY_lag: 4.00117434055362
p_GM2_YoY_lag: 8.33499433527951e-05
coef_GM2_x_financial_crisis_2008_2009: -0.0153545514282862
hac_se_GM2_x_financial_crisis_2008_2009: 1.31555769976924
t_GM2_x_financial_crisis_2008_2009: -0.0116715150015689
p_GM2_x_financial_crisis_2008_2009: 0.990697111282826
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.05471845431253
hac_se_CI_zscore: 0.834452960783512
t_CI_zscore: -4.85913364188358
p_CI_zscore: 2.09648028803855e-06
coef_CI_monthly_change: -0.000302888679553082
high_leverage_months:
2008-02;2008-05;2008-11;2008-12;2009-06;2009-07;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0623489600185213
full_r2: 0.0711033508757634
test_rmse: 27.5650463388875
test_mae: 23.1956675758307
test_r2: -0.078007832888588
high_leverage_month_count: 13
max_cooks_distance: 0.0791780675607545
coef_intercept: 2.59456889893025
hac_se_intercept: 7.85679126518044
t_intercept: 0.330232637136334
p_intercept: 0.741500751062079
coef_GM2_YoY_lag: 1.39643325437078
hac_se_GM2_YoY_lag: 1.10506298597551
t_GM2_YoY_lag: 1.26366847147455
p_GM2_YoY_lag: 0.207526121816126
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -3.3494777140482
hac_se_GM2_x_shale_regime_2014_2017: 1.80456126735229
t_GM2_x_shale_regime_2014_2017: -1.85611748109981
p_GM2_x_shale_regime_2014_2017: 0.0646134244290804
high_leverage_months:
2008-12;2009-01;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-11;2021-04;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.09437293244546
full_r2: 0.107694837974568
test_rmse: 25.3322466212716
test_mae: 19.6184043045801
test_r2: 0.089558852353894
high_leverage_month_count: 15
max_cooks_distance: 0.196757182524166
coef_intercept: -1.50764840290499
hac_se_intercept: 7.43133335702351
t_intercept: -0.202877240257306
p_intercept: 0.839396000777318
coef_GM2_YoY_lag: 1.17158908837219
hac_se_GM2_YoY_lag: 1.05817067915163
t_GM2_YoY_lag: 1.10718347375821
p_GM2_YoY_lag: 0.269278768473837
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 4.49494641103231
hac_se_GM2_x_covid_2020_2021: 1.6985814350721
t_GM2_x_covid_2020_2021: 2.64629432432335
p_GM2_x_covid_2020_2021: 0.00865426555742399
high_leverage_months:
2008-12;2009-01;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2021-03;2021-04;2021-05;2021-10;2021-12;2022-03


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.253018768204332
full_r2: 0.229828982457893
test_rmse: 33.5634578584286
test_mae: 30.3786847625183
test_r2: -0.598224771027472
high_leverage_month_count: 13
max_cooks_distance: 0.880363588837962
coef_intercept: 4.36521605264037
hac_se_intercept: 6.5436925370002
t_intercept: 0.667087585175801
p_intercept: 0.505338892946621
coef_GM2_YoY_lag: 1.4160681241577
hac_se_GM2_YoY_lag: 0.72633305015924
t_GM2_YoY_lag: 1.94961267953763
p_GM2_YoY_lag: 0.05235395053125
regime: covid_2020_2021
coef_CI_zscore: 0.827575141858726
hac_se_CI_zscore: 3.17679707207731
t_CI_zscore: 0.260506139700504
p_CI_zscore: 0.794690424120073
coef_CI_monthly_change: -0.000438844697469021
hac_se_CI_monthly_change: 0.000231520852395021
t_CI_monthly_change: -1.89548670423977
p_CI_monthly_change: 0.0591954091169027
coef_GM2_x_CI_zscore: -0.713582603735071
high_leverage_months:
2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11;2021-12


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.033310072139239
full_r2: 0.0472048038838074
test_rmse: 27.5538873468417
test_mae: 21.9391379947381
test_r2: -0.0771352026906627
high_leverage_month_count: 13
max_cooks_distance: 0.0694415828764534
coef_intercept: 0.33810221864548
hac_se_intercept: 7.98462462000986
t_intercept: 0.0423441595235647
p_intercept: 0.966258141613672
coef_GM2_YoY_lag: 1.13337408941946
hac_se_GM2_YoY_lag: 1.20067490808259
t_GM2_YoY_lag: 0.943947509679695
p_GM2_YoY_lag: 0.346107820306566
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.2912268099188
hac_se_GM2_x_war_spr_2022_2023: 1.06074333520606
t_GM2_x_war_spr_2022_2023: 1.21728486718982
p_GM2_x_war_spr_2022_2023: 0.224643642468484
high_leverage_months:
2008-12;2009-01;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2021-04;2021-10;2021-11;2022-03


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.209003121784872
full_r2: 0.175375817720295
test_rmse: 35.4261984318357
test_mae: 31.3718574964848
test_r2: -0.780547502344531
high_leverage_month_count: 14
max_cooks_distance: 0.861050713703218
coef_intercept: 6.7021649183636
hac_se_intercept: 7.95126673669102
t_intercept: 0.842905305570563
p_intercept: 0.400096888995811
coef_GM2_YoY_lag: 1.11451744286393
hac_se_GM2_YoY_lag: 1.16862883163541
t_GM2_YoY_lag: 0.953696685117932
p_GM2_YoY_lag: 0.341169577245391
regime: war_spr_2022_2023
coef_CI_zscore: -4.22519615854457
hac_se_CI_zscore: 1.05442845370271
t_CI_zscore: -4.00709611326158
p_CI_zscore: 8.14131060076217e-05
coef_CI_monthly_change: -0.00038487746981164
hac_se_CI_monthly_change: 0.000253348578833886
t_CI_monthly_change: -1.51916174775148
p_CI_monthly_change: 0.130000746975417
coef_GM2_x_war_spr_2022_2023: -0.371641063160386
high_leverage_months:
2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2023-02;2023-03


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.212280024774184
full_r2: 0.201558537183441
test_rmse: 31.0506395503682
test_mae: 26.8187932374078
test_r2: -0.367872322804995
high_leverage_month_count: 13
max_cooks_distance: 1.16669354605113
coef_intercept: 2.207114728284
hac_se_intercept: 6.85950910203566
t_intercept: 0.321759865823199
p_intercept: 0.747906752320542
coef_GM2_YoY_lag: 1.78673253276251
hac_se_GM2_YoY_lag: 0.951491377644042
t_GM2_YoY_lag: 1.87782314663385
p_GM2_YoY_lag: 0.0615836268906238
regime: war_spr_2022_2023
coef_CI_zscore: 1.48045205620824
hac_se_CI_zscore: 3.75655773034836
t_CI_zscore: 0.394098044666799
p_CI_zscore: 0.693848679515529
coef_CI_monthly_change: -0.00044799828762998
hac_se_CI_monthly_change: 0.000241667906271097
t_CI_monthly_change: -1.85377650902237
p_CI_monthly_change: 0.064963372315527
coef_GM2_x_CI_zscore: -0.8447535692921
high_leverage_months:
2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0213958613570543
full_r2: 0.0423482612799718
test_rmse: 25.2454263952247
test_mae: 19.7641582758905
test_r2: 0.0957887974506054
high_leverage_month_count: 15
max_cooks_distance: 0.0918319802493682
coef_intercept: -2.24576459281926
hac_se_intercept: 7.52627904849723
t_intercept: -0.298389759182218
p_intercept: 0.765653559880688
coef_GM2_YoY_lag: 1.28176702158439
hac_se_GM2_YoY_lag: 1.26191502346639
t_GM2_YoY_lag: 1.01573164416686
p_GM2_YoY_lag: 0.310739188114016
regime: normal_period
coef_GM2_x_normal_period: 0.748613117186869
hac_se_GM2_x_normal_period: 1.17996458003233
t_GM2_x_normal_period: 0.634436939765055
p_GM2_x_normal_period: 0.526375834923851
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2021-04;2021-05;2021-10;2021-11;2022-03


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.20531579531482
full_r2: 0.190614176455702
test_rmse: 31.5052640717542
test_mae: 28.0549742550668
test_r2: -0.408220658122912
high_leverage_month_count: 13
max_cooks_distance: 1.66876555024014
coef_intercept: 6.76161389558476
hac_se_intercept: 7.57219207350366
t_intercept: 0.892953299381397
p_intercept: 0.372751338310516
coef_GM2_YoY_lag: 1.04121865925985
hac_se_GM2_YoY_lag: 1.12754101448243
t_GM2_YoY_lag: 0.923441937708846
p_GM2_YoY_lag: 0.356678146096376
regime: normal_period
coef_CI_zscore: -4.87930436023329
hac_se_CI_zscore: 1.448646038799
t_CI_zscore: -3.36818258535983
p_CI_zscore: 0.000877597607196856
coef_CI_monthly_change: -0.000438327985968101
hac_se_CI_monthly_change: 0.000239247863911321
t_CI_monthly_change: -1.83210825293124
p_CI_monthly_change: 0.0681393460447279
coef_GM2_x_normal_period: -0.420184120544578
high_leverage_months:
2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 15
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0603050367712143
full_r2: 0.0787271894291411
test_rmse: 24.5093202757092
test_mae: 19.6954979963168
test_r2: 0.147750025931403
high_leverage_month_count: 21
max_cooks_distance: 0.0646672076602622
coef_intercept: -4.35299516459852
hac_se_intercept: 6.68780902922844
t_intercept: -0.650885087414153
p_intercept: 0.515720845580358
coef_GM2_YoY_lag: 2.33254776773046
hac_se_GM2_YoY_lag: 0.749638210156829
t_GM2_YoY_lag: 3.11156466696446
p_GM2_YoY_lag: 0.00207797126081033
coef_GM2_x_financial_crisis_2008_2009: -2.29030566366485
hac_se_GM2_x_financial_crisis_2008_2009: 1.47646782413091
t_GM2_x_financial_crisis_2008_2009: -1.55120594315219
p_GM2_x_financial_crisis_2008_2009: 0.122122390559398
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-11;2009-12;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 15
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.309755871563562
full_r2: 0.282873024417515
test_rmse: 29.7285523284633
test_mae: 25.2894691933735
test_r2: -0.253868479687092
high_leverage_month_count: 15
max_cooks_distance: 0.698945078963874
coef_intercept: -0.03721375320348
hac_se_intercept: 6.28681937271866
t_intercept: -0.00591932915473399
p_intercept: 0.995281883607599
coef_GM2_YoY_lag: 2.39806971893611
hac_se_GM2_YoY_lag: 0.643639271856506
t_GM2_YoY_lag: 3.72579770034719
p_GM2_YoY_lag: 0.000241537845686368
coef_GM2_x_financial_crisis_2008_2009: 0.403154688560737
hac_se_GM2_x_financial_crisis_2008_2009: 1.24534470868772
t_GM2_x_financial_crisis_2008_2009: 0.323729394559005
p_GM2_x_financial_crisis_2008_2009: 0.746417965618722
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.07118850519773
hac_se_CI_zscore: 0.836330266189661
t_CI_zscore: -4.86791961236337
p_CI_zscore: 2.01770371699439e-06
coef_CI_monthly_change: -0.000320062492418671
high_leverage_months:
2008-02;2008-03;2008-05;2008-11;2008-12;2009-06;2009-07;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 15
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0685750737435712
full_r2: 0.0730181195593801
test_rmse: 28.0808697201993
test_mae: 23.8293352226611
test_r2: -0.118730740871648
high_leverage_month_count: 14
max_cooks_distance: 0.0707409252505492
coef_intercept: 3.43953914310902
hac_se_intercept: 7.70464229704466
t_intercept: 0.446424247940538
p_intercept: 0.655678809705116
coef_GM2_YoY_lag: 1.29143898268829
hac_se_GM2_YoY_lag: 1.04414553788935
t_GM2_YoY_lag: 1.23683809950366
p_GM2_YoY_lag: 0.217312449261974
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -3.64514688275709
hac_se_GM2_x_shale_regime_2014_2017: 1.81354352595502
t_GM2_x_shale_regime_2014_2017: -2.00995831122252
p_GM2_x_shale_regime_2014_2017: 0.0455142734939105
high_leverage_months:
2009-01;2009-02;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2015-08;2017-11;2017-12;2021-04;2021-05;2022-03


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 15
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0952292709758153
full_r2: 0.108049163555235
test_rmse: 25.1925974669273
test_mae: 19.4877980929358
test_r2: 0.099569167606947
high_leverage_month_count: 15
max_cooks_distance: 0.313971966706296
coef_intercept: -1.8674097766126
hac_se_intercept: 7.17547154882494
t_intercept: -0.260249067103946
p_intercept: 0.794886734471373
coef_GM2_YoY_lag: 1.18428550258763
hac_se_GM2_YoY_lag: 1.00258878182975
t_GM2_YoY_lag: 1.18122756213797
p_GM2_YoY_lag: 0.238639323017485
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 5.10557628418355
hac_se_GM2_x_covid_2020_2021: 1.97461381818588
t_GM2_x_covid_2020_2021: 2.58560749305104
p_GM2_x_covid_2020_2021: 0.010290005119876
high_leverage_months:
2009-02;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2020-04;2020-11;2021-03;2021-04;2021-05;2021-10;2021-12;2022-03


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 15
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.033181267586044
full_r2: 0.0413655698714419
test_rmse: 29.2785896146513
test_mae: 23.4186073888787
test_r2: -0.216199351426672
high_leverage_month_count: 14
max_cooks_distance: 0.0615731045930971
coef_intercept: 0.742890689715019
hac_se_intercept: 7.74361252333827
t_intercept: 0.0959359326769051
p_intercept: 0.923648621287707
coef_GM2_YoY_lag: 1.05577304185645
hac_se_GM2_YoY_lag: 1.13580715996885
t_GM2_YoY_lag: 0.929535469635008
p_GM2_YoY_lag: 0.353511903350176
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.15392257937646
hac_se_GM2_x_war_spr_2022_2023: 1.06879324855608
t_GM2_x_war_spr_2022_2023: 1.07964995188301
p_GM2_x_war_spr_2022_2023: 0.28134275570642
high_leverage_months:
2009-01;2009-02;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2021-04;2021-05;2021-10;2021-11;2022-03;2022-06


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 15
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0197297501853945
full_r2: 0.0380795238613616
test_rmse: 25.6090750501862
test_mae: 20.301218952439
test_r2: 0.0695516963188962
high_leverage_month_count: 17
max_cooks_distance: 0.085206505916038
coef_intercept: -1.62705697501796
hac_se_intercept: 7.49112239032554
t_intercept: -0.217198023238712
p_intercept: 0.828231887971492
coef_GM2_YoY_lag: 1.17915946083265
hac_se_GM2_YoY_lag: 1.20294063828301
t_GM2_YoY_lag: 0.980230797186884
p_GM2_YoY_lag: 0.327923635721173
regime: normal_period
coef_GM2_x_normal_period: 0.738985838930907
hac_se_GM2_x_normal_period: 1.15681225250292
t_GM2_x_normal_period: 0.638812250935282
p_GM2_x_normal_period: 0.523532238694945
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2021-04;2021-05;2021-10;2021-11;2022-03;2022-05


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 15
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.204846141029625
full_r2: 0.187856924319867
test_rmse: 31.6863836119447
test_mae: 28.2396879956634
test_r2: -0.424458542666966
high_leverage_month_count: 13
max_cooks_distance: 1.64117912310117
coef_intercept: 6.94524959188669
hac_se_intercept: 7.51862510728914
t_intercept: 0.92373931307646
p_intercept: 0.356527230163771
coef_GM2_YoY_lag: 0.996942562849969
hac_se_GM2_YoY_lag: 1.07500377810002
t_GM2_YoY_lag: 0.927385171252123
p_GM2_YoY_lag: 0.354635565386364
regime: normal_period
coef_CI_zscore: -4.8846337249459
hac_se_CI_zscore: 1.44454483910808
t_CI_zscore: -3.38143447867071
p_CI_zscore: 0.000838633098028341
coef_CI_monthly_change: -0.000443483500889519
hac_se_CI_monthly_change: 0.000240791559119543
t_CI_monthly_change: -1.84177345132496
p_CI_monthly_change: 0.0667120426275063
coef_GM2_x_normal_period: -0.384403681285258
high_leverage_months:
2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 16
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.0535181360727217
full_r2: 0.0692332511877284
test_rmse: 25.0207078379108
test_mae: 20.1503481027835
test_r2: 0.111814566782343
high_leverage_month_count: 21
max_cooks_distance: 0.0879501372219373
coef_intercept: -3.93805741110647
hac_se_intercept: 6.69073387513886
t_intercept: -0.588583776398481
p_intercept: 0.556676190623933
coef_GM2_YoY_lag: 2.2029851657942
hac_se_GM2_YoY_lag: 0.742556103037799
t_GM2_YoY_lag: 2.96675922099594
p_GM2_YoY_lag: 0.0033036263203583
coef_GM2_x_financial_crisis_2008_2009: -2.0669436298721
hac_se_GM2_x_financial_crisis_2008_2009: 1.47811617882667
t_GM2_x_financial_crisis_2008_2009: -1.39836344360484
p_GM2_x_financial_crisis_2008_2009: 0.163253150054063
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-11;2009-12;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 16
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.312732007023588
full_r2: 0.282014042786459
test_rmse: 30.015624508031
test_mae: 25.7091820183102
test_r2: -0.278201227276109
high_leverage_month_count: 13
max_cooks_distance: 0.732700584495744
coef_intercept: 0.322985638684672
hac_se_intercept: 6.33759369849736
t_intercept: 0.0509634498597238
p_intercept: 0.959396170711069
coef_GM2_YoY_lag: 2.28461582011498
hac_se_GM2_YoY_lag: 0.659297501326388
t_GM2_YoY_lag: 3.46522748155232
p_GM2_YoY_lag: 0.000625332902274955
coef_GM2_x_financial_crisis_2008_2009: 0.698194715553266
hac_se_GM2_x_financial_crisis_2008_2009: 1.19134537542039
t_GM2_x_financial_crisis_2008_2009: 0.58605567282023
p_GM2_x_financial_crisis_2008_2009: 0.558377610357504
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.06537452392912
hac_se_CI_zscore: 0.861598789902235
t_CI_zscore: -4.71840788493959
p_CI_zscore: 3.99742033785344e-06
coef_CI_monthly_change: -0.000331180426142996
high_leverage_months:
2008-05;2008-11;2009-04;2009-06;2009-07;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 16
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.109296747415264
full_r2: 0.121569499730077
test_rmse: 24.776750863269
test_mae: 19.0735092159934
test_r2: 0.129050106269187
high_leverage_month_count: 17
max_cooks_distance: 0.386632969957145
coef_intercept: -3.16886119954639
hac_se_intercept: 6.83467817264572
t_intercept: -0.463644537387153
p_intercept: 0.643309103099794
coef_GM2_YoY_lag: 1.29693061177274
hac_se_GM2_YoY_lag: 0.93715931151757
t_GM2_YoY_lag: 1.38389556165492
p_GM2_YoY_lag: 0.16763463885456
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 6.27009565705024
hac_se_GM2_x_covid_2020_2021: 2.4952791919187
t_GM2_x_covid_2020_2021: 2.51278320973332
p_GM2_x_covid_2020_2021: 0.0126136284648486
high_leverage_months:
2009-02;2009-03;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2020-04;2020-11;2020-12;2021-03;2021-04;2021-05;2021-10;2021-12;2022-03


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 16
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.0340323204175119
full_r2: 0.0384397275773152
test_rmse: 30.7330549752154
test_mae: 24.6353718827904
test_r2: -0.34003434154362
high_leverage_month_count: 13
max_cooks_distance: 0.0572411073803428
coef_intercept: 0.513172248674067
hac_se_intercept: 7.439557270848
t_intercept: 0.0689788693051586
p_intercept: 0.945062023564423
coef_GM2_YoY_lag: 1.07747008236852
hac_se_GM2_YoY_lag: 1.07397690158788
t_GM2_YoY_lag: 1.00325256602398
p_GM2_YoY_lag: 0.31671688337602
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 0.966633795498928
hac_se_GM2_x_war_spr_2022_2023: 1.0801604053647
t_GM2_x_war_spr_2022_2023: 0.894898378701964
p_GM2_x_war_spr_2022_2023: 0.371709120797734
high_leverage_months:
2009-02;2009-03;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2021-04;2021-05;2021-10;2022-03;2022-06


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 16
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.0208633305014756
full_r2: 0.0380529243442321
test_rmse: 25.6429232514703
test_mae: 20.4252263879493
test_r2: 0.0670904739093474
high_leverage_month_count: 16
max_cooks_distance: 0.0824623535579424
coef_intercept: -1.6289013606412
hac_se_intercept: 7.33998379757197
t_intercept: -0.221921656173143
p_intercept: 0.824557506813882
coef_GM2_YoY_lag: 1.14559039937975
hac_se_GM2_YoY_lag: 1.1361908343572
t_GM2_YoY_lag: 1.00827287524095
p_GM2_YoY_lag: 0.314306209724938
regime: normal_period
coef_GM2_x_normal_period: 0.757973567775531
hac_se_GM2_x_normal_period: 1.13590167552045
t_GM2_x_normal_period: 0.667288009262106
p_GM2_x_normal_period: 0.505208596347018
high_leverage_months:
2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2021-04;2021-05;2021-10;2021-11;2022-03;2022-05;2022-06


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 17
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.0470078637933224
full_r2: 0.0632152754468294
test_rmse: 25.0204954604997
test_mae: 19.9531969719876
test_r2: 0.111829644670911
high_leverage_month_count: 21
max_cooks_distance: 0.140466604179384
coef_intercept: -3.90693321090856
hac_se_intercept: 6.77779384041106
t_intercept: -0.576431402739686
p_intercept: 0.564848525612194
coef_GM2_YoY_lag: 2.12441181558525
hac_se_GM2_YoY_lag: 0.740247034107055
t_GM2_YoY_lag: 2.86986872990026
p_GM2_YoY_lag: 0.00446215644628567
coef_GM2_x_financial_crisis_2008_2009: -1.8438216701251
hac_se_GM2_x_financial_crisis_2008_2009: 1.48609986855095
t_GM2_x_financial_crisis_2008_2009: -1.24071181832682
p_GM2_x_financial_crisis_2008_2009: 0.215889394562546
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-03;2008-04;2008-05;2008-06;2008-07;2008-08;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-11;2009-12;2017-01;2021-04


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 17
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.124098362966293
full_r2: 0.137073747162821
test_rmse: 24.2271498675553
test_mae: 18.340877226281
test_r2: 0.167260597851786
high_leverage_month_count: 18
max_cooks_distance: 0.511699608640493
coef_intercept: -4.97360070219464
hac_se_intercept: 6.62231407126582
t_intercept: -0.751036669156944
p_intercept: 0.453345513359703
coef_GM2_YoY_lag: 1.47526330290661
hac_se_GM2_YoY_lag: 0.879457116705957
t_GM2_YoY_lag: 1.67747042451856
p_GM2_YoY_lag: 0.0947154505985632
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 7.57250093981303
hac_se_GM2_x_covid_2020_2021: 3.07409574449691
t_GM2_x_covid_2020_2021: 2.46332631420766
p_GM2_x_covid_2020_2021: 0.0144481630585833
high_leverage_months:
2009-03;2009-04;2009-06;2009-07;2009-08;2009-09;2009-12;2017-01;2020-03;2020-04;2020-05;2020-12;2021-01;2021-03;2021-04;2021-05;2021-12;2022-03


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 17
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.314829633783822
full_r2: 0.278637447613023
test_rmse: 32.4207328482063
test_mae: 29.120570743899
test_r2: -0.491248836328679
high_leverage_month_count: 13
max_cooks_distance: 0.672928558894743
coef_intercept: 4.5787767249823
hac_se_intercept: 6.19846503521188
t_intercept: 0.738695257450264
p_intercept: 0.460802018855596
coef_GM2_YoY_lag: 1.07623342314144
hac_se_GM2_YoY_lag: 0.82755212419477
t_GM2_YoY_lag: 1.30050227855876
p_GM2_YoY_lag: 0.194655845721773
regime: covid_2020_2021
coef_CI_zscore: -3.83054448994992
hac_se_CI_zscore: 0.842330743363582
t_CI_zscore: -4.54755393903094
p_CI_zscore: 8.55304791413936e-06
coef_CI_monthly_change: -0.000386157004113485
hac_se_CI_monthly_change: 0.000230231878999401
t_CI_monthly_change: -1.67725254118475
p_CI_monthly_change: 0.0947736343305887
coef_GM2_x_covid_2020_2021: 5.97787315934654
high_leverage_months:
2009-06;2009-07;2009-12;2015-08;2017-02;2020-03;2020-04;2020-05;2021-03;2021-04;2021-05;2021-11;2021-12


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 17
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.0222259073661613
full_r2: 0.0410627351623216
test_rmse: 25.2976883393994
test_mae: 20.1792247889708
test_r2: 0.0920412078397395
high_leverage_month_count: 16
max_cooks_distance: 0.0827028358271785
coef_intercept: -2.0733548924304
hac_se_intercept: 7.25533448490744
t_intercept: -0.285769718369759
p_intercept: 0.775294012583354
coef_GM2_YoY_lag: 1.15905568368938
hac_se_GM2_YoY_lag: 1.06978604153684
t_GM2_YoY_lag: 1.08344625811746
p_GM2_YoY_lag: 0.279666871533708
regime: normal_period
coef_GM2_x_normal_period: 0.796138569447286
hac_se_GM2_x_normal_period: 1.11183031077628
t_GM2_x_normal_period: 0.716061220611465
p_GM2_x_normal_period: 0.47462996998848
high_leverage_months:
2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2017-01;2021-04;2021-05;2021-10;2022-03;2022-05;2022-06


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 18
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.0433826933958397
full_r2: 0.0559218447791082
test_rmse: 24.844729837525
test_mae: 19.9970242575442
test_r2: 0.0262425629248387
high_leverage_month_count: 18
max_cooks_distance: 0.159959001822281
coef_intercept: -3.4101239974861
hac_se_intercept: 7.06996406638103
t_intercept: -0.482339650593397
p_intercept: 0.629993577425846
coef_GM2_YoY_lag: 1.98524673257834
hac_se_GM2_YoY_lag: 0.752523511549189
t_GM2_YoY_lag: 2.63811921104153
p_GM2_YoY_lag: 0.00886839829570407
coef_GM2_x_financial_crisis_2008_2009: -1.63496909939977
hac_se_GM2_x_financial_crisis_2008_2009: 1.50289423180867
t_GM2_x_financial_crisis_2008_2009: -1.08788034766236
p_GM2_x_financial_crisis_2008_2009: 0.277712620494329
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-05;2008-06;2008-07;2008-08;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-11;2009-12;2017-01;2021-04


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 18
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.117240609800866
full_r2: 0.130507231052352
test_rmse: 23.3050465280512
test_mae: 17.5499011452644
test_r2: 0.143194631239816
high_leverage_month_count: 19
max_cooks_distance: 0.462002124437311
coef_intercept: -5.82682808730924
hac_se_intercept: 6.54351376102839
t_intercept: -0.890473879953068
p_intercept: 0.374081532546327
coef_GM2_YoY_lag: 1.56663140560872
hac_se_GM2_YoY_lag: 0.837438329992259
t_GM2_YoY_lag: 1.87074241708426
p_GM2_YoY_lag: 0.0625680707731819
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 8.00057746705694
hac_se_GM2_x_covid_2020_2021: 3.45637530873504
t_GM2_x_covid_2020_2021: 2.31473053485763
p_GM2_x_covid_2020_2021: 0.0214516851284963
high_leverage_months:
2009-04;2009-05;2009-07;2009-08;2009-09;2009-12;2010-01;2017-01;2017-02;2020-01;2020-03;2020-04;2020-05;2021-01;2021-03;2021-04;2021-05;2021-10;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 18
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.30700329540355
full_r2: 0.271390895025265
test_rmse: 31.8569304402443
test_mae: 28.4483357242675
test_r2: -0.600995403118661
high_leverage_month_count: 13
max_cooks_distance: 0.703109800751074
coef_intercept: 4.01973829804926
hac_se_intercept: 6.19416706438586
t_intercept: 0.648955421490204
p_intercept: 0.516980041245512
coef_GM2_YoY_lag: 1.14448706323527
hac_se_GM2_YoY_lag: 0.799823835116336
t_GM2_YoY_lag: 1.43092392722805
p_GM2_YoY_lag: 0.153736741768906
regime: covid_2020_2021
coef_CI_zscore: -3.85914772349688
hac_se_CI_zscore: 0.867752575523436
t_CI_zscore: -4.44729042857522
p_CI_zscore: 1.32384995474855e-05
coef_CI_monthly_change: -0.000364213556220072
hac_se_CI_monthly_change: 0.000238224311764201
t_CI_monthly_change: -1.52886812232908
p_CI_monthly_change: 0.127597791729785
coef_GM2_x_covid_2020_2021: 6.1313437986734
high_leverage_months:
2009-07;2009-12;2015-08;2017-02;2020-01;2020-03;2020-04;2020-05;2021-03;2021-04;2021-05;2021-11;2021-12


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 18
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.0232077727661423
full_r2: 0.0428594800375427
test_rmse: 24.0977151926032
test_mae: 19.4090074332389
test_r2: 0.0839188119457448
high_leverage_month_count: 13
max_cooks_distance: 0.0840104605441636
coef_intercept: -2.10624752688393
hac_se_intercept: 7.36264956624084
t_intercept: -0.286071951127686
p_intercept: 0.775063769025556
coef_GM2_YoY_lag: 1.09135723840849
hac_se_GM2_YoY_lag: 1.01614160390732
t_GM2_YoY_lag: 1.0740208197479
p_GM2_YoY_lag: 0.283865704860074
regime: normal_period
coef_GM2_x_normal_period: 0.888892494181193
hac_se_GM2_x_normal_period: 1.08024854171287
t_GM2_x_normal_period: 0.822859240126114
p_GM2_x_normal_period: 0.41138497041202
high_leverage_months:
2009-03;2009-04;2009-05;2009-07;2009-08;2009-09;2009-12;2010-01;2021-04;2021-05;2022-03;2022-05;2022-06


# residual_diagnostic_summary

target: WTI_GM2_path_residual
family: third_stage_residual
model: two_step_ci_regime_residual
lag_months: 5
n_obs: 202
n_train: 162
n_test: 40
train_r2: 0.175177128736875
full_r2: 0.148437222702898
test_rmse: 31.6177075481663
test_mae: 25.771483749537
test_r2: -0.863725353692303
high_leverage_month_count: 9
high_leverage_months: 2009-09;2009-10;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10
max_cooks_distance: 0.723601580347687
coef_intercept: 4.43088522782789
hac_se_intercept: 4.97253324692966
t_intercept: 0.891072016575009
p_intercept: 0.374000032579098
coef_CI_zscore: -2.55107185976453
hac_se_CI_zscore: 0.949686958153623
t_CI_zscore: -2.68622395818125
p_CI_zscore: 0.00785645574100746
coef_CI_monthly_change: -0.000222760546761069
hac_se_CI_monthly_change: 0.000219785467685074
t_CI_monthly_change: -1.01353628657677
p_CI_monthly_change: 0.312072999496388
coef_inventory_deficit_dummy: -12.8971637103438
hac_se_inventory_deficit_dummy: 9.75627487410397
t_inventory_deficit_dummy: -1.3219352546715
p_inventory_deficit_dummy: 0.187754373117399
coef_inventory_surplus_dummy: -1.67013499872791
formula:
WTI_GM2_path_residual_t = alpha + CI_zscore + CI_monthly_change + inventory_deficit_dummy + inventory_surplus_dummy + financial_crisis_2008_2009 + shale_regime_2014_2017 + covid_2020_2021 + war_spr_2022_2023


target: Brent_GM2_path_residual
family: third_stage_residual
model: two_step_ci_regime_residual
lag_months: 5
n_obs: 202
n_train: 162
n_test: 40
train_r2: 0.177926847826989
full_r2: 0.135223688438798
test_rmse: 34.5802930835725
test_mae: 28.6185107787259
test_r2: -1.36401797537849
high_leverage_month_count: 11
high_leverage_months: 2009-09;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10
max_cooks_distance: 0.601225748537912
coef_intercept: 6.17206407829415
hac_se_intercept: 4.84965179515954
t_intercept: 1.27268190356563
p_intercept: 0.204661961302032
coef_CI_zscore: -2.17474675560458
hac_se_CI_zscore: 1.01927710468691
t_CI_zscore: -2.13361680116674
p_CI_zscore: 0.0341367189640149
coef_CI_monthly_change: -0.000248930065320785
hac_se_CI_monthly_change: 0.000220487273640419
t_CI_monthly_change: -1.12899969785445
p_CI_monthly_change: 0.260299305627087
coef_inventory_deficit_dummy: -12.2062844702674
hac_se_inventory_deficit_dummy: 9.96312514160578
t_inventory_deficit_dummy: -1.22514615612868
p_inventory_deficit_dummy: 0.222013232212228
coef_inventory_surplus_dummy: -4.12181626638205
formula:
Brent_GM2_path_residual_t = alpha + CI_zscore + CI_monthly_change + inventory_deficit_dummy + inventory_surplus_dummy + financial_crisis_2008_2009 + shale_regime_2014_2017 + covid_2020_2021 + war_spr_2022_2023


# energy_gdp_model_summary

target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 0
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.614205161583939
full_r2: 0.567946794573516
test_rmse: 2.54831347055027
test_mae: 2.0662965385103
test_r2: -2.87888234690152
high_leverage_month_count: 23
max_cooks_distance: 0.0629662222788681
coef_intercept: 1.16720642815893
hac_se_intercept: 0.413370963619487
t_intercept: 2.82362945364822
p_intercept: 0.00511582502237284
coef_Energy_consumption_growth_lag: 0.530751331425529
hac_se_Energy_consumption_growth_lag: 0.0904647093856487
t_Energy_consumption_growth_lag: 5.86694341948251
p_Energy_consumption_growth_lag: 1.34575319776786e-08
coef_Oil_price_YoY_lag: 0.0440958602366013
hac_se_Oil_price_YoY_lag: 0.00968812379950757
t_Oil_price_YoY_lag: 4.55153765054516
p_Oil_price_YoY_lag: 8.18358597531876e-06
coef_GM2_YoY_lag: -0.148045907870581
hac_se_GM2_YoY_lag: 0.0563456088918831
t_GM2_YoY_lag: -2.62746131920687
p_GM2_YoY_lag: 0.00911359167578296
frequency: monthly
window_periods: 60
formula:
Industrial_production_YoY_t = alpha + Energy_consumption_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag

high_leverage_months:
2005-02;2008-06;2008-09;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-12;2011-12;2012-01;2012-03;2016-12;2020-04;2020-05;2020-11;2021-04;2021-05;2024-01


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 1
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.560189253958553
full_r2: 0.526943852086089
test_rmse: 2.24935731428679
test_mae: 1.89198739054754
test_r2: -2.10163847425713
high_leverage_month_count: 23
max_cooks_distance: 0.129205386339069
coef_intercept: 0.923004827352733
hac_se_intercept: 0.43872606823843
t_intercept: 2.1038294602798
p_intercept: 0.0363538946463613
coef_Energy_consumption_growth_lag: 0.462904825774682
hac_se_Energy_consumption_growth_lag: 0.0968337198078361
t_Energy_consumption_growth_lag: 4.78040941413078
p_Energy_consumption_growth_lag: 2.93060269074275e-06
coef_Oil_price_YoY_lag: 0.0483144689921399
hac_se_Oil_price_YoY_lag: 0.0101895563635296
t_Oil_price_YoY_lag: 4.74156747050015
p_Oil_price_YoY_lag: 3.49807883281983e-06
coef_GM2_YoY_lag: -0.120677976816912
hac_se_GM2_YoY_lag: 0.0622275061390402
t_GM2_YoY_lag: -1.93930279878598
p_GM2_YoY_lag: 0.0535462369211979
frequency: monthly
window_periods: 60
formula:
Industrial_production_YoY_t = alpha + Energy_consumption_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag

high_leverage_months:
2008-06;2008-07;2008-08;2008-09;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2012-01;2012-02;2012-04;2017-01;2020-04;2020-05;2020-12;2021-04;2021-05;2021-12


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 2
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.405723314839958
full_r2: 0.381485129143444
test_rmse: 1.98699122728173
test_mae: 1.67557747165486
test_r2: -1.40142662636069
high_leverage_month_count: 23
max_cooks_distance: 0.32071145783444
coef_intercept: 0.538192888014851
hac_se_intercept: 0.53102413765187
t_intercept: 1.01349985783072
p_intercept: 0.311763682637674
coef_Energy_consumption_growth_lag: 0.381973711633723
hac_se_Energy_consumption_growth_lag: 0.097629410693685
t_Energy_consumption_growth_lag: 3.91248609327548
p_Energy_consumption_growth_lag: 0.000116690384850404
coef_Oil_price_YoY_lag: 0.0421580855716859
hac_se_Oil_price_YoY_lag: 0.0120124444010288
t_Oil_price_YoY_lag: 3.50953429329299
p_Oil_price_YoY_lag: 0.000528886275605212
coef_GM2_YoY_lag: -0.0598927178830367
hac_se_GM2_YoY_lag: 0.0852977042448129
t_GM2_YoY_lag: -0.702160959820661
p_GM2_YoY_lag: 0.483206896474542
frequency: monthly
window_periods: 60
formula:
Industrial_production_YoY_t = alpha + Energy_consumption_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag

high_leverage_months:
2008-07;2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2012-02;2012-05;2020-04;2020-05;2021-04;2021-05;2021-06;2021-07;2022-01


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 3
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.318515360711897
full_r2: 0.302253470390067
test_rmse: 1.75132341985851
test_mae: 1.49291738901989
test_r2: -0.865563916511968
high_leverage_month_count: 21
max_cooks_distance: 0.360997756044861
coef_intercept: 0.163329250960174
hac_se_intercept: 0.654063555826677
t_intercept: 0.249714648530969
p_intercept: 0.803005969181729
coef_Energy_consumption_growth_lag: 0.408063672926176
hac_se_Energy_consumption_growth_lag: 0.108450612963422
t_Energy_consumption_growth_lag: 3.7626682023808
p_Energy_consumption_growth_lag: 0.000207955153153749
coef_Oil_price_YoY_lag: 0.0289549159734906
hac_se_Oil_price_YoY_lag: 0.0152148193478003
t_Oil_price_YoY_lag: 1.90307326768733
p_Oil_price_YoY_lag: 0.0581397415441833
coef_GM2_YoY_lag: 0.00867835195928771
hac_se_GM2_YoY_lag: 0.112643214391044
t_GM2_YoY_lag: 0.0770428294878069
p_GM2_YoY_lag: 0.938648954748328
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2012-06;2020-04;2020-05;2021-04;2021-05;2021-07;2021-08;2021-09


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 4
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.236564739553455
full_r2: 0.228818829851327
test_rmse: 1.48991579040701
test_mae: 1.23506679133602
test_r2: -0.350208594698906
high_leverage_month_count: 21
max_cooks_distance: 0.252617104747128
coef_intercept: -0.0186534424222741
hac_se_intercept: 0.734412020945249
t_intercept: -0.025399151825246
p_intercept: 0.979756221600648
coef_Energy_consumption_growth_lag: 0.390305167074067
hac_se_Energy_consumption_growth_lag: 0.115350951989554
t_Energy_consumption_growth_lag: 3.38363195398174
p_Energy_consumption_growth_lag: 0.000826570372443269
coef_Oil_price_YoY_lag: 0.0199313430863702
hac_se_Oil_price_YoY_lag: 0.0171779120887822
t_Oil_price_YoY_lag: 1.16028903765237
p_Oil_price_YoY_lag: 0.247003687385941
coef_GM2_YoY_lag: 0.0447225467428968
hac_se_GM2_YoY_lag: 0.131106992345233
t_GM2_YoY_lag: 0.341114885963768
p_GM2_YoY_lag: 0.733294725131568
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2020-04;2020-05;2021-03;2021-04;2021-05;2021-06;2021-08;2021-09


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 5
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.162667936119416
full_r2: 0.161251031507993
test_rmse: 1.28541463857433
test_mae: 1.11428287176856
test_r2: -0.00499500953295895
high_leverage_month_count: 21
max_cooks_distance: 0.300762273455105
coef_intercept: -0.0483015427628084
hac_se_intercept: 0.763697891566477
t_intercept: -0.0632469243351367
p_intercept: 0.949619042362185
coef_Energy_consumption_growth_lag: 0.337718792926598
hac_se_Energy_consumption_growth_lag: 0.117848047999024
t_Energy_consumption_growth_lag: 2.86571393129392
p_Energy_consumption_growth_lag: 0.00450497145557338
coef_Oil_price_YoY_lag: 0.0149008291856232
hac_se_Oil_price_YoY_lag: 0.0172260538060318
t_Oil_price_YoY_lag: 0.865016988418186
p_Oil_price_YoY_lag: 0.387836170908475
coef_GM2_YoY_lag: 0.0544079023413217
hac_se_GM2_YoY_lag: 0.139425331606919
t_GM2_YoY_lag: 0.390229678597528
p_GM2_YoY_lag: 0.696689952084159
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-06;2020-04;2020-05;2020-06;2021-04;2021-05;2021-06;2021-09


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.111655929272622
full_r2: 0.113445374202958
test_rmse: 1.15689903491753
test_mae: 0.90761610605257
test_r2: 0.185917648268082
high_leverage_month_count: 19
max_cooks_distance: 0.246810686670444
coef_intercept: -0.148179154585668
hac_se_intercept: 0.755236847951481
t_intercept: -0.196202231111461
p_intercept: 0.844606934077742
coef_Energy_consumption_growth_lag: 0.296421589527634
hac_se_Energy_consumption_growth_lag: 0.131030650100081
t_Energy_consumption_growth_lag: 2.26223093071146
p_Energy_consumption_growth_lag: 0.0245186271958016
coef_Oil_price_YoY_lag: 0.00987945227071585
hac_se_Oil_price_YoY_lag: 0.0169412778869413
t_Oil_price_YoY_lag: 0.583158622191728
p_Oil_price_YoY_lag: 0.560297889499374
coef_GM2_YoY_lag: 0.0758374405507003
hac_se_GM2_YoY_lag: 0.129475829638163
t_GM2_YoY_lag: 0.585726623746206
p_GM2_YoY_lag: 0.558573235579786
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-05;2020-04;2020-05;2021-04;2021-05;2021-06;2021-10


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 7
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0772932110656381
full_r2: 0.0825517030677365
test_rmse: 1.00360118297486
test_mae: 0.791535213398964
test_r2: 0.38736789618577
high_leverage_month_count: 20
max_cooks_distance: 0.149619714096949
coef_intercept: -0.228929059226679
hac_se_intercept: 0.777304552203971
t_intercept: -0.294516555419074
p_intercept: 0.768600964526096
coef_Energy_consumption_growth_lag: 0.268215986116369
hac_se_Energy_consumption_growth_lag: 0.140280674884756
t_Energy_consumption_growth_lag: 1.91199526475557
p_Energy_consumption_growth_lag: 0.056988691255053
coef_Oil_price_YoY_lag: 0.00530632829657512
hac_se_Oil_price_YoY_lag: 0.0178100392391793
t_Oil_price_YoY_lag: 0.297940292287624
p_Oil_price_YoY_lag: 0.765989452946909
coef_GM2_YoY_lag: 0.0934662053961415
hac_se_GM2_YoY_lag: 0.12506691268473
t_GM2_YoY_lag: 0.747329596531676
p_GM2_YoY_lag: 0.455547837645234
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-06;2020-04;2020-05;2021-04;2021-05;2021-06;2021-11


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 8
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0504985091505293
full_r2: 0.0585640400270001
test_rmse: 0.873279449792706
test_mae: 0.651682806102109
test_r2: 0.536143226228077
high_leverage_month_count: 22
max_cooks_distance: 0.123850307286858
coef_intercept: -0.330821612155467
hac_se_intercept: 0.820212246911217
t_intercept: -0.403336591719139
p_intercept: 0.687035983059109
coef_Energy_consumption_growth_lag: 0.250146459248562
hac_se_Energy_consumption_growth_lag: 0.144688249952552
t_Energy_consumption_growth_lag: 1.72886505525219
p_Energy_consumption_growth_lag: 0.0850341614803658
coef_Oil_price_YoY_lag: -0.000683649651078755
hac_se_Oil_price_YoY_lag: 0.0189753666195071
t_Oil_price_YoY_lag: -0.0360282710098442
p_Oil_price_YoY_lag: 0.971287784445718
coef_GM2_YoY_lag: 0.116095068695931
hac_se_GM2_YoY_lag: 0.124018340730043
t_GM2_YoY_lag: 0.936112094489647
p_GM2_YoY_lag: 0.350094271487648
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-07;2017-10;2020-04;2020-05;2021-04;2021-05;2021-06;2021-07;2021-12


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 9
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.036834470098195
full_r2: 0.0438797902195788
test_rmse: 0.958384922901174
test_mae: 0.723163940028286
test_r2: 0.441327405036224
high_leverage_month_count: 19
max_cooks_distance: 0.108013897691864
coef_intercept: -0.327752607998306
hac_se_intercept: 0.870401311978654
t_intercept: -0.376553439761295
p_intercept: 0.706816188714375
coef_Energy_consumption_growth_lag: 0.231475718617779
hac_se_Energy_consumption_growth_lag: 0.148993653553978
t_Energy_consumption_growth_lag: 1.55359448604916
p_Energy_consumption_growth_lag: 0.121511733365881
coef_Oil_price_YoY_lag: -0.00561007496449206
hac_se_Oil_price_YoY_lag: 0.0201633187644321
t_Oil_price_YoY_lag: -0.278231725145772
p_Oil_price_YoY_lag: 0.781058200710416
coef_GM2_YoY_lag: 0.123169497591809
hac_se_GM2_YoY_lag: 0.12766767309821
t_GM2_YoY_lag: 0.964766527052309
p_GM2_YoY_lag: 0.335568693616093
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-08;2017-11;2020-04;2020-05;2021-02;2021-04;2021-05;2021-06


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 10
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0260882907400699
full_r2: 0.0298288357697531
test_rmse: 1.23144219321076
test_mae: 0.876915068649572
test_r2: 0.0776293354639109
high_leverage_month_count: 19
max_cooks_distance: 0.122760184230719
coef_intercept: -0.235998445516638
hac_se_intercept: 0.90355368452452
t_intercept: -0.261189179523769
p_intercept: 0.794155804728517
coef_Energy_consumption_growth_lag: 0.185361649319157
hac_se_Energy_consumption_growth_lag: 0.150674622951139
t_Energy_consumption_growth_lag: 1.23021146951379
p_Energy_consumption_growth_lag: 0.219742796447113
coef_Oil_price_YoY_lag: -0.00724132666405625
hac_se_Oil_price_YoY_lag: 0.0213217515310545
t_Oil_price_YoY_lag: -0.339621566901269
p_Oil_price_YoY_lag: 0.734418912386641
coef_GM2_YoY_lag: 0.113762543937115
hac_se_GM2_YoY_lag: 0.130475182694493
t_GM2_YoY_lag: 0.871909443526053
p_GM2_YoY_lag: 0.384071593361245
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2010-05;2020-04;2020-05;2021-02;2021-04;2021-05;2021-06;2022-02


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 11
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0216899879121947
full_r2: 0.0155514661384525
test_rmse: 1.79467223198755
test_mae: 1.19819103214172
test_r2: -0.959059871557827
high_leverage_month_count: 19
max_cooks_distance: 0.214770855423775
coef_intercept: -0.0462260321112724
hac_se_intercept: 0.922908109866798
t_intercept: -0.0500873614795129
p_intercept: 0.960091676213283
coef_Energy_consumption_growth_lag: 0.0887963543933057
hac_se_Energy_consumption_growth_lag: 0.157927133348173
t_Energy_consumption_growth_lag: 0.562261547529908
p_Energy_consumption_growth_lag: 0.574427905000189
coef_Oil_price_YoY_lag: -0.00969924110302751
hac_se_Oil_price_YoY_lag: 0.0220967916315235
t_Oil_price_YoY_lag: -0.438943411548963
p_Oil_price_YoY_lag: 0.661071338711399
coef_GM2_YoY_lag: 0.0925847397022134
hac_se_GM2_YoY_lag: 0.129694119639498
t_GM2_YoY_lag: 0.713869988551252
p_GM2_YoY_lag: 0.475955382220979
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2020-04;2020-05;2021-02;2021-04;2021-05;2021-06;2022-03


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 12
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0418693892933401
full_r2: 0.0215621490947282
test_rmse: 2.34499073104953
test_mae: 1.55720818210638
test_r2: -2.34471935392611
high_leverage_month_count: 19
max_cooks_distance: 0.187015202950292
coef_intercept: 0.197258370106226
hac_se_intercept: 0.935664422117354
t_intercept: 0.210821706418891
p_intercept: 0.833193461938478
coef_Energy_consumption_growth_lag: -0.00749299993151897
hac_se_Energy_consumption_growth_lag: 0.160806925716798
t_Energy_consumption_growth_lag: -0.0465962513624265
p_Energy_consumption_growth_lag: 0.962871207031363
coef_Oil_price_YoY_lag: -0.0126972207628341
hac_se_Oil_price_YoY_lag: 0.0222302650065905
t_Oil_price_YoY_lag: -0.571168214102252
p_Oil_price_YoY_lag: 0.568384747572229
coef_GM2_YoY_lag: 0.0646443278411064
hac_se_GM2_YoY_lag: 0.12929938274729
t_GM2_YoY_lag: 0.499958518498507
p_GM2_YoY_lag: 0.617532081852564
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2020-04;2020-05;2021-04;2021-05;2021-06;2022-04


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 13
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0593708320537398
full_r2: 0.0336415863593502
test_rmse: 2.49680500106083
test_mae: 1.70162137530238
test_r2: -2.79181092393203
high_leverage_month_count: 21
max_cooks_distance: 0.154841983535512
coef_intercept: 0.354807916743933
hac_se_intercept: 0.944925626174714
t_intercept: 0.375487664759692
p_intercept: 0.707607540075692
coef_Energy_consumption_growth_lag: -0.0437993751095856
hac_se_Energy_consumption_growth_lag: 0.143482361365621
t_Energy_consumption_growth_lag: -0.305259647894812
p_Energy_consumption_growth_lag: 0.760415491665483
coef_Oil_price_YoY_lag: -0.0157484436203876
hac_se_Oil_price_YoY_lag: 0.0217026573350448
t_Oil_price_YoY_lag: -0.7256458680273
p_Oil_price_YoY_lag: 0.468716154262966
coef_GM2_YoY_lag: 0.04824141432888
hac_se_GM2_YoY_lag: 0.131479586404196
t_GM2_YoY_lag: 0.366911819912301
p_GM2_YoY_lag: 0.713986713876881
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-10;2020-04;2020-05;2021-02;2021-04;2021-05;2021-06;2022-05


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 14
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0612914651423169
full_r2: 0.0374568681318619
test_rmse: 2.41849187209558
test_mae: 1.6909819258365
test_r2: -2.55767839716834
high_leverage_month_count: 20
max_cooks_distance: 0.116144862501483
coef_intercept: 0.409448613647353
hac_se_intercept: 0.948168712526978
t_intercept: 0.431830968727206
p_intercept: 0.666226328887007
coef_Energy_consumption_growth_lag: -0.0612680852797296
hac_se_Energy_consumption_growth_lag: 0.123578026338072
t_Energy_consumption_growth_lag: -0.495784623652418
p_Energy_consumption_growth_lag: 0.620470068757039
coef_Oil_price_YoY_lag: -0.0160045573200307
hac_se_Oil_price_YoY_lag: 0.0209806706986047
t_Oil_price_YoY_lag: -0.762823913016997
p_Oil_price_YoY_lag: 0.446268017140439
coef_GM2_YoY_lag: 0.041538860369446
hac_se_GM2_YoY_lag: 0.135599315615433
t_GM2_YoY_lag: 0.3063353246358
p_GM2_YoY_lag: 0.759597369503074
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-10;2009-11;2020-04;2020-05;2021-04;2021-05;2021-06;2022-06


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 15
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.056545129865897
full_r2: 0.0372341666454834
test_rmse: 2.25590844166984
test_mae: 1.6165814258587
test_r2: -2.09542553651073
high_leverage_month_count: 21
max_cooks_distance: 0.0941096924785045
coef_intercept: 0.384894564169338
hac_se_intercept: 0.933273138100164
t_intercept: 0.412413631611488
p_intercept: 0.680380084523898
coef_Energy_consumption_growth_lag: -0.106611627650154
hac_se_Energy_consumption_growth_lag: 0.110452756074136
t_Energy_consumption_growth_lag: -0.965223788337128
p_Energy_consumption_growth_lag: 0.33534010679295
coef_Oil_price_YoY_lag: -0.0120375875125696
hac_se_Oil_price_YoY_lag: 0.0194963225433453
t_Oil_price_YoY_lag: -0.617428619464361
p_Oil_price_YoY_lag: 0.537498714616998
coef_GM2_YoY_lag: 0.0391597539916259
hac_se_GM2_YoY_lag: 0.137350150993469
t_GM2_YoY_lag: 0.285108925679214
p_GM2_YoY_lag: 0.775790318399824
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-10;2009-11;2020-04;2020-05;2021-04;2021-05;2021-06;2022-07


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 16
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0499772374643439
full_r2: 0.0354781440827288
test_rmse: 2.07725557897637
test_mae: 1.45127347566101
test_r2: -1.62456474276967
high_leverage_month_count: 22
max_cooks_distance: 0.0914054043437459
coef_intercept: 0.314273528072537
hac_se_intercept: 0.907837707501519
t_intercept: 0.346178094912423
p_intercept: 0.729492110396023
coef_Energy_consumption_growth_lag: -0.135120744740362
hac_se_Energy_consumption_growth_lag: 0.0973050558896182
t_Energy_consumption_growth_lag: -1.38863025672214
p_Energy_consumption_growth_lag: 0.16614750725514
coef_Oil_price_YoY_lag: -0.00801487425361397
hac_se_Oil_price_YoY_lag: 0.0177988788423867
t_Oil_price_YoY_lag: -0.450302197379261
p_Oil_price_YoY_lag: 0.65287217703296
coef_GM2_YoY_lag: 0.0423396850066271
hac_se_GM2_YoY_lag: 0.137829738813779
t_GM2_YoY_lag: 0.307188313429454
p_GM2_YoY_lag: 0.758948808265534
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-10;2020-04;2020-05;2020-06;2021-04;2021-05;2021-06;2022-08;2022-09


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 17
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0597143061331964
full_r2: 0.0437673843077636
test_rmse: 2.13506594792119
test_mae: 1.44560101044976
test_r2: -1.77268166423529
high_leverage_month_count: 20
max_cooks_distance: 0.125476660931541
coef_intercept: 0.297228022756219
hac_se_intercept: 0.865162651686163
t_intercept: 0.343551610991223
p_intercept: 0.731464406134391
coef_Energy_consumption_growth_lag: -0.184851752291365
hac_se_Energy_consumption_growth_lag: 0.0943763694619611
t_Energy_consumption_growth_lag: -1.95866564210091
p_Energy_consumption_growth_lag: 0.0512333965916913
coef_Oil_price_YoY_lag: -0.00480433347771606
hac_se_Oil_price_YoY_lag: 0.0161761405006939
t_Oil_price_YoY_lag: -0.297001220872801
p_Oil_price_YoY_lag: 0.766705480355302
coef_GM2_YoY_lag: 0.0391566771545051
hac_se_GM2_YoY_lag: 0.136791982642992
t_GM2_YoY_lag: 0.286249796208441
p_GM2_YoY_lag: 0.774917415709156
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-10;2009-11;2020-04;2020-05;2021-04;2021-05;2021-06;2022-09


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 18
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0685632747156029
full_r2: 0.0536963184733655
test_rmse: 2.09685310136163
test_mae: 1.48181337908671
test_r2: -1.67432038587866
high_leverage_month_count: 20
max_cooks_distance: 0.0861084554262112
coef_intercept: 0.321097801355973
hac_se_intercept: 0.803232852350143
t_intercept: 0.399756808273575
p_intercept: 0.689667681816637
coef_Energy_consumption_growth_lag: -0.219314592345095
hac_se_Energy_consumption_growth_lag: 0.093261515837598
t_Energy_consumption_growth_lag: -2.35160870349782
p_Energy_consumption_growth_lag: 0.0194478447089583
coef_Oil_price_YoY_lag: -0.00378705592474543
hac_se_Oil_price_YoY_lag: 0.0137286794759735
t_Oil_price_YoY_lag: -0.275849977514089
p_Oil_price_YoY_lag: 0.78288497330113
coef_GM2_YoY_lag: 0.0338795078090015
hac_se_GM2_YoY_lag: 0.13427470993177
t_GM2_YoY_lag: 0.252314883615962
p_GM2_YoY_lag: 0.800999357441899
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-10;2009-11;2020-04;2020-05;2021-04;2021-05;2021-06;2022-10


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 19
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0745509032305753
full_r2: 0.0644337252673243
test_rmse: 1.88649491567207
test_mae: 1.36663647136523
test_r2: -1.1646550575856
high_leverage_month_count: 18
max_cooks_distance: 0.0842422721690767
coef_intercept: 0.305638042786048
hac_se_intercept: 0.74520976841112
t_intercept: 0.410136924852323
p_intercept: 0.682047193330199
coef_Energy_consumption_growth_lag: -0.253172956300093
hac_se_Energy_consumption_growth_lag: 0.0954738807493397
t_Energy_consumption_growth_lag: -2.65175097432964
p_Energy_consumption_growth_lag: 0.00850536144864411
coef_Oil_price_YoY_lag: -0.00195432457506148
hac_se_Oil_price_YoY_lag: 0.0116749581840552
t_Oil_price_YoY_lag: -0.1673945674367
p_Oil_price_YoY_lag: 0.867191239796911
coef_GM2_YoY_lag: 0.0344660589103884
hac_se_GM2_YoY_lag: 0.131487820266031
t_GM2_YoY_lag: 0.262123585596411
p_GM2_YoY_lag: 0.793436139379476
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2009-06;2009-07;2009-08;2020-04;2020-05;2020-06;2021-04;2021-05;2021-06;2022-11


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 20
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0681324319396461
full_r2: 0.0609554795612693
test_rmse: 1.72232077617347
test_mae: 1.2728127627771
test_r2: -0.804286514923873
high_leverage_month_count: 19
max_cooks_distance: 0.0870727880043718
coef_intercept: 0.244834647246544
hac_se_intercept: 0.714484361432652
t_intercept: 0.342673206668391
p_intercept: 0.732124422267824
coef_Energy_consumption_growth_lag: -0.253858351106892
hac_se_Energy_consumption_growth_lag: 0.100997257590328
t_Energy_consumption_growth_lag: -2.51351726931645
p_Energy_consumption_growth_lag: 0.0125656360061308
coef_Oil_price_YoY_lag: 0.000216287127863701
hac_se_Oil_price_YoY_lag: 0.0104179507689683
t_Oil_price_YoY_lag: 0.0207610049865038
p_Oil_price_YoY_lag: 0.98345241383569
coef_GM2_YoY_lag: 0.0399228289606124
hac_se_GM2_YoY_lag: 0.130259537832714
t_GM2_YoY_lag: 0.306486800313105
p_GM2_YoY_lag: 0.759482184100321
frequency: monthly
window_periods: 60
high_leverage_months:
2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2014-11;2020-04;2020-05;2021-04;2021-05;2021-06;2022-12


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 21
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0680562054377609
full_r2: 0.0615175488064841
test_rmse: 1.70846403146502
test_mae: 1.24350334376801
test_r2: -0.77537092105171
high_leverage_month_count: 18
max_cooks_distance: 0.0810312602307455
coef_intercept: 0.184458662797056
hac_se_intercept: 0.698493176291408
t_intercept: 0.264080837233692
p_intercept: 0.791929267922665
coef_Energy_consumption_growth_lag: -0.267558367525401
hac_se_Energy_consumption_growth_lag: 0.10135028287306
t_Energy_consumption_growth_lag: -2.63993705730958
p_Energy_consumption_growth_lag: 0.00879932149224638
coef_Oil_price_YoY_lag: 0.0036686530512475
hac_se_Oil_price_YoY_lag: 0.0102751481671811
t_Oil_price_YoY_lag: 0.357041377073782
p_Oil_price_YoY_lag: 0.721353823056145
coef_GM2_YoY_lag: 0.0433911945547606
hac_se_GM2_YoY_lag: 0.128667565463316
t_GM2_YoY_lag: 0.337234907635925
p_GM2_YoY_lag: 0.73621507662104
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2009-06;2009-07;2009-08;2014-12;2020-04;2020-05;2021-04;2021-05;2021-06;2023-01


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 22
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0767623736406441
full_r2: 0.0704593479856581
test_rmse: 1.71131358214091
test_mae: 1.31360741371413
test_r2: -0.781298149580827
high_leverage_month_count: 17
max_cooks_distance: 0.085451302210547
coef_intercept: 0.132897511521977
hac_se_intercept: 0.696257586389382
t_intercept: 0.190874058853923
p_intercept: 0.848774961975733
coef_Energy_consumption_growth_lag: -0.300606880162176
hac_se_Energy_consumption_growth_lag: 0.103966898856469
t_Energy_consumption_growth_lag: -2.891371037018
p_Energy_consumption_growth_lag: 0.00416375461434182
coef_Oil_price_YoY_lag: 0.00817992698048842
hac_se_Oil_price_YoY_lag: 0.0103434889841179
t_Oil_price_YoY_lag: 0.790828606580281
p_Oil_price_YoY_lag: 0.429773191749969
coef_GM2_YoY_lag: 0.0438286737811711
hac_se_GM2_YoY_lag: 0.127668049574906
t_GM2_YoY_lag: 0.343301820048998
p_GM2_YoY_lag: 0.731652073936219
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2009-06;2009-08;2015-01;2020-04;2020-05;2021-04;2021-05;2021-06;2023-02


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 23
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.0892181836488857
full_r2: 0.0805879892578458
test_rmse: 1.78415686807669
test_mae: 1.46359231644519
test_r2: -0.93617003511506
high_leverage_month_count: 16
max_cooks_distance: 0.0827042668788944
coef_intercept: 0.045368743070887
hac_se_intercept: 0.708198181128647
t_intercept: 0.0640622134874498
p_intercept: 0.948970488615501
coef_Energy_consumption_growth_lag: -0.330761611904393
hac_se_Energy_consumption_growth_lag: 0.106481885863292
t_Energy_consumption_growth_lag: -3.10627116737063
p_Energy_consumption_growth_lag: 0.00210706956654083
coef_Oil_price_YoY_lag: 0.0126752155660881
hac_se_Oil_price_YoY_lag: 0.0104680420248682
t_Oil_price_YoY_lag: 1.21084874668792
p_Oil_price_YoY_lag: 0.22706570114932
coef_GM2_YoY_lag: 0.048118483441532
hac_se_GM2_YoY_lag: 0.127541464383555
t_GM2_YoY_lag: 0.377277175498201
p_GM2_YoY_lag: 0.706278987392183
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2010-05;2020-04;2020-05;2021-04;2021-05;2021-06


target: Industrial_production_YoY
family: energy_gdp
model: real_activity_model
lag_months: 24
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.105531456570892
full_r2: 0.0907265306674249
test_rmse: 1.9715222902446
test_mae: 1.62537368832553
test_r2: -1.36418145074314
high_leverage_month_count: 16
max_cooks_distance: 0.0871273968575129
coef_intercept: -0.0395748722025113
hac_se_intercept: 0.73656177062193
t_intercept: -0.0537291966281328
p_intercept: 0.957192662499549
coef_Energy_consumption_growth_lag: -0.355182627746361
hac_se_Energy_consumption_growth_lag: 0.109284786030589
t_Energy_consumption_growth_lag: -3.2500647221558
p_Energy_consumption_growth_lag: 0.00130774173113646
coef_Oil_price_YoY_lag: 0.017251333273236
hac_se_Oil_price_YoY_lag: 0.0103621544764288
t_Oil_price_YoY_lag: 1.66484038743856
p_Oil_price_YoY_lag: 0.0971632041265598
coef_GM2_YoY_lag: 0.0523735558710493
hac_se_GM2_YoY_lag: 0.128333429417778
t_GM2_YoY_lag: 0.408105324611502
p_GM2_YoY_lag: 0.683536143339699
frequency: monthly
window_periods: 60
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2010-06;2020-04;2020-05;2021-04;2021-05;2021-06


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 0
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.52159682956345
full_r2: 0.484338876769716
test_rmse: 2.56565870116742
test_mae: 1.97045895229003
test_r2: -0.01285130318911
high_leverage_month_count: 20
max_cooks_distance: 0.0727466307039096
coef_intercept: 0.127308101225936
hac_se_intercept: 0.428686393990188
t_intercept: 0.296972572516146
p_intercept: 0.766724561045463
coef_Oil_price_YoY_lag: 0.0173678401651289
hac_se_Oil_price_YoY_lag: 0.00800991383189435
t_Oil_price_YoY_lag: 2.16829300909238
p_Oil_price_YoY_lag: 0.0310435302980014
coef_GM2_YoY_lag: -0.0729917803274173
hac_se_GM2_YoY_lag: 0.0555841104824608
t_GM2_YoY_lag: -1.31317708772994
p_GM2_YoY_lag: 0.19028103069296
frequency: monthly
window_periods: 60
rolling_rmse: 3.10101790851654
rolling_mae: 2.30818384775725
rolling_r2: 0.488109923492525
high_leverage_months:
2006-01;2007-02;2008-08;2008-12;2009-01;2009-06;2009-08;2011-12;2012-01;2012-03;2013-03;2016-12;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2024-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 1
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.418728428889494
full_r2: 0.386969326517314
test_rmse: 2.62751090929669
test_mae: 2.07452193364879
test_r2: -0.062275047003242
high_leverage_month_count: 16
max_cooks_distance: 0.203369886819164
coef_intercept: -0.0574637168264069
hac_se_intercept: 0.465420959826746
t_intercept: -0.123466113016908
p_intercept: 0.90183376491919
coef_Oil_price_YoY_lag: 0.019933872335944
hac_se_Oil_price_YoY_lag: 0.00910041302211291
t_Oil_price_YoY_lag: 2.190436004114
p_Oil_price_YoY_lag: 0.0293843316278928
coef_GM2_YoY_lag: -0.0457579549862112
hac_se_GM2_YoY_lag: 0.0608470763149911
t_GM2_YoY_lag: -0.752015672032177
p_GM2_YoY_lag: 0.45272448944418
frequency: monthly
window_periods: 60
rolling_rmse: 3.64637109324888
rolling_mae: 2.69194807316351
rolling_r2: 0.286245915790023
high_leverage_months:
2006-01;2007-02;2008-08;2008-09;2009-08;2009-09;2011-12;2012-03;2017-02;2017-03;2020-04;2020-05;2020-11;2021-03;2021-04;2023-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 2
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.296662206410515
full_r2: 0.271069965173198
test_rmse: 2.70499108967516
test_mae: 2.08948886556589
test_r2: -0.125847588541802
high_leverage_month_count: 13
max_cooks_distance: 0.255750805407849
coef_intercept: -0.417307656537553
hac_se_intercept: 0.533632566562685
t_intercept: -0.782013097936617
p_intercept: 0.434923965135327
coef_Oil_price_YoY_lag: 0.0165529234255678
hac_se_Oil_price_YoY_lag: 0.00877392159384823
t_Oil_price_YoY_lag: 1.88660489480254
p_Oil_price_YoY_lag: 0.0603363827237329
coef_GM2_YoY_lag: 0.0113525243110313
hac_se_GM2_YoY_lag: 0.0765728487071716
t_GM2_YoY_lag: 0.148257829017769
p_GM2_YoY_lag: 0.882255101543991
frequency: monthly
window_periods: 60
rolling_rmse: 4.07853122285591
rolling_mae: 2.91708079086709
rolling_r2: 0.0945972785281012
high_leverage_months:
2008-08;2008-09;2009-08;2009-09;2011-12;2012-03;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2023-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 3
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.22340950208368
full_r2: 0.198657832582793
test_rmse: 2.82848624522553
test_mae: 2.22423636389805
test_r2: -0.230994369428903
high_leverage_month_count: 13
max_cooks_distance: 0.175335471500271
coef_intercept: -0.83430683171411
hac_se_intercept: 0.626663796278731
t_intercept: -1.33134678701468
p_intercept: 0.184254655796817
coef_Oil_price_YoY_lag: 0.00307639867674359
hac_se_Oil_price_YoY_lag: 0.00968271731036796
t_Oil_price_YoY_lag: 0.317720592074858
p_Oil_price_YoY_lag: 0.750954883246344
coef_GM2_YoY_lag: 0.0841934572286794
hac_se_GM2_YoY_lag: 0.0978860393456907
t_GM2_YoY_lag: 0.860117109563958
p_GM2_YoY_lag: 0.390526133247537
frequency: monthly
window_periods: 60
rolling_rmse: 4.19885030023073
rolling_mae: 3.04568362035038
rolling_r2: 0.0333636068981989
high_leverage_months:
2008-08;2008-09;2009-09;2010-02;2012-03;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2021-07;2023-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 5
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.139404455251849
full_r2: 0.122314869914244
test_rmse: 2.87187989241312
test_mae: 2.32479709241439
test_r2: -0.248357387207319
high_leverage_month_count: 19
max_cooks_distance: 0.169680423721931
coef_intercept: -0.853092173321206
hac_se_intercept: 0.744298919252057
t_intercept: -1.14616876533755
p_intercept: 0.252799747125523
coef_Oil_price_YoY_lag: -0.00516695793110294
hac_se_Oil_price_YoY_lag: 0.0131355945379788
t_Oil_price_YoY_lag: -0.393355467555258
p_Oil_price_YoY_lag: 0.694385628546269
coef_GM2_YoY_lag: 0.101923959719608
hac_se_GM2_YoY_lag: 0.122681548424476
t_GM2_YoY_lag: 0.830801053854917
p_GM2_YoY_lag: 0.406863224228376
frequency: monthly
window_periods: 60
rolling_rmse: 4.2560584471133
rolling_mae: 3.23842665192198
rolling_r2: -0.00207365527149261
high_leverage_months:
2008-08;2008-09;2009-02;2009-05;2009-12;2010-05;2010-06;2010-07;2011-12;2012-01;2012-03;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2021-07;2021-08


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 6
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0984528641245707
full_r2: 0.0863418482078411
test_rmse: 2.85848453804068
test_mae: 2.31540620731707
test_r2: -0.236739080436387
high_leverage_month_count: 18
max_cooks_distance: 0.137262194600608
coef_intercept: -0.880997393435005
hac_se_intercept: 0.724767650348471
t_intercept: -1.21555838345078
p_intercept: 0.225277366627223
coef_Oil_price_YoY_lag: -0.00753366652047183
hac_se_Oil_price_YoY_lag: 0.0129410946647394
t_Oil_price_YoY_lag: -0.582150638384464
p_Oil_price_YoY_lag: 0.560979553762534
coef_GM2_YoY_lag: 0.112504522992459
hac_se_GM2_YoY_lag: 0.117020925579099
t_GM2_YoY_lag: 0.961405171217978
p_GM2_YoY_lag: 0.337259226768225
frequency: monthly
window_periods: 60
rolling_rmse: 4.36690464018427
rolling_mae: 3.31356745850739
rolling_r2: -0.0549500440437123
high_leverage_months:
2008-08;2008-09;2009-02;2009-05;2009-12;2010-02;2010-05;2010-06;2010-07;2010-08;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2021-08;2021-09


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 7
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0500304645989434
full_r2: 0.0454513108245393
test_rmse: 2.77389344943785
test_mae: 2.21248134779494
test_r2: -0.164624547315569
high_leverage_month_count: 15
max_cooks_distance: 0.126822473999583
coef_intercept: -0.779508588728412
hac_se_intercept: 0.7160594031049
t_intercept: -1.08860882958647
p_intercept: 0.277354189271875
coef_Oil_price_YoY_lag: -0.00480580008949594
hac_se_Oil_price_YoY_lag: 0.0133319277394334
t_Oil_price_YoY_lag: -0.360473007611739
p_Oil_price_YoY_lag: 0.718791849560949
coef_GM2_YoY_lag: 0.101613720853504
hac_se_GM2_YoY_lag: 0.111624371276033
t_GM2_YoY_lag: 0.910318416058324
p_GM2_YoY_lag: 0.363514270222108
frequency: monthly
window_periods: 60
rolling_rmse: 4.48972219197877
rolling_mae: 3.36279111584677
rolling_r2: -0.11512465072543
high_leverage_months:
2008-08;2008-09;2009-02;2009-04;2009-05;2010-02;2010-06;2010-07;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2021-11


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 8
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.020781377440364
full_r2: 0.0187384476394998
test_rmse: 2.7730881675215
test_mae: 2.23522915352204
test_r2: -0.163948447117926
high_leverage_month_count: 16
max_cooks_distance: 0.105475393522425
coef_intercept: -0.672471151506385
hac_se_intercept: 0.722058506389952
t_intercept: -0.931325018063305
p_intercept: 0.352566349747389
coef_Oil_price_YoY_lag: -0.00660437299466851
hac_se_Oil_price_YoY_lag: 0.0132645291897521
t_Oil_price_YoY_lag: -0.497897279292122
p_Oil_price_YoY_lag: 0.618985551438957
coef_GM2_YoY_lag: 0.0957390330130871
hac_se_GM2_YoY_lag: 0.107319105068333
t_GM2_YoY_lag: 0.892096826116165
p_GM2_YoY_lag: 0.37318206921803
frequency: monthly
window_periods: 60
rolling_rmse: 4.65489578885967
rolling_mae: 3.43889735942774
rolling_r2: -0.19868315772557
high_leverage_months:
2008-08;2008-09;2009-02;2009-03;2009-04;2009-05;2010-02;2010-07;2010-08;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2021-11


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 9
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0158810260531633
full_r2: 0.00840629869810838
test_rmse: 2.93848162808775
test_mae: 2.34404150940658
test_r2: -0.306930066712351
high_leverage_month_count: 18
max_cooks_distance: 0.102973576741085
coef_intercept: -0.528755554170044
hac_se_intercept: 0.732150898252981
t_intercept: -0.72219477628414
p_intercept: 0.470836489318324
coef_Oil_price_YoY_lag: -0.00321987438410744
hac_se_Oil_price_YoY_lag: 0.0144503320004514
t_Oil_price_YoY_lag: -0.222823557549187
p_Oil_price_YoY_lag: 0.823851211088058
coef_GM2_YoY_lag: 0.0777411275547235
hac_se_GM2_YoY_lag: 0.104502421420643
t_GM2_YoY_lag: 0.743916997308607
p_GM2_YoY_lag: 0.457611612327122
frequency: monthly
window_periods: 60
rolling_rmse: 4.63799987478223
rolling_mae: 3.4427826157492
rolling_r2: -0.189997209600857
high_leverage_months:
2008-08;2008-09;2009-02;2009-03;2009-04;2009-05;2009-06;2009-11;2010-05;2010-09;2011-12;2013-03;2020-04;2020-05;2021-04;2021-05;2021-06;2022-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 10
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0246690430757627
full_r2: 0.0113864443987483
test_rmse: 3.04081147817302
test_mae: 2.41640848509765
test_r2: -0.39954021311841
high_leverage_month_count: 21
max_cooks_distance: 0.12718406039974
coef_intercept: -0.378567056857992
hac_se_intercept: 0.730025621823205
t_intercept: -0.518566808535485
p_intercept: 0.604512550469249
coef_Oil_price_YoY_lag: -0.00501155420583067
hac_se_Oil_price_YoY_lag: 0.0147033872256682
t_Oil_price_YoY_lag: -0.340843516457339
p_Oil_price_YoY_lag: 0.733502038880446
coef_GM2_YoY_lag: 0.0643234486207784
hac_se_GM2_YoY_lag: 0.0986965976997467
t_GM2_YoY_lag: 0.651729138794249
p_GM2_YoY_lag: 0.515162876819758
frequency: monthly
window_periods: 60
rolling_rmse: 4.65786340132772
rolling_mae: 3.43053414668952
rolling_r2: -0.200212025891958
high_leverage_months:
2008-08;2008-09;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-11;2010-05;2010-06;2015-11;2020-04;2020-05;2021-02;2021-04;2021-05;2021-06;2022-01;2022-02;2022-03


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 11
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0478318745410734
full_r2: 0.0335330297277151
test_rmse: 3.02740396078345
test_mae: 2.33837547202045
test_r2: -0.387225742418819
high_leverage_month_count: 18
max_cooks_distance: 0.180760127790327
coef_intercept: -0.141566040973962
hac_se_intercept: 0.70211004743238
t_intercept: -0.201629419051429
p_intercept: 0.840367194872743
coef_Oil_price_YoY_lag: 0.000300802539810893
hac_se_Oil_price_YoY_lag: 0.0156910024868254
t_Oil_price_YoY_lag: 0.0191703837956469
p_Oil_price_YoY_lag: 0.984720174768478
coef_GM2_YoY_lag: 0.0343646735958047
hac_se_GM2_YoY_lag: 0.0889210270370169
t_GM2_YoY_lag: 0.386462850698959
p_GM2_YoY_lag: 0.699476186599688
frequency: monthly
window_periods: 60
rolling_rmse: 4.48604163579329
rolling_mae: 3.3083980798362
rolling_r2: -0.113297100393622
high_leverage_months:
2008-08;2008-09;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-11;2013-03;2018-01;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-03


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 12
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0930805742168809
full_r2: 0.0740502309484214
test_rmse: 3.00818517081335
test_mae: 2.30834022843903
test_r2: -0.369668670091439
high_leverage_month_count: 15
max_cooks_distance: 0.155613099755168
coef_intercept: 0.0666313320177519
hac_se_intercept: 0.669749043816677
t_intercept: 0.0994870132819333
p_intercept: 0.920829764840647
coef_Oil_price_YoY_lag: 0.00222204858979311
hac_se_Oil_price_YoY_lag: 0.0153268421162106
t_Oil_price_YoY_lag: 0.144977587225416
p_Oil_price_YoY_lag: 0.884843090733418
coef_GM2_YoY_lag: 0.0108023650277335
hac_se_GM2_YoY_lag: 0.0804351422331515
t_GM2_YoY_lag: 0.134299072865707
p_GM2_YoY_lag: 0.893272022203616
frequency: monthly
window_periods: 60
rolling_rmse: 4.29400205108968
rolling_mae: 3.17539748260346
rolling_r2: -0.0200206710421151
high_leverage_months:
2008-08;2008-09;2009-02;2009-04;2009-05;2009-06;2009-07;2009-11;2020-04;2020-05;2021-04;2021-05;2021-06;2022-04;2022-05


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 13
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.105724466539361
full_r2: 0.0862134044524462
test_rmse: 2.99860431149393
test_mae: 2.35734474704829
test_r2: -0.360957965921054
high_leverage_month_count: 14
max_cooks_distance: 0.143224679398767
coef_intercept: 0.136933270743462
hac_se_intercept: 0.657214172082846
t_intercept: 0.208354105191452
p_intercept: 0.835118810809423
coef_Oil_price_YoY_lag: 0.000418441638213363
hac_se_Oil_price_YoY_lag: 0.0147835953065037
t_Oil_price_YoY_lag: 0.0283044570375434
p_Oil_price_YoY_lag: 0.977441464642426
coef_GM2_YoY_lag: 0.00490326187304344
hac_se_GM2_YoY_lag: 0.080544788353232
t_GM2_YoY_lag: 0.060876215249831
p_GM2_YoY_lag: 0.951505476017012
frequency: monthly
window_periods: 60
rolling_rmse: 4.21277867194409
rolling_mae: 3.11339277641521
rolling_r2: 0.0182028569643945
high_leverage_months:
2008-08;2008-09;2009-02;2009-05;2009-06;2009-07;2009-10;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-05


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 14
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.101815687546728
full_r2: 0.0900606965302421
test_rmse: 2.84659112622993
test_mae: 2.25979688467309
test_r2: -0.226468990304326
high_leverage_month_count: 15
max_cooks_distance: 0.0866839672390201
coef_intercept: 0.144392635503984
hac_se_intercept: 0.664841551559425
t_intercept: 0.217183530670282
p_intercept: 0.828238986876208
coef_Oil_price_YoY_lag: -0.00123174709679083
hac_se_Oil_price_YoY_lag: 0.0137848557761449
t_Oil_price_YoY_lag: -0.0893550949529993
p_Oil_price_YoY_lag: 0.928869849423188
coef_GM2_YoY_lag: 0.00616218130718796
hac_se_GM2_YoY_lag: 0.0851692716296243
t_GM2_YoY_lag: 0.0723521663304278
p_GM2_YoY_lag: 0.942378366960153
frequency: monthly
window_periods: 60
rolling_rmse: 4.25859517944474
rolling_mae: 3.10650983149882
rolling_r2: -0.00326854026731804
high_leverage_months:
2008-08;2008-09;2009-02;2009-05;2009-06;2009-07;2009-11;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-06;2022-07


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 15
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.106561223308945
full_r2: 0.0959096360040628
test_rmse: 2.80163855821461
test_mae: 2.20777763295464
test_r2: -0.188038737136955
high_leverage_month_count: 15
max_cooks_distance: 0.112226669981731
coef_intercept: 0.117096970787717
hac_se_intercept: 0.680765405635649
t_intercept: 0.172007816229117
p_intercept: 0.863567813491905
coef_Oil_price_YoY_lag: -0.00101463299474702
hac_se_Oil_price_YoY_lag: 0.0130089146415078
t_Oil_price_YoY_lag: -0.0779952073410962
p_Oil_price_YoY_lag: 0.937893030780735
coef_GM2_YoY_lag: 0.0101256097708942
hac_se_GM2_YoY_lag: 0.0899960647398601
t_GM2_YoY_lag: 0.11251169481869
p_GM2_YoY_lag: 0.910506216407642
frequency: monthly
window_periods: 60
rolling_rmse: 4.34937244886286
rolling_mae: 3.20707754010822
rolling_r2: -0.046496249143261
high_leverage_months:
2008-08;2008-09;2009-02;2009-05;2009-07;2009-11;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-07;2023-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 16
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.120077536661504
full_r2: 0.105872054826017
test_rmse: 2.83161329278335
test_mae: 2.25381661383922
test_r2: -0.213596386281706
high_leverage_month_count: 17
max_cooks_distance: 0.0951664155150138
coef_intercept: 0.0486697591089205
hac_se_intercept: 0.68741429026625
t_intercept: 0.0708012035799687
p_intercept: 0.94361146828024
coef_Oil_price_YoY_lag: 0.00263761131560863
hac_se_Oil_price_YoY_lag: 0.012515393299546
t_Oil_price_YoY_lag: 0.210749374988024
p_Oil_price_YoY_lag: 0.833251155623495
coef_GM2_YoY_lag: 0.0163196632076694
hac_se_GM2_YoY_lag: 0.092235448929149
t_GM2_YoY_lag: 0.176934827088069
p_GM2_YoY_lag: 0.859700032848736
frequency: monthly
window_periods: 60
rolling_rmse: 4.40468570022725
rolling_mae: 3.3076462885031
rolling_r2: -0.073283188373253
high_leverage_months:
2008-08;2008-09;2009-02;2009-05;2009-07;2009-10;2009-11;2010-10;2016-12;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-08;2022-09


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 17
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.127526601259545
full_r2: 0.112876772087069
test_rmse: 2.88801140184536
test_mae: 2.24982724488783
test_r2: -0.262420960577707
high_leverage_month_count: 15
max_cooks_distance: 0.0851830677856682
coef_intercept: 0.036738285125179
hac_se_intercept: 0.68558814236742
t_intercept: 0.0535865235333814
p_intercept: 0.957306550593357
coef_Oil_price_YoY_lag: 0.00340401595559237
hac_se_Oil_price_YoY_lag: 0.0114210446261082
t_Oil_price_YoY_lag: 0.298047688896241
p_Oil_price_YoY_lag: 0.765909465210574
coef_GM2_YoY_lag: 0.0181752828286692
hac_se_GM2_YoY_lag: 0.0938552604451439
t_GM2_YoY_lag: 0.193652254998453
p_GM2_YoY_lag: 0.846602344815053
frequency: monthly
window_periods: 60
rolling_rmse: 4.43085548228457
rolling_mae: 3.26819539194433
rolling_r2: -0.0860745783357451
high_leverage_months:
2008-08;2008-09;2009-10;2009-11;2010-10;2016-12;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-09;2022-10


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 18
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.126326843767538
full_r2: 0.110845860419412
test_rmse: 2.91303810330782
test_mae: 2.23619453595559
test_r2: -0.284395337745551
high_leverage_month_count: 17
max_cooks_distance: 0.0855426370587948
coef_intercept: 0.0390525931840324
hac_se_intercept: 0.669216343173993
t_intercept: 0.0583557075112838
p_intercept: 0.953510998004898
coef_Oil_price_YoY_lag: 0.00104926838915059
hac_se_Oil_price_YoY_lag: 0.00988176368907919
t_Oil_price_YoY_lag: 0.106182299249899
p_Oil_price_YoY_lag: 0.915521197545783
coef_GM2_YoY_lag: 0.0209054228854322
hac_se_GM2_YoY_lag: 0.0946462617260952
t_GM2_YoY_lag: 0.220879541401563
p_GM2_YoY_lag: 0.825362980775072
frequency: monthly
window_periods: 60
rolling_rmse: 4.52722365093725
rolling_mae: 3.31680837701676
rolling_r2: -0.133831131975921
high_leverage_months:
2008-08;2008-09;2009-05;2009-11;2010-10;2011-02;2013-12;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2022-10;2022-11;2022-12


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 19
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.110976532474482
full_r2: 0.100041955131936
test_rmse: 2.84176526172788
test_mae: 2.13096660619182
test_r2: -0.222314016293121
high_leverage_month_count: 14
max_cooks_distance: 0.089003126672186
coef_intercept: -0.0351374295662836
hac_se_intercept: 0.648498238572904
t_intercept: -0.0541827679341236
p_intercept: 0.956831974755681
coef_Oil_price_YoY_lag: 0.00217706054337602
hac_se_Oil_price_YoY_lag: 0.0091841283159851
t_Oil_price_YoY_lag: 0.237045963261077
p_Oil_price_YoY_lag: 0.812811455234446
coef_GM2_YoY_lag: 0.0288801094492379
hac_se_GM2_YoY_lag: 0.0948795367458263
t_GM2_YoY_lag: 0.304387125398863
p_GM2_YoY_lag: 0.761081230831265
frequency: monthly
window_periods: 60
rolling_rmse: 4.52038509050507
rolling_mae: 3.29710056655483
rolling_r2: -0.130408320507126
high_leverage_months:
2008-08;2008-09;2009-02;2011-02;2013-12;2017-02;2020-04;2020-05;2021-04;2021-05;2021-06;2021-12;2022-11;2022-12


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 20
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0976854529909077
full_r2: 0.0958683324611848
test_rmse: 2.73869585560928
test_mae: 1.97885968146292
test_r2: -0.135256504593968
high_leverage_month_count: 13
max_cooks_distance: 0.219314648222268
coef_intercept: -0.0930388203252187
hac_se_intercept: 0.644110954228177
t_intercept: -0.144445331529418
p_intercept: 0.885262916976341
coef_Oil_price_YoY_lag: 0.00361456970703034
hac_se_Oil_price_YoY_lag: 0.00942490228640324
t_Oil_price_YoY_lag: 0.383512698295542
p_Oil_price_YoY_lag: 0.701659203852363
coef_GM2_YoY_lag: 0.0347622890561535
hac_se_GM2_YoY_lag: 0.0959561502992998
t_GM2_YoY_lag: 0.362272652120009
p_GM2_YoY_lag: 0.717448343246688
frequency: monthly
window_periods: 60
rolling_rmse: 4.64626935001688
rolling_mae: 3.30663640117035
rolling_r2: -0.194244482381519
high_leverage_months:
2008-08;2008-09;2009-02;2011-02;2013-12;2016-12;2020-04;2020-05;2021-04;2021-05;2021-06;2021-12;2022-12


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 21
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0905025376563128
full_r2: 0.0985521429123788
test_rmse: 2.51465989004133
test_mae: 1.92756601446581
test_r2: 0.0428832888091487
high_leverage_month_count: 13
max_cooks_distance: 0.0874965626235856
coef_intercept: -0.0524553659825116
hac_se_intercept: 0.650052938015725
t_intercept: -0.0806939910811428
p_intercept: 0.935748610882878
coef_Oil_price_YoY_lag: 0.000587103471944461
hac_se_Oil_price_YoY_lag: 0.00864651006242751
t_Oil_price_YoY_lag: 0.0679006290058757
p_Oil_price_YoY_lag: 0.945917948322947
coef_GM2_YoY_lag: 0.0340165677403029
hac_se_GM2_YoY_lag: 0.097699744451075
t_GM2_YoY_lag: 0.348174582558272
p_GM2_YoY_lag: 0.727996332224687
frequency: monthly
window_periods: 60
rolling_rmse: 4.51680053941605
rolling_mae: 3.3033767078813
rolling_r2: -0.128616260881269
high_leverage_months:
2008-08;2008-09;2009-02;2011-02;2011-05;2011-12;2016-12;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 22
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0713287288963731
full_r2: 0.0721481801640405
test_rmse: 2.64682916667149
test_mae: 2.04678868249984
test_r2: -0.060371906789022
high_leverage_month_count: 16
max_cooks_distance: 0.0881080499845595
coef_intercept: -0.117148466166825
hac_se_intercept: 0.647029685701433
t_intercept: -0.181055782687662
p_intercept: 0.856467612543824
coef_Oil_price_YoY_lag: -8.3821746150653e-05
hac_se_Oil_price_YoY_lag: 0.00982547387957877
t_Oil_price_YoY_lag: -0.00853106396474859
p_Oil_price_YoY_lag: 0.993199948632626
coef_GM2_YoY_lag: 0.0402380557449365
hac_se_GM2_YoY_lag: 0.100011277363796
t_GM2_YoY_lag: 0.402335184646913
p_GM2_YoY_lag: 0.687774412252085
frequency: monthly
window_periods: 60
rolling_rmse: 4.62647869359893
rolling_mae: 3.34023992374086
rolling_r2: -0.184092446678044
high_leverage_months:
2008-08;2008-09;2009-02;2011-02;2011-05;2011-12;2016-12;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2023-01;2023-03;2024-01


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 23
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0587859346069791
full_r2: 0.0458563293678083
test_rmse: 2.93266084796503
test_mae: 2.30501670557548
test_r2: -0.301757451131317
high_leverage_month_count: 21
max_cooks_distance: 0.0856396110246527
coef_intercept: -0.217609877843575
hac_se_intercept: 0.659496433568895
t_intercept: -0.329963691639649
p_intercept: 0.741698300049074
coef_Oil_price_YoY_lag: 0.00026316199512505
hac_se_Oil_price_YoY_lag: 0.0109965051900711
t_Oil_price_YoY_lag: 0.0239314209902491
p_Oil_price_YoY_lag: 0.980926027369312
coef_GM2_YoY_lag: 0.0490025334290673
hac_se_GM2_YoY_lag: 0.102631986721214
t_GM2_YoY_lag: 0.477458685099569
p_GM2_YoY_lag: 0.633444512708341
frequency: monthly
window_periods: 60
rolling_rmse: 4.70793180023909
rolling_mae: 3.38208269299979
rolling_r2: -0.226153391743601
high_leverage_months:
2008-08;2008-09;2009-02;2010-05;2010-07;2011-02;2011-05;2011-06;2011-12;2012-01;2016-12;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2023-01;2023-02;2023-03


target: Energy_consumption_growth
family: energy_gdp
model: energy_demand_model
lag_months: 24
formula: Energy_consumption_growth_t = alpha + Real_activity_growth_lag + Oil_price_YoY_lag + GM2_YoY_lag
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.0472299269594443
full_r2: 0.0390606280794281
test_rmse: 2.85294702392217
test_mae: 2.36075658308609
test_r2: -0.231952049728346
high_leverage_month_count: 18
max_cooks_distance: 0.0789566163664736
coef_intercept: -0.302185837437737
hac_se_intercept: 0.677879536789424
t_intercept: -0.445781028984812
p_intercept: 0.656133673742803
coef_Oil_price_YoY_lag: 0.0029399510343322
hac_se_Oil_price_YoY_lag: 0.011487741755036
t_Oil_price_YoY_lag: 0.255920710703945
p_Oil_price_YoY_lag: 0.798218386405126
coef_GM2_YoY_lag: 0.0557828269408031
hac_se_GM2_YoY_lag: 0.104305129786985
t_GM2_YoY_lag: 0.534804252242671
p_GM2_YoY_lag: 0.593251237896116
frequency: monthly
window_periods: 60
rolling_rmse: 4.68201042294159
rolling_mae: 3.32390730883477
rolling_r2: -0.21268841922498
high_leverage_months:
2008-08;2008-09;2009-02;2010-06;2010-07;2011-05;2011-06;2011-12;2012-01;2016-12;2017-02;2020-04;2020-05;2020-11;2021-04;2021-05;2021-06;2023-02


target: Forward_Real_GDP_growth
family: energy_gdp
model: oil_stress_model
lag_months: 0
n_obs: 86
n_train: 69
n_test: 17
train_r2: 0.408246388527097
full_r2: 0.380786093091312
test_rmse: 1.20288038578965
test_mae: 1.04561810145679
test_r2: -2.83376338438816
high_leverage_month_count: 5
high_leverage_months: 2008-09;2009-09;2009-12;2020-03;2021-03
max_cooks_distance: 0.810954145254411
coef_intercept: 2.45707877186879
hac_se_intercept: 0.636182911900907
t_intercept: 3.86222063797197
p_intercept: 0.000230604931709344
frequency: quarterly
window_periods: 32
rolling_rmse: 2.83377972654915
rolling_mae: 1.63395141609162
rolling_r2: -0.663592739579631
directional_accuracy: 0.547169811320755
sign_accuracy: 0.888888888888889
n_rolling_predictions: 54
coef_Oil_price_YoY: 0.0210470616272063
hac_se_Oil_price_YoY: 0.00589134306157803
t_Oil_price_YoY: 3.57254048987069
p_Oil_price_YoY: 0.000609802471873033
coef_Oil_price_burden: -6.94911723734315
formula:
Forward_Real_GDP_growth_t = alpha + Oil_price_YoY + Oil_price_burden + GM2_YoY_lag5_proxy + financial_crisis_2008_2009 + shale_regime_2014_2017 + covid_2020_2021 + war_spr_2022_2023


# system_signal_hierarchy

layer: Oil momentum validation
signal: GM2 lag correlation
target: WTI / Brent YoY
relationship: leads
lead_lag: WTI peak 4m; Brent peak 4m
metric: Pearson correlation
value: 0.532 / 0.523
interpretation:
Correlation peaks slightly earlier than rolling forecast selection, but both point to a leading liquidity impulse.


layer: Market pricing layer
signal: SP500
target: Oil YoY and equity risk
relationship: coincident risk/growth proxy
lead_lag: strongest SP500-oil correlation at WTI lag -13; Brent lag -13
metric: Peak correlation WTI / Brent
value: -0.661 / -0.691
interpretation:
Stocks add context around risk appetite and growth expectations but do not improve the locked oil model by the 5% rule.


layer: Physical economy layer
signal: Petroleum consumption
target: Real GDP
relationship: moves with / anchors
lead_lag: best lag 0 quarters
metric: Correlation
value: 0.738
interpretation:
Petroleum consumption growth has the strongest current real-economy relationship in the energy layer.


layer: Measured outcome
signal: GDP per energy
target: Efficiency / structural change
relationship: trend over time
lead_lag: long-run trend
metric: Direction
value: rising
interpretation:
Rising GDP per unit of energy shows efficiency gains and structural change, not full physical decoupling.


