# interaction_model_summary

target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.386137007470234
full_r2: 0.304901953444113
test_rmse: 36.4529199305732
test_mae: 31.3949658806834
test_r2: -0.525635348023602
high_leverage_month_count: 8
high_leverage_months: 2015-03;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05
max_cooks_distance: 0.210393481272512
coef_intercept: -2.30330584281052
hac_se_intercept: 6.47390312876878
t_intercept: -0.355783180099663
p_intercept: 0.722291439799291
coef_GM2_YoY_lag: 3.13493166574823
hac_se_GM2_YoY_lag: 0.789752368853705
t_GM2_YoY_lag: 3.96951220329793
p_GM2_YoY_lag: 9.32456833020456e-05
coef_CI_zscore: -1.98480143710909
hac_se_CI_zscore: 0.708811264708955
t_CI_zscore: -2.80018325883135
p_CI_zscore: 0.00549062618500162
coef_CI_monthly_change: -0.000400453920261223
hac_se_CI_monthly_change: 0.000305880521079065
t_CI_monthly_change: -1.30918411819272
p_CI_monthly_change: 0.191627814965502
coef_GM2_x_CI_zscore: -1.21562279873116
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_monthly_change


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.172251484955117
full_r2: 0.137343570448848
test_rmse: 33.126151535253
test_mae: 27.3274210224729
test_r2: -0.259876767804879
high_leverage_month_count: 17
max_cooks_distance: 0.287275702858342
coef_intercept: -9.16716002413362
hac_se_intercept: 7.20572041032643
t_intercept: -1.2722059006059
p_intercept: 0.204427933341431
coef_GM2_YoY_lag: 2.72455916412174
hac_se_GM2_YoY_lag: 0.982721494893559
t_GM2_YoY_lag: 2.77246318339342
p_GM2_YoY_lag: 0.00596267944847861
coef_CI_monthly_change: -0.000410679956041327
hac_se_CI_monthly_change: 0.000322435795099889
t_CI_monthly_change: -1.2736797907754
p_CI_monthly_change: 0.203905688975565
coef_GM2_x_CI_monthly_change: 1.1405132274156e-05
hac_se_GM2_x_CI_monthly_change: 4.52469463739495e-05
t_GM2_x_CI_monthly_change: 0.252064132237714
p_GM2_x_CI_monthly_change: 0.801189111623074
high_leverage_months:
2008-05;2008-06;2009-01;2017-02;2020-04;2020-05;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-06;2021-07


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.251967393984753
full_r2: 0.220493541206868
test_rmse: 31.0274798333973
test_mae: 27.1778289454617
test_r2: -0.105297284921936
high_leverage_month_count: 14
max_cooks_distance: 1.30690980109126
coef_intercept: -1.06027706009855
hac_se_intercept: 7.04803161379743
t_intercept: -0.15043591149945
p_intercept: 0.880536904289759
coef_GM2_YoY_lag: 2.28069077409637
hac_se_GM2_YoY_lag: 0.915594562738508
t_GM2_YoY_lag: 2.49093962209093
p_GM2_YoY_lag: 0.0133625871301559
coef_CI_zscore: -4.02891705136159
hac_se_CI_zscore: 1.28654201580068
t_CI_zscore: -3.13158606705446
p_CI_zscore: 0.00193656569569867
coef_CI_monthly_change: -0.000287788993083904
hac_se_CI_monthly_change: 0.000282600348191214
t_CI_monthly_change: -1.01836036270266
p_CI_monthly_change: 0.309449768892336
coef_GM2_x_CI_monthly_change: 3.45151772007668e-06
high_leverage_months:
2008-06;2015-08;2017-02;2020-04;2020-05;2020-08;2020-09;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-06


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 1
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.228280435995055
full_r2: 0.192387027076124
test_rmse: 32.0833981811948
test_mae: 26.3142456969851
test_r2: -0.253917582765737
high_leverage_month_count: 15
max_cooks_distance: 0.342717331060993
coef_intercept: -13.5947284409786
hac_se_intercept: 6.8141719650046
t_intercept: -1.99506682701827
p_intercept: 0.0470713021016556
coef_GM2_YoY_lag: 3.3067286342192
hac_se_GM2_YoY_lag: 0.939370104487064
t_GM2_YoY_lag: 3.52015528110171
p_GM2_YoY_lag: 0.000508457452778277
coef_CI_monthly_change: -0.000341085393703922
hac_se_CI_monthly_change: 0.000307472448925756
t_CI_monthly_change: -1.10932018428188
p_CI_monthly_change: 0.268309259426403
coef_GM2_x_CI_monthly_change: 5.38155601059742e-06
hac_se_GM2_x_CI_monthly_change: 4.16313350591756e-05
t_GM2_x_CI_monthly_change: 0.129266957279846
p_GM2_x_CI_monthly_change: 0.897245596328272
high_leverage_months:
2008-06;2009-01;2009-02;2017-02;2020-04;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-06


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 2
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.282402019516837
full_r2: 0.249221904636586
test_rmse: 31.1181881975139
test_mae: 25.2342517838788
test_r2: -0.179605735986712
high_leverage_month_count: 16
max_cooks_distance: 0.409431784877262
coef_intercept: -17.5438803160174
hac_se_intercept: 6.59230969530241
t_intercept: -2.66126458356756
p_intercept: 0.00826747956628981
coef_GM2_YoY_lag: 3.80439710704927
hac_se_GM2_YoY_lag: 0.938495118862392
t_GM2_YoY_lag: 4.05372071797327
p_GM2_YoY_lag: 6.65764483218645e-05
coef_CI_monthly_change: -0.000180712145638584
hac_se_CI_monthly_change: 0.000310753393475672
t_CI_monthly_change: -0.581529114187232
p_CI_monthly_change: 0.561385794847617
coef_GM2_x_CI_monthly_change: -1.51562379477888e-05
hac_se_GM2_x_CI_monthly_change: 4.30022852256351e-05
t_GM2_x_CI_monthly_change: -0.352451918968102
p_GM2_x_CI_monthly_change: 0.724783808275481
high_leverage_months:
2008-06;2008-10;2009-02;2017-02;2020-04;2020-08;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2022-12;2023-01


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.418391066195728
full_r2: 0.396085794801885
test_rmse: 26.709385495782
test_mae: 23.8572999015561
test_r2: 0.0915860690405474
high_leverage_month_count: 13
max_cooks_distance: 0.285963955618177
coef_intercept: -11.0767848327059
hac_se_intercept: 6.22837934190368
t_intercept: -1.77843773229784
p_intercept: 0.0765095531964715
coef_GM2_YoY_lag: 3.99007430452399
hac_se_GM2_YoY_lag: 0.87538533229161
t_GM2_YoY_lag: 4.55807763431294
p_GM2_YoY_lag: 7.97657894335835e-06
coef_CI_zscore: -2.03343654715497
hac_se_CI_zscore: 0.51252917941151
t_CI_zscore: -3.96745517882471
p_CI_zscore: 9.41882692355733e-05
coef_CI_monthly_change: -0.000126645183598395
hac_se_CI_monthly_change: 0.000267965903061765
t_CI_monthly_change: -0.47261678501389
p_CI_monthly_change: 0.636886151928019
coef_GM2_x_CI_zscore: -1.03479294212494
hac_se_GM2_x_CI_zscore: 0.343606663623596
high_leverage_months:
2008-09;2008-10;2008-11;2009-03;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10;2023-01


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.414615981436765
full_r2: 0.394620574771737
test_rmse: 26.1945505273923
test_mae: 23.2798025149782
test_r2: 0.126268698401368
high_leverage_month_count: 14
max_cooks_distance: 0.32205056449716
coef_intercept: -11.2856284580541
hac_se_intercept: 6.24101824780139
t_intercept: -1.80829922457443
p_intercept: 0.0717152787545199
coef_GM2_YoY_lag: 4.02879522920472
hac_se_GM2_YoY_lag: 0.849933357950684
t_GM2_YoY_lag: 4.74013073085959
p_GM2_YoY_lag: 3.52098225753217e-06
coef_CI_zscore: -2.05193986553669
hac_se_CI_zscore: 0.512150692598551
t_CI_zscore: -4.00651584619666
p_CI_zscore: 8.05062662303513e-05
coef_GM2_x_CI_zscore: -1.05662621552796
hac_se_GM2_x_CI_zscore: 0.325418526539456
t_GM2_x_CI_zscore: -3.24697621479719
p_GM2_x_CI_zscore: 0.0013195902887575
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-03;2009-04;2015-07;2015-08;2017-02;2020-11;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.30831933835779
full_r2: 0.286028013138702
test_rmse: 29.0457562898879
test_mae: 23.1648898851539
test_r2: -0.0742895995453035
high_leverage_month_count: 17
max_cooks_distance: 0.380406047260579
coef_intercept: -19.6415892211958
hac_se_intercept: 6.11851623974539
t_intercept: -3.21018829591488
p_intercept: 0.00149321698381644
coef_GM2_YoY_lag: 4.08254398209392
hac_se_GM2_YoY_lag: 0.914342395239194
t_GM2_YoY_lag: 4.46500567331336
p_GM2_YoY_lag: 1.19439232648677e-05
coef_CI_monthly_change: -0.000147831642455243
hac_se_CI_monthly_change: 0.000295358269282018
t_CI_monthly_change: -0.50051634855054
p_CI_monthly_change: 0.617134952639118
coef_GM2_x_CI_monthly_change: -2.39685851957105e-05
hac_se_GM2_x_CI_monthly_change: 4.15339653816003e-05
t_GM2_x_CI_monthly_change: -0.577083959489424
p_GM2_x_CI_monthly_change: 0.564382071751415
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-03;2009-04;2017-02;2020-04;2020-08;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2023-01


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.343535740028829
full_r2: 0.332380354830637
test_rmse: 25.7712947144654
test_mae: 22.4901264378222
test_r2: 0.154276364491244
high_leverage_month_count: 14
max_cooks_distance: 1.10380393232959
coef_intercept: -12.2329048913722
hac_se_intercept: 6.49087672566076
t_intercept: -1.88463059897766
p_intercept: 0.0605951232507915
coef_GM2_YoY_lag: 3.61816794863947
hac_se_GM2_YoY_lag: 0.925890746868032
t_GM2_YoY_lag: 3.90776985392551
p_GM2_YoY_lag: 0.00011886147906881
coef_CI_zscore: -3.10813885481617
hac_se_CI_zscore: 1.11533558332087
t_CI_zscore: -2.78672975317598
p_CI_zscore: 0.00571677899706913
coef_CI_monthly_change: -0.000248354329322353
hac_se_CI_monthly_change: 0.000228545402569856
t_CI_monthly_change: -1.08667392356074
p_CI_monthly_change: 0.27818735194228
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-03;2009-04;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.409542791375823
full_r2: 0.398841773233425
test_rmse: 25.2783735410065
test_mae: 21.6920493381077
test_r2: 0.186318864344214
high_leverage_month_count: 15
max_cooks_distance: 0.284408005546874
coef_intercept: -10.6816981789961
hac_se_intercept: 6.2722745890052
t_intercept: -1.70300232035764
p_intercept: 0.0897766042885839
coef_GM2_YoY_lag: 3.91418716913034
hac_se_GM2_YoY_lag: 0.934805875694291
t_GM2_YoY_lag: 4.18716577516506
p_GM2_YoY_lag: 3.8836317102886e-05
coef_CI_zscore: -2.40224588023112
hac_se_CI_zscore: 0.512429680059635
t_CI_zscore: -4.68795226683894
p_CI_zscore: 4.48180757128824e-06
coef_CI_monthly_change: -9.10548917603116e-05
hac_se_CI_monthly_change: 0.000271596222061957
t_CI_monthly_change: -0.335258314968534
p_CI_monthly_change: 0.737703729872107
coef_GM2_x_CI_zscore: -0.963953382356425
hac_se_GM2_x_CI_zscore: 0.324185863791421
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-07;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.405805797544172
full_r2: 0.396705006348063
test_rmse: 24.9951546973364
test_mae: 21.1320009525973
test_r2: 0.204449686746928
high_leverage_month_count: 15
max_cooks_distance: 0.322828009642014
coef_intercept: -10.7684528227126
hac_se_intercept: 6.33986526194681
t_intercept: -1.69853023333904
p_intercept: 0.0906086269649662
coef_GM2_YoY_lag: 3.95195204435709
hac_se_GM2_YoY_lag: 0.910864629881427
t_GM2_YoY_lag: 4.33868207712879
p_GM2_YoY_lag: 2.05601748557438e-05
coef_CI_zscore: -2.43028400543226
hac_se_CI_zscore: 0.508622192475243
t_CI_zscore: -4.77817138415673
p_CI_zscore: 2.96631001872605e-06
coef_GM2_x_CI_zscore: -1.00155754040927
hac_se_GM2_x_CI_zscore: 0.31084240110796
t_GM2_x_CI_zscore: -3.2220750349352
p_GM2_x_CI_zscore: 0.00143557465232824
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2009-05;2015-07;2017-01;2017-02;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.308923082816258
full_r2: 0.296579065416218
test_rmse: 27.4108662895282
test_mae: 22.2317462007735
test_r2: 0.0432432929458014
high_leverage_month_count: 15
max_cooks_distance: 0.357447560972871
coef_intercept: -20.030261416188
hac_se_intercept: 5.97590270749396
t_intercept: -3.35183860859539
p_intercept: 0.00092257569642884
coef_GM2_YoY_lag: 4.13316685466191
hac_se_GM2_YoY_lag: 0.951502905832204
t_GM2_YoY_lag: 4.34382998656947
p_GM2_YoY_lag: 2.01160686279511e-05
coef_CI_monthly_change: -0.000142157045861291
hac_se_CI_monthly_change: 0.000307143325598131
t_CI_monthly_change: -0.462836187582636
p_CI_monthly_change: 0.643870419405835
coef_GM2_x_CI_monthly_change: -3.07773423728896e-05
hac_se_GM2_x_CI_monthly_change: 4.52134725029704e-05
t_GM2_x_CI_monthly_change: -0.680711758444735
p_GM2_x_CI_monthly_change: 0.496661981960138
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2023-01


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.409518088214552
full_r2: 0.398631557807335
test_rmse: 25.2361476991817
test_mae: 21.6322473542119
test_r2: 0.189034994334744
high_leverage_month_count: 14
max_cooks_distance: 0.265316685501591
coef_intercept: -10.6536801155977
hac_se_intercept: 6.34310260727716
t_intercept: -1.67956925422824
p_intercept: 0.0942516526824564
coef_GM2_YoY_lag: 3.9214452887184
hac_se_GM2_YoY_lag: 0.920048088712449
t_GM2_YoY_lag: 4.26221774364666
p_GM2_YoY_lag: 2.84054841090953e-05
coef_CI_zscore: -2.39547914188386
hac_se_CI_zscore: 0.514806916653644
t_CI_zscore: -4.65316036826971
p_CI_zscore: 5.22984185225006e-06
coef_CI_monthly_change: -0.000151889445197728
hac_se_CI_monthly_change: 0.000231783531883691
t_CI_monthly_change: -0.655307320426656
p_CI_monthly_change: 0.51285377498933
coef_GM2_x_CI_zscore: -0.97268346298834
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-07;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.387356444243071
full_r2: 0.381867141288702
test_rmse: 25.4662789243954
test_mae: 20.898378066609
test_r2: 0.174176996594274
high_leverage_month_count: 13
max_cooks_distance: 0.249578996431012
coef_intercept: -8.79329079002708
hac_se_intercept: 6.62726385432317
t_intercept: -1.32683577767783
p_intercept: 0.185745287644933
coef_GM2_YoY_lag: 3.67789425425035
hac_se_GM2_YoY_lag: 1.00351202798771
t_GM2_YoY_lag: 3.66502259233049
p_GM2_YoY_lag: 0.000300637936049508
coef_CI_zscore: -2.67375635275175
hac_se_CI_zscore: 0.569556739489056
t_CI_zscore: -4.69445125897438
p_CI_zscore: 4.36044837770488e-06
coef_CI_monthly_change: -0.000163513111633096
hac_se_CI_monthly_change: 0.000287000982066162
t_CI_monthly_change: -0.569730146760965
p_CI_monthly_change: 0.569360343598909
coef_GM2_x_CI_zscore: -0.91884459703594
hac_se_GM2_x_CI_zscore: 0.299829958677697
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.383474728998392
full_r2: 0.378811011923014
test_rmse: 25.4584676696239
test_mae: 20.8082646852252
test_r2: 0.174683527177977
high_leverage_month_count: 15
max_cooks_distance: 0.281417537221804
coef_intercept: -8.75828068373619
hac_se_intercept: 6.6092344462039
t_intercept: -1.32515811854225
p_intercept: 0.186291064543535
coef_GM2_YoY_lag: 3.69941592281036
hac_se_GM2_YoY_lag: 0.968311431131941
t_GM2_YoY_lag: 3.82048151438819
p_GM2_YoY_lag: 0.000166943267736919
coef_CI_zscore: -2.72952535472527
hac_se_CI_zscore: 0.557430769799424
t_CI_zscore: -4.89661766555767
p_CI_zscore: 1.72147829480274e-06
coef_GM2_x_CI_zscore: -0.962354815607012
hac_se_GM2_x_CI_zscore: 0.292424241385368
t_GM2_x_CI_zscore: -3.29095430340464
p_GM2_x_CI_zscore: 0.00113777388070102
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2015-08;2017-01;2017-02;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.281019979351599
full_r2: 0.278459193822535
test_rmse: 25.9794288842518
test_mae: 21.2872911289104
test_r2: 0.140560733103765
high_leverage_month_count: 13
max_cooks_distance: 0.328577101014796
coef_intercept: -18.8237580432202
hac_se_intercept: 6.18825470336611
t_intercept: -3.04185250050891
p_intercept: 0.00259374347820041
coef_GM2_YoY_lag: 3.98002737129915
hac_se_GM2_YoY_lag: 1.02948480182151
t_GM2_YoY_lag: 3.86603800683326
p_GM2_YoY_lag: 0.000140059116651381
coef_CI_monthly_change: -0.000239960593061417
hac_se_CI_monthly_change: 0.00031469456776825
t_CI_monthly_change: -0.762519018879699
p_CI_monthly_change: 0.446446865034557
coef_GM2_x_CI_monthly_change: -2.62795080576694e-05
hac_se_GM2_x_CI_monthly_change: 4.9301356055903e-05
t_GM2_x_CI_monthly_change: -0.533038239919223
p_GM2_x_CI_monthly_change: 0.594465948602602
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.362429535783532
full_r2: 0.360704805246021
test_rmse: 25.3323979945961
test_mae: 20.4328008669326
test_r2: 0.182837180485103
high_leverage_month_count: 15
max_cooks_distance: 0.242354912898879
coef_intercept: -7.47863905533917
hac_se_intercept: 6.53669292649736
t_intercept: -1.14410132760306
p_intercept: 0.253654439796263
coef_GM2_YoY_lag: 3.49268521724479
hac_se_GM2_YoY_lag: 0.998837210300287
t_GM2_YoY_lag: 3.49675120352671
p_GM2_YoY_lag: 0.000555385762347926
coef_CI_zscore: -2.19647183500691
hac_se_CI_zscore: 0.492615115737114
t_CI_zscore: -4.4587991006331
p_CI_zscore: 1.23610930802265e-05
coef_CI_monthly_change: -0.000179204576363445
hac_se_CI_monthly_change: 0.000325940783190003
t_CI_monthly_change: -0.549807160090734
p_CI_monthly_change: 0.582932862206425
coef_GM2_x_CI_zscore: -0.974513895308576
hac_se_GM2_x_CI_zscore: 0.313900198440181
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-08;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.357445518624072
full_r2: 0.355969059628329
test_rmse: 25.4446532531548
test_mae: 20.6570860129865
test_r2: 0.175578959873536
high_leverage_month_count: 14
max_cooks_distance: 0.243288957542654
coef_intercept: -7.31527880392458
hac_se_intercept: 6.62688237085572
t_intercept: -1.10387938015866
p_intercept: 0.270677955973585
coef_GM2_YoY_lag: 3.50047067609646
hac_se_GM2_YoY_lag: 0.988810380564908
t_GM2_YoY_lag: 3.54008285602407
p_GM2_YoY_lag: 0.000474697129177359
coef_CI_zscore: -2.23101311688518
hac_se_CI_zscore: 0.486170753856643
t_CI_zscore: -4.588949662618
p_CI_zscore: 6.97154281481538e-06
coef_GM2_x_CI_zscore: -1.03394438293694
hac_se_GM2_x_CI_zscore: 0.314372715664739
t_GM2_x_CI_zscore: -3.28891259138271
p_GM2_x_CI_zscore: 0.00114628711358011
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-09;2017-02;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.244862534145541
full_r2: 0.249830626475478
test_rmse: 25.047707538714
test_mae: 20.1045356549697
test_r2: 0.201100847223384
high_leverage_month_count: 14
max_cooks_distance: 0.366514332465141
coef_intercept: -17.0733935602999
hac_se_intercept: 6.28267220128504
t_intercept: -2.71753690361368
p_intercept: 0.00702418908930769
coef_GM2_YoY_lag: 3.73775422149401
hac_se_GM2_YoY_lag: 1.06227831418373
t_GM2_YoY_lag: 3.51862047034836
p_GM2_YoY_lag: 0.000512861271123155
coef_CI_monthly_change: -0.000192241461126175
hac_se_CI_monthly_change: 0.000351947708758912
t_CI_monthly_change: -0.546221658336928
p_CI_monthly_change: 0.585387438684577
coef_GM2_x_CI_monthly_change: -4.07006554197231e-05
hac_se_GM2_x_CI_monthly_change: 5.6311129699804e-05
t_GM2_x_CI_monthly_change: -0.7227817242648
p_GM2_x_CI_monthly_change: 0.470471226870466
high_leverage_months:
2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.287859445834602
full_r2: 0.29609652417244
test_rmse: 23.4171486274316
test_mae: 18.8146524204454
test_r2: 0.301728980329223
high_leverage_month_count: 13
max_cooks_distance: 1.0575776811781
coef_intercept: -9.70529929466426
hac_se_intercept: 6.69109786191464
t_intercept: -1.45047935255981
p_intercept: 0.148144258841767
coef_GM2_YoY_lag: 3.2742137194225
hac_se_GM2_YoY_lag: 1.08703538336629
t_GM2_YoY_lag: 3.01205808893086
p_GM2_YoY_lag: 0.00285365967655959
coef_CI_zscore: -3.17647134716083
hac_se_CI_zscore: 1.04447166563677
t_CI_zscore: -3.04122309074252
p_CI_zscore: 0.00259995118292844
coef_CI_monthly_change: -0.000399804759618316
hac_se_CI_monthly_change: 0.000223271466825244
t_CI_monthly_change: -1.7906666055598
p_CI_monthly_change: 0.0745236813910575
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.34248793745271
full_r2: 0.34600495608734
test_rmse: 24.8238313606372
test_mae: 20.2431516107351
test_r2: 0.215318131486531
high_leverage_month_count: 16
max_cooks_distance: 0.231913598115485
coef_intercept: -6.44118415032207
hac_se_intercept: 6.16464122809286
t_intercept: -1.04485953229021
p_intercept: 0.297081249264758
coef_GM2_YoY_lag: 3.32374916049921
hac_se_GM2_YoY_lag: 0.944634688440127
t_GM2_YoY_lag: 3.51855505749816
p_GM2_YoY_lag: 0.000513966480243599
coef_CI_zscore: -1.69707565369515
hac_se_CI_zscore: 0.550682857081169
t_CI_zscore: -3.08176590549832
p_CI_zscore: 0.00228435697251861
coef_CI_monthly_change: -4.80497065450392e-05
hac_se_CI_monthly_change: 0.000354405354052272
t_CI_monthly_change: -0.135578387842166
p_CI_monthly_change: 0.892261975353839
coef_GM2_x_CI_zscore: -1.00639441042204
hac_se_GM2_x_CI_zscore: 0.31732653505747
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-07;2015-08;2015-09;2015-10;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.336131959129726
full_r2: 0.339143939562843
test_rmse: 25.2090493453448
test_mae: 20.4933640305333
test_r2: 0.190775673476044
high_leverage_month_count: 13
max_cooks_distance: 0.233116628843367
coef_intercept: -6.14123028829886
hac_se_intercept: 6.53826861754971
t_intercept: -0.939274699086982
p_intercept: 0.348475096849543
coef_GM2_YoY_lag: 3.33049581448228
hac_se_GM2_YoY_lag: 0.98217919333556
t_GM2_YoY_lag: 3.39092483029665
p_GM2_YoY_lag: 0.000806698049446331
coef_CI_zscore: -1.6459637914547
hac_se_CI_zscore: 0.581651826491991
t_CI_zscore: -2.82980937476238
p_CI_zscore: 0.00502676974569605
coef_GM2_x_CI_zscore: -1.10672981039161
hac_se_GM2_x_CI_zscore: 0.323212926519275
t_GM2_x_CI_zscore: -3.4241508293314
p_GM2_x_CI_zscore: 0.000718043413778346
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-09;2015-10;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.214265151107989
full_r2: 0.227609866651551
test_rmse: 23.9033425480741
test_mae: 18.3196548368126
test_r2: 0.272432546301326
high_leverage_month_count: 14
max_cooks_distance: 0.318821629657457
coef_intercept: -15.2652786396779
hac_se_intercept: 6.17257991550756
t_intercept: -2.4730791417259
p_intercept: 0.0140453612269995
coef_GM2_YoY_lag: 3.46919072782543
hac_se_GM2_YoY_lag: 1.04047946523799
t_GM2_YoY_lag: 3.33422315742861
p_GM2_YoY_lag: 0.000981963548210452
coef_CI_monthly_change: 3.79592397706241e-05
hac_se_CI_monthly_change: 0.000373293368591474
t_CI_monthly_change: 0.101687420577155
p_CI_monthly_change: 0.919084387666532
coef_GM2_x_CI_monthly_change: -7.85665057452256e-05
hac_se_GM2_x_CI_monthly_change: 5.75742544217832e-05
t_GM2_x_CI_monthly_change: -1.36461177889783
p_GM2_x_CI_monthly_change: 0.173573369094962
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-07;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.259928104588673
full_r2: 0.270672728763631
test_rmse: 23.8923962902558
test_mae: 19.6196984601199
test_r2: 0.273098755838297
high_leverage_month_count: 15
max_cooks_distance: 1.09685747065084
coef_intercept: -7.51935896083446
hac_se_intercept: 6.91376110534742
t_intercept: -1.08759311267186
p_intercept: 0.277797670295794
coef_GM2_YoY_lag: 2.98358241345831
hac_se_GM2_YoY_lag: 1.13712965530685
t_GM2_YoY_lag: 2.62378383989397
p_GM2_YoY_lag: 0.00921808382388689
coef_CI_zscore: -3.37223866505512
hac_se_CI_zscore: 1.03552619606375
t_CI_zscore: -3.25654597428215
p_CI_zscore: 0.00128002927904514
coef_CI_monthly_change: -0.000418404579813014
hac_se_CI_monthly_change: 0.000224919745928805
t_CI_monthly_change: -1.86023942933607
p_CI_monthly_change: 0.063998408049015
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-07;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.322794324436916
full_r2: 0.327196715262134
test_rmse: 24.21368310182
test_mae: 19.7435130772106
test_r2: 0.162181108811316
high_leverage_month_count: 17
max_cooks_distance: 0.175451652096576
coef_intercept: -5.97344638542864
hac_se_intercept: 5.75991422399057
t_intercept: -1.03707210787076
p_intercept: 0.300692422743859
coef_GM2_YoY_lag: 3.17923740745396
hac_se_GM2_YoY_lag: 0.866576472056821
t_GM2_YoY_lag: 3.66873266234431
p_GM2_YoY_lag: 0.000297192375636968
coef_CI_zscore: -0.863906899380272
hac_se_CI_zscore: 0.865496782961409
t_CI_zscore: -0.998163039294385
p_CI_zscore: 0.319154010541297
coef_CI_monthly_change: 1.92153462733602e-05
hac_se_CI_monthly_change: 0.000356335332276186
t_CI_monthly_change: 0.0539248975132976
p_CI_monthly_change: 0.957037556330103
coef_GM2_x_CI_zscore: -1.03684052157247
hac_se_GM2_x_CI_zscore: 0.332474868090664
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-09;2015-10;2015-11;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.313768239327429
full_r2: 0.318727017211291
test_rmse: 24.4469611818404
test_mae: 19.6980979808944
test_r2: 0.145960011592522
high_leverage_month_count: 16
max_cooks_distance: 0.239571670126125
coef_intercept: -5.63367624813587
hac_se_intercept: 6.21082794714771
t_intercept: -0.907073307468307
p_intercept: 0.365224390100349
coef_GM2_YoY_lag: 3.18434390513772
hac_se_GM2_YoY_lag: 0.925297925134134
t_GM2_YoY_lag: 3.44142553294509
p_GM2_YoY_lag: 0.000676030616899359
coef_CI_zscore: -0.692207997103942
hac_se_CI_zscore: 0.925064576705561
t_CI_zscore: -0.74828073037788
p_CI_zscore: 0.454980419996036
coef_GM2_x_CI_zscore: -1.15479331543137
hac_se_GM2_x_CI_zscore: 0.347431984752653
t_GM2_x_CI_zscore: -3.32379678932986
p_GM2_x_CI_zscore: 0.00101835319106147
high_leverage_months:
2005-08;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-09;2015-10;2015-11;2015-12;2021-03;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.18024406718137
full_r2: 0.200030006841326
test_rmse: 21.9922262007814
test_mae: 16.4047007438828
test_r2: 0.308858728400577
high_leverage_month_count: 15
max_cooks_distance: 0.221877435273934
coef_intercept: -13.4571359251287
hac_se_intercept: 6.09880896189935
t_intercept: -2.20651868409037
p_intercept: 0.0282393373783558
coef_GM2_YoY_lag: 3.18863020995958
hac_se_GM2_YoY_lag: 1.02808782086175
t_GM2_YoY_lag: 3.10151540097697
p_GM2_YoY_lag: 0.00214168607434773
coef_CI_monthly_change: 0.000174177395380337
hac_se_CI_monthly_change: 0.000384374026434603
t_CI_monthly_change: 0.453145591017117
p_CI_monthly_change: 0.650829248431945
coef_GM2_x_CI_monthly_change: -9.81779794697601e-05
hac_se_GM2_x_CI_monthly_change: 5.78784250562932e-05
t_GM2_x_CI_monthly_change: -1.69627938863698
p_GM2_x_CI_monthly_change: 0.0910533414697285
high_leverage_months:
2008-06;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.238085106999596
full_r2: 0.245966465294327
test_rmse: 24.6663707510155
test_mae: 20.9212623879516
test_r2: 0.130561334811852
high_leverage_month_count: 13
max_cooks_distance: 1.11987355285805
coef_intercept: -5.10597905722989
hac_se_intercept: 7.00724857723573
t_intercept: -0.728671032709979
p_intercept: 0.466871576159761
coef_GM2_YoY_lag: 2.67049282476431
hac_se_GM2_YoY_lag: 1.148496418762
t_GM2_YoY_lag: 2.32520779441604
p_GM2_YoY_lag: 0.0208461249924794
coef_CI_zscore: -3.60429543959871
hac_se_CI_zscore: 1.03685738436936
t_CI_zscore: -3.47617280248326
p_CI_zscore: 0.000597687456754814
coef_CI_monthly_change: -0.000413776922485454
hac_se_CI_monthly_change: 0.000232034514568244
t_CI_monthly_change: -1.78325592317757
p_CI_monthly_change: 0.0757340076423316
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.29944005963967
full_r2: 0.307168063908837
test_rmse: 24.082518420344
test_mae: 19.9889659770615
test_r2: 0.171233396006838
high_leverage_month_count: 19
max_cooks_distance: 0.26095514783306
coef_intercept: -4.94139339572601
hac_se_intercept: 5.47513934921972
t_intercept: -0.902514635801959
p_intercept: 0.367645386881573
coef_GM2_YoY_lag: 2.9960725347841
hac_se_GM2_YoY_lag: 0.790760530382213
t_GM2_YoY_lag: 3.78884936674311
p_GM2_YoY_lag: 0.000189358034593745
coef_CI_zscore: -0.197710347302213
hac_se_CI_zscore: 1.18132896113676
t_CI_zscore: -0.167362651561477
p_CI_zscore: 0.867218935060113
coef_CI_monthly_change: 2.00065901528879e-06
hac_se_CI_monthly_change: 0.000380557278410889
t_CI_monthly_change: 0.00525718237118741
p_CI_monthly_change: 0.995809553991472
coef_GM2_x_CI_zscore: -1.05327314902007
hac_se_GM2_x_CI_zscore: 0.335031775005402
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-10;2015-11;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.288053801561559
full_r2: 0.297310922945313
test_rmse: 24.1880644477184
test_mae: 19.8773605651159
test_r2: 0.163953035674393
high_leverage_month_count: 15
max_cooks_distance: 0.398582047775494
coef_intercept: -4.66136809931855
hac_se_intercept: 5.86794984451743
t_intercept: -0.79437763151193
p_intercept: 0.427717189909824
coef_GM2_YoY_lag: 2.9958199269006
hac_se_GM2_YoY_lag: 0.853967794246613
t_GM2_YoY_lag: 3.50811815982307
p_GM2_YoY_lag: 0.000533578771366283
coef_CI_zscore: 0.040338705541119
hac_se_CI_zscore: 1.2701008688596
t_CI_zscore: 0.0317602377339828
p_CI_zscore: 0.974688198471906
coef_GM2_x_CI_zscore: -1.16619747790177
hac_se_GM2_x_CI_zscore: 0.354733390536328
t_GM2_x_CI_zscore: -3.28753229612406
p_GM2_x_CI_zscore: 0.00115342168376631
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-08;2015-09;2015-10;2015-11;2015-12;2021-04;2021-05


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.144090654317483
full_r2: 0.167656552599662
test_rmse: 21.9317493279173
test_mae: 17.2959136322182
test_r2: 0.312654668998712
high_leverage_month_count: 17
max_cooks_distance: 0.169881328378221
coef_intercept: -11.1731525577237
hac_se_intercept: 6.14259129736107
t_intercept: -1.81896401971654
p_intercept: 0.070094390370111
coef_GM2_YoY_lag: 2.87016578735143
hac_se_GM2_YoY_lag: 1.0266697376636
t_GM2_YoY_lag: 2.79560766433331
p_GM2_YoY_lag: 0.00557590019432896
coef_CI_monthly_change: 0.000184099159962536
hac_se_CI_monthly_change: 0.000418919415866116
t_CI_monthly_change: 0.439461989561671
p_CI_monthly_change: 0.660700468361913
coef_GM2_x_CI_monthly_change: -0.000100510153682176
hac_se_GM2_x_CI_monthly_change: 6.08113945704202e-05
t_GM2_x_CI_monthly_change: -1.65281777193556
p_GM2_x_CI_monthly_change: 0.0996034356314015
high_leverage_months:
2008-06;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-09;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.218125552684511
full_r2: 0.223349770183229
test_rmse: 26.3725081976787
test_mae: 22.7196959681191
test_r2: 0.00612603976706849
high_leverage_month_count: 15
max_cooks_distance: 1.18778346628807
coef_intercept: -2.7031283526259
hac_se_intercept: 7.0124690277529
t_intercept: -0.385474551392365
p_intercept: 0.700208483382975
coef_GM2_YoY_lag: 2.36844911583311
hac_se_GM2_YoY_lag: 1.13179542506717
t_GM2_YoY_lag: 2.0926477200529
p_GM2_YoY_lag: 0.0373731457975257
coef_CI_zscore: -3.82460051453542
hac_se_CI_zscore: 1.04654022072425
t_CI_zscore: -3.65451842059986
p_CI_zscore: 0.000313035512157889
coef_CI_monthly_change: -0.000419197473604971
hac_se_CI_monthly_change: 0.000233514367611006
t_CI_monthly_change: -1.79516780013845
p_CI_monthly_change: 0.0738157148648289
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;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.281488012322706
full_r2: 0.292076364779686
test_rmse: 23.953508910822
test_mae: 19.7607935278339
test_r2: 0.180088980833711
high_leverage_month_count: 20
max_cooks_distance: 0.287661542824516
coef_intercept: -4.00424768464727
hac_se_intercept: 5.41308452355368
t_intercept: -0.739734926957779
p_intercept: 0.460152146119894
coef_GM2_YoY_lag: 2.8445238733685
hac_se_GM2_YoY_lag: 0.765337225731593
t_GM2_YoY_lag: 3.71669347541458
p_GM2_YoY_lag: 0.000248896948367383
coef_CI_zscore: 0.433183771639459
hac_se_CI_zscore: 1.45799091338682
t_CI_zscore: 0.297110062663698
p_CI_zscore: 0.766628213807003
coef_CI_monthly_change: -0.000104178591222248
hac_se_CI_monthly_change: 0.000405269634937089
t_CI_monthly_change: -0.257059947850324
p_CI_monthly_change: 0.797343093235502
coef_GM2_x_CI_zscore: -1.07715093944896
hac_se_GM2_x_CI_zscore: 0.336321257865577
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-11;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-12


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 10
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.269963026810171
full_r2: 0.281981201280867
test_rmse: 23.8819906248808
test_mae: 19.5866050730249
test_r2: 0.184977708568161
high_leverage_month_count: 15
max_cooks_distance: 0.474271903152271
coef_intercept: -3.87098553585023
hac_se_intercept: 5.62152052765456
t_intercept: -0.688601156361035
p_intercept: 0.491705233171532
coef_GM2_YoY_lag: 2.84855878552176
hac_se_GM2_YoY_lag: 0.804827382894239
t_GM2_YoY_lag: 3.53934128741751
p_GM2_YoY_lag: 0.000477219570756526
coef_CI_zscore: 0.666669722752344
hac_se_CI_zscore: 1.5598410156321
t_CI_zscore: 0.427395943606591
p_CI_zscore: 0.669454488014028
coef_GM2_x_CI_zscore: -1.17047802944813
hac_se_GM2_x_CI_zscore: 0.354542275509868
t_GM2_x_CI_zscore: -3.30137789002699
p_GM2_x_CI_zscore: 0.00110078607032515
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-05;2015-08;2015-11;2015-12;2016-01;2021-04;2021-05;2021-12


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 10
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.11273175928834
full_r2: 0.140742912918696
test_rmse: 21.6651483049901
test_mae: 17.4683269809508
test_r2: 0.329263758960015
high_leverage_month_count: 17
max_cooks_distance: 0.130641313854888
coef_intercept: -9.02876208175679
hac_se_intercept: 6.31679914696158
t_intercept: -1.42932549724961
p_intercept: 0.154144277002385
coef_GM2_YoY_lag: 2.57187167243088
hac_se_GM2_YoY_lag: 1.05003019214769
t_GM2_YoY_lag: 2.44933116367872
p_GM2_YoY_lag: 0.0149910722138553
coef_CI_monthly_change: 0.000104996420960957
hac_se_CI_monthly_change: 0.000444086452410434
t_CI_monthly_change: 0.236432389213974
p_CI_monthly_change: 0.813288470485006
coef_GM2_x_CI_monthly_change: -9.26394846465506e-05
hac_se_GM2_x_CI_monthly_change: 6.28061715185397e-05
t_GM2_x_CI_monthly_change: -1.47500607673888
p_GM2_x_CI_monthly_change: 0.141454238432546
high_leverage_months:
2008-06;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.259032806617985
full_r2: 0.270218688622634
test_rmse: 24.1293387515582
test_mae: 19.9971667358254
test_r2: 0.168007749418386
high_leverage_month_count: 18
max_cooks_distance: 0.497188912437463
coef_intercept: -3.1097064517296
hac_se_intercept: 5.35790767885821
t_intercept: -0.580395676469046
p_intercept: 0.562170589913709
coef_GM2_YoY_lag: 2.64661511696109
hac_se_GM2_YoY_lag: 0.742461011780735
t_GM2_YoY_lag: 3.56465198167564
p_GM2_YoY_lag: 0.00043635750976545
coef_CI_zscore: 1.24393580131284
hac_se_CI_zscore: 1.97058370550205
t_CI_zscore: 0.631252454711595
p_CI_zscore: 0.52845218725839
coef_CI_monthly_change: -0.000209209650051168
hac_se_CI_monthly_change: 0.000420778421617431
t_CI_monthly_change: -0.497196717566899
p_CI_monthly_change: 0.619487311566092
coef_GM2_x_CI_zscore: -1.07856563991031
hac_se_GM2_x_CI_zscore: 0.36367761217369
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


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.245228816682299
full_r2: 0.258928790920457
test_rmse: 23.6777952798386
test_mae: 19.5302730556954
test_r2: 0.198855302273236
high_leverage_month_count: 17
max_cooks_distance: 0.870828651679091
coef_intercept: -3.05591596003226
hac_se_intercept: 5.48039014548901
t_intercept: -0.557609199145727
p_intercept: 0.577606254519988
coef_GM2_YoY_lag: 2.6502122769339
hac_se_GM2_YoY_lag: 0.767631678997523
t_GM2_YoY_lag: 3.45245297900539
p_GM2_YoY_lag: 0.000651366759893302
coef_CI_zscore: 1.41049221834984
hac_se_CI_zscore: 2.05545825064823
t_CI_zscore: 0.686217887376216
p_CI_zscore: 0.493206600036285
coef_GM2_x_CI_zscore: -1.14264380790892
hac_se_GM2_x_CI_zscore: 0.373133204440987
t_GM2_x_CI_zscore: -3.0622946291279
p_GM2_x_CI_zscore: 0.00243449893186498
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-09;2015-11;2015-12;2016-01;2016-02;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0834309332718501
full_r2: 0.111914693054802
test_rmse: 22.2681951731791
test_mae: 17.8779584358717
test_r2: 0.29140435587515
high_leverage_month_count: 16
max_cooks_distance: 0.147396297797962
coef_intercept: -6.83544213162223
hac_se_intercept: 6.53839825272719
t_intercept: -1.0454306800249
p_intercept: 0.296825713321187
coef_GM2_YoY_lag: 2.24767900600907
hac_se_GM2_YoY_lag: 1.08812468427444
t_GM2_YoY_lag: 2.06564471745975
p_GM2_YoY_lag: 0.0398844808540386
coef_CI_monthly_change: -1.32429466423445e-05
hac_se_CI_monthly_change: 0.000443244228989707
t_CI_monthly_change: -0.0298773131745659
p_CI_monthly_change: 0.976188547433257
coef_GM2_x_CI_monthly_change: -7.75301844440079e-05
hac_se_GM2_x_CI_monthly_change: 6.53681146752565e-05
t_GM2_x_CI_monthly_change: -1.18605507944005
p_GM2_x_CI_monthly_change: 0.236717618732076
high_leverage_months:
2008-06;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.198457694384179
full_r2: 0.193222812056372
test_rmse: 29.4275486772083
test_mae: 26.0479840827737
test_r2: -0.237475512169619
high_leverage_month_count: 15
max_cooks_distance: 1.32125044921178
coef_intercept: 0.94958589084017
hac_se_intercept: 6.9644237829053
t_intercept: 0.136348091448857
p_intercept: 0.891654968300513
coef_GM2_YoY_lag: 1.90111636629149
hac_se_GM2_YoY_lag: 1.08565647694961
t_GM2_YoY_lag: 1.75112147042414
p_GM2_YoY_lag: 0.0811416774451348
coef_CI_zscore: -4.17787643911339
hac_se_CI_zscore: 1.06473081351967
t_CI_zscore: -3.92388046449283
p_CI_zscore: 0.000112446050808623
coef_CI_monthly_change: -0.000414035365699839
hac_se_CI_monthly_change: 0.000231664266879321
t_CI_monthly_change: -1.78722153086958
p_CI_monthly_change: 0.0751034588585957
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;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.229973999828147
full_r2: 0.239512273990203
test_rmse: 25.2700999130925
test_mae: 21.1014486274308
test_r2: 0.0874800706112171
high_leverage_month_count: 17
max_cooks_distance: 0.90895368967544
coef_intercept: -1.72338091662851
hac_se_intercept: 5.43216904289352
t_intercept: -0.317254655188442
p_intercept: 0.751316236632749
coef_GM2_YoY_lag: 2.32556734233569
hac_se_GM2_YoY_lag: 0.718416054115031
t_GM2_YoY_lag: 3.23707596596015
p_GM2_YoY_lag: 0.00137155784907539
coef_CI_zscore: 1.84131037828759
hac_se_CI_zscore: 2.57498238581816
t_CI_zscore: 0.715076883022072
p_CI_zscore: 0.475231456705221
coef_CI_monthly_change: -0.0002574618923743
hac_se_CI_monthly_change: 0.000452362869023954
t_CI_monthly_change: -0.569149039420091
p_CI_monthly_change: 0.569768030076091
coef_GM2_x_CI_zscore: -1.0139793963994
hac_se_GM2_x_CI_zscore: 0.395695852993658
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;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.211599801622466
full_r2: 0.225999752924553
test_rmse: 24.28398675304
test_mae: 20.0496567666236
test_r2: 0.157308885407709
high_leverage_month_count: 16
max_cooks_distance: 1.5702532952891
coef_intercept: -1.76578832161722
hac_se_intercept: 5.55949134369932
t_intercept: -0.317616884792604
p_intercept: 0.751039628656475
coef_GM2_YoY_lag: 2.33980504348556
hac_se_GM2_YoY_lag: 0.738254413986859
t_GM2_YoY_lag: 3.1693749460294
p_GM2_YoY_lag: 0.00171724707545851
coef_CI_zscore: 1.87098607927387
hac_se_CI_zscore: 2.6605438051865
t_CI_zscore: 0.703234457416766
p_CI_zscore: 0.482561421396541
coef_GM2_x_CI_zscore: -1.04584305141807
hac_se_GM2_x_CI_zscore: 0.4060490923065
t_GM2_x_CI_zscore: -2.57565666623541
p_GM2_x_CI_zscore: 0.0105781117730079
high_leverage_months:
2008-11;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-10;2015-11;2015-12;2016-01;2016-02;2021-04;2021-10


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0590479295615989
full_r2: 0.0837649155216976
test_rmse: 23.8755084658062
test_mae: 19.3022362345484
test_r2: 0.185420082677024
high_leverage_month_count: 15
max_cooks_distance: 0.171347308482811
coef_intercept: -4.36467052262052
hac_se_intercept: 6.78293101539398
t_intercept: -0.643478536449041
p_intercept: 0.520501109300052
coef_GM2_YoY_lag: 1.86727227600071
hac_se_GM2_YoY_lag: 1.09975086181165
t_GM2_YoY_lag: 1.6979048081169
p_GM2_YoY_lag: 0.0907650727350755
coef_CI_monthly_change: -0.000128118819505862
hac_se_CI_monthly_change: 0.000464825962919936
t_CI_monthly_change: -0.275627503035862
p_CI_monthly_change: 0.783060961996341
coef_GM2_x_CI_monthly_change: -5.96179444418699e-05
hac_se_GM2_x_CI_monthly_change: 7.07731338008769e-05
t_GM2_x_CI_monthly_change: -0.84238101720361
p_GM2_x_CI_monthly_change: 0.400376654802665
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-02;2020-04;2021-03;2021-04;2021-05;2021-06;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.192751111151932
full_r2: 0.178204766287724
test_rmse: 31.2241919302572
test_mae: 27.9735867544503
test_r2: -0.393191627181094
high_leverage_month_count: 15
max_cooks_distance: 1.34241656927744
coef_intercept: 3.10374688254275
hac_se_intercept: 7.03622147956588
t_intercept: 0.441109889953925
p_intercept: 0.659513161096732
coef_GM2_YoY_lag: 1.6098063706909
hac_se_GM2_YoY_lag: 1.05150563150124
t_GM2_YoY_lag: 1.530953636827
p_GM2_YoY_lag: 0.127040188926131
coef_CI_zscore: -4.32105727162942
hac_se_CI_zscore: 1.07361629602149
t_CI_zscore: -4.02476870707159
p_CI_zscore: 7.55532474674414e-05
coef_CI_monthly_change: -0.0003963423208031
hac_se_CI_monthly_change: 0.00023598257317166
t_CI_monthly_change: -1.67954063503999
p_CI_monthly_change: 0.0942909826823239
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;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.214960669905253
full_r2: 0.213330856275304
test_rmse: 27.3680249354736
test_mae: 23.2565471447985
test_r2: -0.184960357000088
high_leverage_month_count: 15
max_cooks_distance: 1.6195545638332
coef_intercept: -0.0542053996319889
hac_se_intercept: 5.76906113022582
t_intercept: -0.00939587888018568
p_intercept: 0.992510837401203
coef_GM2_YoY_lag: 1.98934680826932
hac_se_GM2_YoY_lag: 0.720565159797996
t_GM2_YoY_lag: 2.76081459284962
p_GM2_YoY_lag: 0.00619657335765611
coef_CI_zscore: 1.9995746792376
hac_se_CI_zscore: 3.01703993166968
t_CI_zscore: 0.662760428938374
p_CI_zscore: 0.508099488734698
coef_CI_monthly_change: -0.00035300322536358
hac_se_CI_monthly_change: 0.000446196243292555
t_CI_monthly_change: -0.791138945408215
p_CI_monthly_change: 0.429618871229428
coef_GM2_x_CI_zscore: -0.924280659864801
hac_se_GM2_x_CI_zscore: 0.425298267532817
high_leverage_months:
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: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.192331748585993
full_r2: 0.197037706317731
test_rmse: 26.1754712316837
test_mae: 22.0525389045231
test_r2: -0.0839417027974061
high_leverage_month_count: 15
max_cooks_distance: 2.70541837174396
coef_intercept: -0.157252883126965
hac_se_intercept: 5.88738999788005
t_intercept: -0.0267101182669382
p_intercept: 0.978712251273843
coef_GM2_YoY_lag: 2.01384042481783
hac_se_GM2_YoY_lag: 0.73685785623982
t_GM2_YoY_lag: 2.73301072624026
p_GM2_YoY_lag: 0.00672394255586983
coef_CI_zscore: 1.72707486662805
hac_se_CI_zscore: 3.1029214727922
t_CI_zscore: 0.556596382400202
p_CI_zscore: 0.578301110557704
coef_GM2_x_CI_zscore: -0.910265282366852
hac_se_GM2_x_CI_zscore: 0.440351332336881
t_GM2_x_CI_zscore: -2.06713416202514
p_GM2_x_CI_zscore: 0.0397509478854203
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2015-11;2015-12;2016-01;2016-02;2021-04;2021-10


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0482572408669919
full_r2: 0.0644045833395105
test_rmse: 24.9035305952566
test_mae: 20.3709949871218
test_r2: 0.0188424479344749
high_leverage_month_count: 19
max_cooks_distance: 0.131961407490013
coef_intercept: -2.00931930434662
hac_se_intercept: 7.07561985704154
t_intercept: -0.283977848576331
p_intercept: 0.776662408127575
coef_GM2_YoY_lag: 1.52209567152102
hac_se_GM2_YoY_lag: 1.09632118141336
t_GM2_YoY_lag: 1.38836656385564
p_GM2_YoY_lag: 0.166261287464861
coef_CI_monthly_change: -0.000313431767178463
hac_se_CI_monthly_change: 0.000451342809443186
t_CI_monthly_change: -0.694442806267674
p_CI_monthly_change: 0.488049394795282
coef_GM2_x_CI_monthly_change: -3.22047547302029e-05
hac_se_GM2_x_CI_monthly_change: 6.97076436933636e-05
t_GM2_x_CI_monthly_change: -0.46199746575667
p_GM2_x_CI_monthly_change: 0.644484918815113
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-02;2020-04;2021-03;2021-04;2021-06;2021-07;2021-09;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.194492687180646
full_r2: 0.168223531281953
test_rmse: 32.5050596338778
test_mae: 29.2596607937494
test_r2: -0.671547959495939
high_leverage_month_count: 15
max_cooks_distance: 1.3382078887505
coef_intercept: 4.81848163720963
hac_se_intercept: 7.26485322248841
t_intercept: 0.663259323986613
p_intercept: 0.507775588580587
coef_GM2_YoY_lag: 1.36866816737451
hac_se_GM2_YoY_lag: 1.02797291441853
t_GM2_YoY_lag: 1.33142434803226
p_GM2_YoY_lag: 0.184262182112235
coef_CI_zscore: -4.40306360256858
hac_se_CI_zscore: 1.08094522509889
t_CI_zscore: -4.07334571663035
p_CI_zscore: 6.22535460610418e-05
coef_CI_monthly_change: -0.000398993355652077
hac_se_CI_monthly_change: 0.000240194804980968
t_CI_monthly_change: -1.66112400176054
p_CI_monthly_change: 0.0979420676217069
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.217747192952583
full_r2: 0.206528392448534
test_rmse: 28.990286162474
test_mae: 24.7127585528418
test_r2: -0.329602772531288
high_leverage_month_count: 16
max_cooks_distance: 1.08333127050453
coef_intercept: 1.71008159756301
hac_se_intercept: 6.24672894327724
t_intercept: 0.273756331208096
p_intercept: 0.784500668432484
coef_GM2_YoY_lag: 1.75499504486583
hac_se_GM2_YoY_lag: 0.700952955188379
t_GM2_YoY_lag: 2.50372729278841
p_GM2_YoY_lag: 0.0129353354331354
coef_CI_zscore: 2.5277718209843
hac_se_CI_zscore: 3.13772077268796
t_CI_zscore: 0.805607638189824
p_CI_zscore: 0.421243985374353
coef_CI_monthly_change: -0.00055313821305869
hac_se_CI_monthly_change: 0.00043432864266677
t_CI_monthly_change: -1.27354762896233
p_CI_monthly_change: 0.204020948404275
coef_GM2_x_CI_zscore: -1.00161078078426
hac_se_GM2_x_CI_zscore: 0.416307033897774
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-09;2015-08;2015-12;2017-02;2019-07;2020-04;2021-03;2021-04;2021-10


target: WTI_YoY
family: interaction
model: interaction_zscore
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.190255803439322
full_r2: 0.188577754328737
test_rmse: 27.1668877251285
test_mae: 22.9183456248826
test_r2: -0.16760698199987
high_leverage_month_count: 13
max_cooks_distance: 1.86991526421534
coef_intercept: 1.46015486571707
hac_se_intercept: 6.3603048482569
t_intercept: 0.229573094459024
p_intercept: 0.818611983171208
coef_GM2_YoY_lag: 1.79115925357449
hac_se_GM2_YoY_lag: 0.711117447538255
t_GM2_YoY_lag: 2.51879525636043
p_GM2_YoY_lag: 0.0124031355351335
coef_CI_zscore: 2.03868202256837
hac_se_CI_zscore: 3.20463654955369
t_CI_zscore: 0.636166376761915
p_CI_zscore: 0.525252299967663
coef_GM2_x_CI_zscore: -0.957372427547907
hac_se_GM2_x_CI_zscore: 0.423613234142865
t_GM2_x_CI_zscore: -2.2600153875859
p_GM2_x_CI_zscore: 0.0246847972879627
high_leverage_months:
2009-01;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2015-12;2016-01;2016-02;2021-04;2021-10


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0449425803453662
full_r2: 0.0525001252469527
test_rmse: 26.6881424672648
test_mae: 22.3136427235591
test_r2: -0.126817549191854
high_leverage_month_count: 19
max_cooks_distance: 0.103036103092789
coef_intercept: -0.0402861127091325
hac_se_intercept: 7.34389331144357
t_intercept: -0.0054856614878047
p_intercept: 0.995627489696599
coef_GM2_YoY_lag: 1.2563755690178
hac_se_GM2_YoY_lag: 1.0749095309074
t_GM2_YoY_lag: 1.16881982426671
p_GM2_YoY_lag: 0.243593986177113
coef_CI_monthly_change: -0.000559138995626207
hac_se_CI_monthly_change: 0.000443564558543774
t_CI_monthly_change: -1.26055832202164
p_CI_monthly_change: 0.208647969468526
coef_GM2_x_CI_monthly_change: 7.07860070958688e-06
hac_se_GM2_x_CI_monthly_change: 6.78603612241251e-05
t_GM2_x_CI_monthly_change: 0.104311273649253
p_GM2_x_CI_monthly_change: 0.917006302465533
high_leverage_months:
2008-06;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2010-02;2017-02;2019-07;2020-04;2021-03;2021-04;2021-07;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.19351840200627
full_r2: 0.159844529374176
test_rmse: 33.6405158778868
test_mae: 30.4657954495254
test_r2: -0.790367566010757
high_leverage_month_count: 16
max_cooks_distance: 1.37904932205725
coef_intercept: 6.40602402219559
hac_se_intercept: 7.50481708425378
t_intercept: 0.853588295394484
p_intercept: 0.394153541536125
coef_GM2_YoY_lag: 1.14563744638884
hac_se_GM2_YoY_lag: 0.999970510745753
t_GM2_YoY_lag: 1.14567123137906
p_GM2_YoY_lag: 0.253031098876328
coef_CI_zscore: -4.4365640286364
hac_se_CI_zscore: 1.09897722948625
t_CI_zscore: -4.03699358785662
p_CI_zscore: 7.21098974219014e-05
coef_CI_monthly_change: -0.000403913566975778
hac_se_CI_monthly_change: 0.000243436299536413
t_CI_monthly_change: -1.65921667288309
p_CI_monthly_change: 0.0983311023810864
high_leverage_months:
2009-01;2009-03;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;2021-11


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 15
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.205291626315992
full_r2: 0.189077542093476
test_rmse: 30.4039822999532
test_mae: 26.3468851821386
test_r2: -0.46243930077258
high_leverage_month_count: 15
max_cooks_distance: 1.83736385950422
coef_intercept: 2.8596954182799
hac_se_intercept: 6.3554661941295
t_intercept: 0.449958402881818
p_intercept: 0.653136678167393
coef_GM2_YoY_lag: 1.54468069054296
hac_se_GM2_YoY_lag: 0.700023017644051
t_GM2_YoY_lag: 2.20661414212011
p_GM2_YoY_lag: 0.0282653358647449
coef_CI_zscore: 1.65481659770327
hac_se_CI_zscore: 3.07719600333362
t_CI_zscore: 0.5377676936765
p_CI_zscore: 0.591223595017144
coef_CI_monthly_change: -0.000589491166605671
hac_se_CI_monthly_change: 0.000457937270704099
t_CI_monthly_change: -1.28727492675864
p_CI_monthly_change: 0.199208307327728
coef_GM2_x_CI_zscore: -0.833907037480484
hac_se_GM2_x_CI_zscore: 0.414962619795857
high_leverage_months:
2008-06;2009-01;2009-02;2009-04;2009-05;2009-06;2009-07;2009-09;2015-08;2017-02;2019-07;2020-04;2021-03;2021-04;2021-10


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 15
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0433686130473088
full_r2: 0.0480431017434965
test_rmse: 27.1248897815517
test_mae: 22.8658309857432
test_r2: -0.163999709143515
high_leverage_month_count: 17
max_cooks_distance: 0.0939801969043965
coef_intercept: 0.685943068146591
hac_se_intercept: 7.22565889629545
t_intercept: 0.094931559597737
p_intercept: 0.924445846693936
coef_GM2_YoY_lag: 1.13821828950876
hac_se_GM2_YoY_lag: 1.01862425453677
t_GM2_YoY_lag: 1.11740740949309
p_GM2_YoY_lag: 0.264901495671955
coef_CI_monthly_change: -0.000627429827918413
hac_se_CI_monthly_change: 0.000477506243032189
t_CI_monthly_change: -1.31397198900312
p_CI_monthly_change: 0.19006973751601
coef_GM2_x_CI_monthly_change: 1.64754798710476e-05
hac_se_GM2_x_CI_monthly_change: 7.02106817533707e-05
t_GM2_x_CI_monthly_change: 0.234657739529165
p_GM2_x_CI_monthly_change: 0.814668013466864
high_leverage_months:
2008-06;2009-01;2009-02;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-02;2019-07;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 15
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.193699100361273
full_r2: 0.156977516936533
test_rmse: 33.8823018550769
test_mae: 30.7305668898388
test_r2: -0.816196029678877
high_leverage_month_count: 14
max_cooks_distance: 1.38048728580911
coef_intercept: 7.04015314875787
hac_se_intercept: 7.37557042899221
t_intercept: 0.954523208277441
p_intercept: 0.34074832865841
coef_GM2_YoY_lag: 1.04244001032356
hac_se_GM2_YoY_lag: 0.945777796305738
t_GM2_YoY_lag: 1.10220393669146
p_GM2_YoY_lag: 0.27144151158354
coef_CI_zscore: -4.46752424297123
hac_se_CI_zscore: 1.11092034012697
t_CI_zscore: -4.02146227915913
p_CI_zscore: 7.68059701885537e-05
coef_CI_monthly_change: -0.000410689425753397
hac_se_CI_monthly_change: 0.000244868165607102
t_CI_monthly_change: -1.67718586340194
p_CI_monthly_change: 0.0947660365697993
high_leverage_months:
2009-02;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: WTI_YoY
family: interaction
model: interaction_change
lag_months: 16
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.0439642192204996
full_r2: 0.0476179527421624
test_rmse: 26.9891150783887
test_mae: 22.9641910788217
test_r2: -0.152375980955217
high_leverage_month_count: 17
max_cooks_distance: 0.0772304007818084
coef_intercept: 0.573686193618838
hac_se_intercept: 6.98506621117381
t_intercept: 0.0821303873542571
p_intercept: 0.934609544183732
coef_GM2_YoY_lag: 1.132765162494
hac_se_GM2_YoY_lag: 0.954269611079594
t_GM2_YoY_lag: 1.18704939289901
p_GM2_YoY_lag: 0.236348523879385
coef_CI_monthly_change: -0.00069463467490985
hac_se_CI_monthly_change: 0.000486064275094984
t_CI_monthly_change: -1.42910045132222
p_CI_monthly_change: 0.154238817117136
coef_GM2_x_CI_monthly_change: 2.70198474361383e-05
hac_se_GM2_x_CI_monthly_change: 6.90772114734549e-05
t_GM2_x_CI_monthly_change: 0.391154287496413
p_GM2_x_CI_monthly_change: 0.696020394877223
high_leverage_months:
2008-06;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-02;2019-07;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: interaction
model: interaction_selected_p10
lag_months: 16
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.193551551785251
full_r2: 0.156581369661242
test_rmse: 33.525614294848
test_mae: 30.3447133000576
test_r2: -0.778158196252837
high_leverage_month_count: 13
max_cooks_distance: 1.41328626954268
coef_intercept: 7.01226625768586
hac_se_intercept: 7.16451507958456
t_intercept: 0.978749598513299
p_intercept: 0.328661367869966
coef_GM2_YoY_lag: 1.02773695649815
hac_se_GM2_YoY_lag: 0.890684524678907
t_GM2_YoY_lag: 1.15387314814822
p_GM2_YoY_lag: 0.249667439242895
coef_CI_zscore: -4.47508022953385
hac_se_CI_zscore: 1.12527924822024
t_CI_zscore: -3.97686195369877
p_CI_zscore: 9.17706339456092e-05
coef_CI_monthly_change: -0.000411991870485684
hac_se_CI_monthly_change: 0.000246269979856773
t_CI_monthly_change: -1.67292769798938
p_CI_monthly_change: 0.0956075674336105
high_leverage_months:
2009-02;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: WTI_YoY
family: interaction
model: interaction_change
lag_months: 17
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.0420015572784235
full_r2: 0.0483711523806425
test_rmse: 26.2101511576317
test_mae: 22.018225428765
test_r2: -0.0868158378877364
high_leverage_month_count: 15
max_cooks_distance: 0.0839051942488503
coef_intercept: 0.151093819183536
hac_se_intercept: 6.87620354546244
t_intercept: 0.0219734360951606
p_intercept: 0.982486957884009
coef_GM2_YoY_lag: 1.16600439129707
hac_se_GM2_YoY_lag: 0.899733554612059
t_GM2_YoY_lag: 1.29594409958381
p_GM2_YoY_lag: 0.196209314204706
coef_CI_monthly_change: -0.000615067816585019
hac_se_CI_monthly_change: 0.000474490788113525
t_CI_monthly_change: -1.29626924693396
p_CI_monthly_change: 0.196097484554965
coef_GM2_x_CI_monthly_change: 1.32887476931298e-05
hac_se_GM2_x_CI_monthly_change: 6.52530337004941e-05
t_GM2_x_CI_monthly_change: 0.203649500100241
p_GM2_x_CI_monthly_change: 0.838795769375964
high_leverage_months:
2008-06;2009-02;2009-04;2009-06;2009-07;2009-08;2009-09;2009-12;2010-02;2017-02;2019-07;2020-04;2021-03;2021-04;2021-10


target: WTI_YoY
family: interaction
model: interaction_full
lag_months: 18
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.216571431954307
full_r2: 0.191852901475686
test_rmse: 28.7126742995225
test_mae: 24.904346749756
test_r2: -0.500485056327979
high_leverage_month_count: 14
max_cooks_distance: 1.4137123467199
coef_intercept: 2.45135389961447
hac_se_intercept: 6.66842219866526
t_intercept: 0.3676062832532
p_intercept: 0.713486799455674
coef_GM2_YoY_lag: 1.61030560785056
hac_se_GM2_YoY_lag: 0.682927802745153
t_GM2_YoY_lag: 2.35794413608238
p_GM2_YoY_lag: 0.0191696780292825
coef_CI_zscore: 1.7354584745091
hac_se_CI_zscore: 2.73754125085811
t_CI_zscore: 0.633947880772611
p_CI_zscore: 0.526711123293193
coef_CI_monthly_change: -0.000418270524657288
hac_se_CI_monthly_change: 0.000476150920352361
t_CI_monthly_change: -0.87844107147322
p_CI_monthly_change: 0.38057215812817
coef_GM2_x_CI_zscore: -0.925538267748002
hac_se_GM2_x_CI_zscore: 0.393842716212427
high_leverage_months:
2008-06;2009-04;2009-06;2009-07;2009-09;2009-12;2010-01;2010-02;2015-08;2017-02;2019-07;2020-04;2021-03;2021-04


target: WTI_YoY
family: interaction
model: interaction_change
lag_months: 18
formula: WTI_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.0415467124663587
full_r2: 0.0474284035144756
test_rmse: 24.9727199197254
test_mae: 20.7137131191965
test_r2: -0.135052836042957
high_leverage_month_count: 14
max_cooks_distance: 0.119923128862876
coef_intercept: -0.0411007459689163
hac_se_intercept: 7.05038102713307
t_intercept: -0.00582957797752233
p_intercept: 0.995353439982745
coef_GM2_YoY_lag: 1.17446723814255
hac_se_GM2_YoY_lag: 0.87054224179517
t_GM2_YoY_lag: 1.3491214805621
p_GM2_YoY_lag: 0.178543458711748
coef_CI_monthly_change: -0.000491798972008489
hac_se_CI_monthly_change: 0.000493121750704752
t_CI_monthly_change: -0.997317541369099
p_CI_monthly_change: 0.31959438070613
coef_GM2_x_CI_monthly_change: -5.86174799788175e-06
hac_se_GM2_x_CI_monthly_change: 6.53183153421088e-05
t_GM2_x_CI_monthly_change: -0.0897412611942068
p_GM2_x_CI_monthly_change: 0.928566145587013
high_leverage_months:
2008-06;2009-02;2009-04;2009-06;2009-07;2009-09;2009-12;2010-01;2010-02;2017-02;2019-07;2020-04;2021-03;2021-04


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.382356030075551
full_r2: 0.299673188684443
test_rmse: 37.2486724336834
test_mae: 32.3486513848244
test_r2: -0.478783321128737
high_leverage_month_count: 11
high_leverage_months: 2015-03;2015-08;2017-02;2020-04;2020-05;2020-09;2021-01;2021-02;2021-03;2021-04;2021-05
max_cooks_distance: 0.162026281174519
coef_intercept: -1.12843286728937
hac_se_intercept: 6.73066699321246
t_intercept: -0.167655429755675
p_intercept: 0.866984692025458
coef_GM2_YoY_lag: 3.09333603724673
hac_se_GM2_YoY_lag: 0.760601907757641
t_GM2_YoY_lag: 4.06695803112868
p_GM2_YoY_lag: 6.31857803319313e-05
coef_CI_zscore: -2.01583731175362
hac_se_CI_zscore: 0.712483235661341
t_CI_zscore: -2.8293119204166
p_CI_zscore: 0.00502856119519235
coef_CI_monthly_change: -0.000397898052929779
hac_se_CI_monthly_change: 0.000304058711406713
t_CI_monthly_change: -1.30862244034688
p_CI_monthly_change: 0.191817827063102
coef_GM2_x_CI_zscore: -1.19465167172978
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_monthly_change


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 0
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.170221122398264
full_r2: 0.135381793156294
test_rmse: 33.9190505300701
test_mae: 27.7250381588103
test_r2: -0.226225433530727
high_leverage_month_count: 15
max_cooks_distance: 0.225367567963002
coef_intercept: -8.00522376101521
hac_se_intercept: 7.33261182241807
t_intercept: -1.09172883481173
p_intercept: 0.275955215009369
coef_GM2_YoY_lag: 2.69723455222945
hac_se_GM2_YoY_lag: 0.965722530926123
t_GM2_YoY_lag: 2.79297051259932
p_GM2_YoY_lag: 0.00560782858308762
coef_CI_monthly_change: -0.000409938750741967
hac_se_CI_monthly_change: 0.000319618934230519
t_CI_monthly_change: -1.28258593856116
p_CI_monthly_change: 0.200770734682848
coef_GM2_x_CI_monthly_change: 1.00402816416434e-05
hac_se_GM2_x_CI_monthly_change: 4.45703482317934e-05
t_GM2_x_CI_monthly_change: 0.225268189277492
p_GM2_x_CI_monthly_change: 0.821946251620073
high_leverage_months:
2008-06;2017-02;2020-04;2020-05;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 0
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.251295880230062
full_r2: 0.218253750359708
test_rmse: 32.0620889447528
test_mae: 28.1591632975578
test_r2: -0.0956367099304183
high_leverage_month_count: 14
max_cooks_distance: 1.30465876433856
coef_intercept: 0.0931519983655818
hac_se_intercept: 7.22417794870791
t_intercept: 0.0128944772715964
p_intercept: 0.989721831533725
coef_GM2_YoY_lag: 2.25383194902377
hac_se_GM2_YoY_lag: 0.898655249757428
t_GM2_YoY_lag: 2.5080050994329
p_GM2_YoY_lag: 0.0127489427809373
coef_CI_zscore: -4.02468918449293
hac_se_CI_zscore: 1.30260807006012
t_CI_zscore: -3.0897161448625
p_CI_zscore: 0.00222012433615015
coef_CI_monthly_change: -0.000287176747160556
hac_se_CI_monthly_change: 0.000281226004050848
t_CI_monthly_change: -1.02116000307223
p_CI_monthly_change: 0.30812421387679
coef_GM2_x_CI_monthly_change: 2.09501345516117e-06
high_leverage_months:
2008-06;2015-08;2017-02;2020-04;2020-05;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 1
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.225925745683567
full_r2: 0.189435276621315
test_rmse: 32.953067369088
test_mae: 26.7772312096278
test_r2: -0.219543799783594
high_leverage_month_count: 15
max_cooks_distance: 0.249389124603534
coef_intercept: -12.4391572559461
hac_se_intercept: 6.91514992061033
t_intercept: -1.79882683654793
p_intercept: 0.0731968911962644
coef_GM2_YoY_lag: 3.27669158678556
hac_se_GM2_YoY_lag: 0.913834700936269
t_GM2_YoY_lag: 3.58565020941799
p_GM2_YoY_lag: 0.000400995185024344
coef_CI_monthly_change: -0.000343520422756038
hac_se_CI_monthly_change: 0.000303929001203091
t_CI_monthly_change: -1.13026536262162
p_CI_monthly_change: 0.259398067102691
coef_GM2_x_CI_monthly_change: 5.05464496791674e-06
hac_se_GM2_x_CI_monthly_change: 4.00479833960505e-05
t_GM2_x_CI_monthly_change: 0.126214718926777
p_GM2_x_CI_monthly_change: 0.899658762209737
high_leverage_months:
2009-01;2009-02;2017-02;2020-04;2020-05;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 1
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.286653775981614
full_r2: 0.257985185533708
test_rmse: 30.2442252110166
test_mae: 26.4001475410004
test_r2: -0.0272842667758924
high_leverage_month_count: 14
max_cooks_distance: 1.37836439277339
coef_intercept: -4.54908199861034
hac_se_intercept: 6.90501447152331
t_intercept: -0.658808467001919
p_intercept: 0.51059732655527
coef_GM2_YoY_lag: 2.80799999636268
hac_se_GM2_YoY_lag: 0.87077535223494
t_GM2_YoY_lag: 3.22471230858297
p_GM2_YoY_lag: 0.00142100874329043
coef_CI_zscore: -3.68084121288412
hac_se_CI_zscore: 1.25092840133899
t_CI_zscore: -2.94248752282236
p_CI_zscore: 0.0035474677834002
coef_CI_monthly_change: -0.000242404419842579
hac_se_CI_monthly_change: 0.000236618024568822
t_CI_monthly_change: -1.0244545836451
p_CI_monthly_change: 0.306565546956444
high_leverage_months:
2009-01;2009-02;2015-08;2017-02;2020-04;2020-05;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.409064909465148
full_r2: 0.366743931533214
test_rmse: 30.7032049624716
test_mae: 27.2760185215977
test_r2: -0.0587005378103138
high_leverage_month_count: 14
max_cooks_distance: 0.263874346636297
coef_intercept: -7.90371888012348
hac_se_intercept: 6.62224620165133
t_intercept: -1.19351027422578
p_intercept: 0.233761664972604
coef_GM2_YoY_lag: 3.76848917533148
hac_se_GM2_YoY_lag: 0.818117539746412
t_GM2_YoY_lag: 4.60629309634357
p_GM2_YoY_lag: 6.43423285162648e-06
coef_CI_zscore: -2.13777003749728
hac_se_CI_zscore: 0.572450617101095
t_CI_zscore: -3.73441826008155
p_CI_zscore: 0.000231390421666866
coef_CI_monthly_change: -0.00018257448730935
hac_se_CI_monthly_change: 0.000288491731949484
t_CI_monthly_change: -0.632858647544603
p_CI_monthly_change: 0.527384304578893
coef_GM2_x_CI_zscore: -1.06880926704111
hac_se_GM2_x_CI_zscore: 0.349294577793456
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_monthly_change

high_leverage_months:
2008-09;2008-10;2008-11;2009-02;2015-08;2017-02;2020-04;2020-11;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 2
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.277065577285168
full_r2: 0.244111070975298
test_rmse: 31.8557162193026
test_mae: 25.6632858856009
test_r2: -0.139673520453359
high_leverage_month_count: 18
max_cooks_distance: 0.329314078556712
coef_intercept: -16.2806605425684
hac_se_intercept: 6.6133802842393
t_intercept: -2.46177595160643
p_intercept: 0.0144722218808839
coef_GM2_YoY_lag: 3.76138914698299
hac_se_GM2_YoY_lag: 0.898530497017608
t_GM2_YoY_lag: 4.18615635136231
p_GM2_YoY_lag: 3.88163843330069e-05
coef_CI_monthly_change: -0.000196702703006313
hac_se_CI_monthly_change: 0.000307287209440966
t_CI_monthly_change: -0.640126555752728
p_CI_monthly_change: 0.522651859363768
coef_GM2_x_CI_monthly_change: -1.35740817666097e-05
hac_se_GM2_x_CI_monthly_change: 4.12088286020408e-05
t_GM2_x_CI_monthly_change: -0.32939741863804
p_GM2_x_CI_monthly_change: 0.742119503553373
high_leverage_months:
2008-10;2008-11;2009-02;2017-02;2020-04;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2022-12;2023-01


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.406268785513074
full_r2: 0.38342427869785
test_rmse: 27.826931653402
test_mae: 24.8910566931588
test_r2: 0.0960487657605285
high_leverage_month_count: 14
max_cooks_distance: 0.227291271846352
coef_intercept: -9.78060177992559
hac_se_intercept: 6.30832815570267
t_intercept: -1.55042691795987
p_intercept: 0.122264852112819
coef_GM2_YoY_lag: 3.9146246518967
hac_se_GM2_YoY_lag: 0.840026189931351
t_GM2_YoY_lag: 4.66012214716378
p_GM2_YoY_lag: 5.0693370494681e-06
coef_CI_zscore: -2.08367143987895
hac_se_CI_zscore: 0.515407539583581
t_CI_zscore: -4.04276476351594
p_CI_zscore: 6.97870528036937e-05
coef_CI_monthly_change: -0.000130121817813245
hac_se_CI_monthly_change: 0.000271321743482725
t_CI_monthly_change: -0.479584924315251
p_CI_monthly_change: 0.63192885322451
coef_GM2_x_CI_zscore: -0.987784206258033
hac_se_GM2_x_CI_zscore: 0.359657799395844
high_leverage_months:
2008-09;2008-10;2008-11;2009-03;2015-08;2017-02;2020-04;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2023-01


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.401543611317005
full_r2: 0.381690689233252
test_rmse: 27.2243980480985
test_mae: 24.2903008505641
test_r2: 0.134771270954375
high_leverage_month_count: 15
max_cooks_distance: 0.256543361072659
coef_intercept: -10.0005470345241
hac_se_intercept: 6.33678271984345
t_intercept: -1.57817420553298
p_intercept: 0.115741444478172
coef_GM2_YoY_lag: 3.95738409745308
hac_se_GM2_YoY_lag: 0.818145076625216
t_GM2_YoY_lag: 4.83701999867429
p_GM2_YoY_lag: 2.25974348944114e-06
coef_CI_zscore: -2.10231708135618
hac_se_CI_zscore: 0.517386038774157
t_CI_zscore: -4.06334327524029
p_CI_zscore: 6.41130266427758e-05
coef_GM2_x_CI_zscore: -1.01267646202107
hac_se_GM2_x_CI_zscore: 0.338054265966757
t_GM2_x_CI_zscore: -2.99560326246748
p_GM2_x_CI_zscore: 0.00300348076729007
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-03;2009-04;2015-08;2017-01;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.300125822811051
full_r2: 0.278871464505307
test_rmse: 29.738681047984
test_mae: 23.6972115180407
test_r2: -0.032423224502518
high_leverage_month_count: 19
max_cooks_distance: 0.287521678058366
coef_intercept: -18.2904065163515
hac_se_intercept: 6.13971594725982
t_intercept: -2.97903138735833
p_intercept: 0.00316502139182773
coef_GM2_YoY_lag: 4.02448601444943
hac_se_GM2_YoY_lag: 0.873120007284774
t_GM2_YoY_lag: 4.60931599421799
p_GM2_YoY_lag: 6.33792732118721e-06
coef_CI_monthly_change: -0.000153268186173894
hac_se_CI_monthly_change: 0.000294429399887314
t_CI_monthly_change: -0.520560060349115
p_CI_monthly_change: 0.603116284510354
coef_GM2_x_CI_monthly_change: -2.40747270021657e-05
hac_se_GM2_x_CI_monthly_change: 3.99425438474548e-05
t_GM2_x_CI_monthly_change: -0.60273394439047
p_GM2_x_CI_monthly_change: 0.547211043566164
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-03;2009-04;2017-02;2020-04;2020-08;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2023-01


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.337011538096025
full_r2: 0.325231300671681
test_rmse: 26.8593127508559
test_mae: 23.405324472129
test_r2: 0.157821496779853
high_leverage_month_count: 13
max_cooks_distance: 1.09208944719743
coef_intercept: -10.8783466513322
hac_se_intercept: 6.50933400696269
t_intercept: -1.67119195906927
p_intercept: 0.0958869151215533
coef_GM2_YoY_lag: 3.55995364732052
hac_se_GM2_YoY_lag: 0.883334165917785
t_GM2_YoY_lag: 4.0301324059188
p_GM2_YoY_lag: 7.32602421351647e-05
coef_CI_zscore: -3.10934713393893
hac_se_CI_zscore: 1.12682163961496
t_CI_zscore: -2.75939600787345
p_CI_zscore: 0.00620247053586165
coef_CI_monthly_change: -0.000254468306847055
hac_se_CI_monthly_change: 0.000230264085465278
t_CI_monthly_change: -1.10511505227951
p_CI_monthly_change: 0.270131333048948
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.396737840441848
full_r2: 0.384646251960836
test_rmse: 26.7037029897166
test_mae: 23.1420953268655
test_r2: 0.167551572420432
high_leverage_month_count: 15
max_cooks_distance: 0.226364588586827
coef_intercept: -9.2633409348386
hac_se_intercept: 6.32252711826839
t_intercept: -1.46513265369365
p_intercept: 0.144107007091911
coef_GM2_YoY_lag: 3.82752518140124
hac_se_GM2_YoY_lag: 0.89854503071364
t_GM2_YoY_lag: 4.25969211399605
p_GM2_YoY_lag: 2.87430687095913e-05
coef_CI_zscore: -2.43572937676122
hac_se_CI_zscore: 0.511523459049545
t_CI_zscore: -4.76171587767845
p_CI_zscore: 3.20961286504051e-06
coef_CI_monthly_change: -0.000110091108096344
hac_se_CI_monthly_change: 0.00027579167131547
t_CI_monthly_change: -0.399182134729566
p_CI_monthly_change: 0.690090509392711
coef_GM2_x_CI_zscore: -0.925563886670642
hac_se_GM2_x_CI_zscore: 0.335654273667868
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.391833197739319
full_r2: 0.382253732656211
test_rmse: 26.2864577631096
test_mae: 22.5264589037852
test_r2: 0.193362343164408
high_leverage_month_count: 15
max_cooks_distance: 0.25722152254128
coef_intercept: -9.36227678039729
hac_se_intercept: 6.39519293870051
t_intercept: -1.46395532865654
p_intercept: 0.144418785507189
coef_GM2_YoY_lag: 3.86672294675274
hac_se_GM2_YoY_lag: 0.87602064397586
t_GM2_YoY_lag: 4.4139632705497
p_GM2_YoY_lag: 1.49097176731505e-05
coef_CI_zscore: -2.46724915153477
hac_se_CI_zscore: 0.505891935249051
t_CI_zscore: -4.87702803627446
p_CI_zscore: 1.88165514103389e-06
coef_GM2_x_CI_zscore: -0.964295908126635
hac_se_GM2_x_CI_zscore: 0.318224613499586
t_GM2_x_CI_zscore: -3.03023671714787
p_GM2_x_CI_zscore: 0.00269100698791225
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2009-05;2015-07;2015-08;2017-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.298201016859341
full_r2: 0.286689312430922
test_rmse: 28.2408051316303
test_mae: 22.7436891734758
test_r2: 0.0689596404523503
high_leverage_month_count: 17
max_cooks_distance: 0.283785549573006
coef_intercept: -18.5516924570056
hac_se_intercept: 5.99986233220734
t_intercept: -3.09201968808848
p_intercept: 0.00220529147538651
coef_GM2_YoY_lag: 4.05857455880351
hac_se_GM2_YoY_lag: 0.910419269016656
t_GM2_YoY_lag: 4.45791812291844
p_GM2_YoY_lag: 1.23345487699211e-05
coef_CI_monthly_change: -0.000162048299661155
hac_se_CI_monthly_change: 0.000306796138163584
t_CI_monthly_change: -0.528195369834645
p_CI_monthly_change: 0.597816007754241
coef_GM2_x_CI_monthly_change: -2.87625591917084e-05
hac_se_GM2_x_CI_monthly_change: 4.39336343995529e-05
t_GM2_x_CI_monthly_change: -0.654681989887937
p_GM2_x_CI_monthly_change: 0.513253487128227
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2017-02;2020-04;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2023-01


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.331782746431275
full_r2: 0.327885917997824
test_rmse: 25.6927256148958
test_mae: 21.7204089171796
test_r2: 0.229389863872749
high_leverage_month_count: 14
max_cooks_distance: 1.06308598062705
coef_intercept: -11.3263179252769
hac_se_intercept: 6.46985642780319
t_intercept: -1.75062894388256
p_intercept: 0.0811938319940146
coef_GM2_YoY_lag: 3.59581911623804
hac_se_GM2_YoY_lag: 0.931846458105202
t_GM2_YoY_lag: 3.85881073535409
p_GM2_YoY_lag: 0.000143905615318518
coef_CI_zscore: -2.97278985982997
hac_se_CI_zscore: 1.08432511147633
t_CI_zscore: -2.74160381270012
p_CI_zscore: 0.0065400520646155
coef_CI_monthly_change: -0.000301549397342615
hac_se_CI_monthly_change: 0.000234267281459225
t_CI_monthly_change: -1.2872023590503
p_CI_monthly_change: 0.199172891870921
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.373371123069687
full_r2: 0.366257163518359
test_rmse: 27.0649036002841
test_mae: 22.7875053388187
test_r2: 0.1448794792788
high_leverage_month_count: 14
max_cooks_distance: 0.200019926383095
coef_intercept: -7.31533085200669
hac_se_intercept: 6.74985090786909
t_intercept: -1.08377665697451
p_intercept: 0.279483494001325
coef_GM2_YoY_lag: 3.58298257252121
hac_se_GM2_YoY_lag: 0.976318130057145
t_GM2_YoY_lag: 3.6698924891536
p_GM2_YoY_lag: 0.000295250547750703
coef_CI_zscore: -2.70494077008057
hac_se_CI_zscore: 0.568338603026292
t_CI_zscore: -4.75938244503767
p_CI_zscore: 3.25004744960999e-06
coef_CI_monthly_change: -0.000193643302540236
hac_se_CI_monthly_change: 0.000293765400130678
t_CI_monthly_change: -0.659176684708602
p_CI_monthly_change: 0.510374811794458
coef_GM2_x_CI_zscore: -0.880720057970391
hac_se_GM2_x_CI_zscore: 0.307771838578466
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.368175521277453
full_r2: 0.362850299494838
test_rmse: 26.9074915969259
test_mae: 22.5145520775977
test_r2: 0.15479747455828
high_leverage_month_count: 14
max_cooks_distance: 0.225501063697931
coef_intercept: -7.26988534505518
hac_se_intercept: 6.72152128258149
t_intercept: -1.08158332606857
p_intercept: 0.280447620473721
coef_GM2_YoY_lag: 3.60211445367244
hac_se_GM2_YoY_lag: 0.940049436810132
t_GM2_YoY_lag: 3.83183512762423
p_GM2_YoY_lag: 0.000159819822380447
coef_CI_zscore: -2.76600874291198
hac_se_CI_zscore: 0.553227581301802
t_CI_zscore: -4.9997665271917
p_CI_zscore: 1.06121123732983e-06
coef_GM2_x_CI_zscore: -0.924222634467196
hac_se_GM2_x_CI_zscore: 0.29643839130317
t_GM2_x_CI_zscore: -3.11775620696169
p_GM2_x_CI_zscore: 0.00202874219843463
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2017-01;2017-02;2021-03;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.268749131250911
full_r2: 0.267159096920252
test_rmse: 26.9171268250856
test_mae: 21.43632608572
test_r2: 0.154192053779817
high_leverage_month_count: 14
max_cooks_distance: 0.251309953226251
coef_intercept: -17.2756912379079
hac_se_intercept: 6.27752315359032
t_intercept: -2.75199163989182
p_intercept: 0.00634360265950606
coef_GM2_YoY_lag: 3.89577707226112
hac_se_GM2_YoY_lag: 0.99721733149399
t_GM2_YoY_lag: 3.90664797855511
p_GM2_YoY_lag: 0.000119600809744824
coef_CI_monthly_change: -0.00027068812243547
hac_se_CI_monthly_change: 0.0003169643661693
t_CI_monthly_change: -0.854001746968891
p_CI_monthly_change: 0.393896250237618
coef_GM2_x_CI_monthly_change: -2.26038752453306e-05
hac_se_GM2_x_CI_monthly_change: 4.835462565449e-05
t_GM2_x_CI_monthly_change: -0.467460453666685
p_GM2_x_CI_monthly_change: 0.640565057372811
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 5
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.307225084094007
full_r2: 0.310425111955007
test_rmse: 24.9476576929372
test_mae: 20.6007179283093
test_r2: 0.273435938415041
high_leverage_month_count: 14
max_cooks_distance: 1.10029806259071
coef_intercept: -10.0590882748507
hac_se_intercept: 6.62551939636807
t_intercept: -1.5182339184404
p_intercept: 0.13017984146884
coef_GM2_YoY_lag: 3.42989863312618
hac_se_GM2_YoY_lag: 0.996239571020759
t_GM2_YoY_lag: 3.44284520801745
p_GM2_YoY_lag: 0.000671467494768319
coef_CI_zscore: -3.01357100972086
hac_se_CI_zscore: 1.07118029563019
t_CI_zscore: -2.81331818930437
p_CI_zscore: 0.00528064846836451
coef_CI_monthly_change: -0.000361872276359421
hac_se_CI_monthly_change: 0.000229336457537281
t_CI_monthly_change: -1.5779099417745
p_CI_monthly_change: 0.115811582516299
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.347047964744688
full_r2: 0.344298655980397
test_rmse: 26.9224763366063
test_mae: 22.1097904468052
test_r2: 0.153855828520894
high_leverage_month_count: 16
max_cooks_distance: 0.186199040938184
coef_intercept: -6.03574811827313
hac_se_intercept: 6.74498675648574
t_intercept: -0.894849513599025
p_intercept: 0.371711397299364
coef_GM2_YoY_lag: 3.39841123995519
hac_se_GM2_YoY_lag: 0.97979964115539
t_GM2_YoY_lag: 3.46847569360992
p_GM2_YoY_lag: 0.000614271135387146
coef_CI_zscore: -2.2647314418083
hac_se_CI_zscore: 0.489953156656627
t_CI_zscore: -4.62234279142626
p_CI_zscore: 6.03183532432716e-06
coef_CI_monthly_change: -0.000217976333960035
hac_se_CI_monthly_change: 0.000334299315921339
t_CI_monthly_change: -0.652039425684392
p_CI_monthly_change: 0.514963021577012
coef_GM2_x_CI_zscore: -0.922754795706876
hac_se_GM2_x_CI_zscore: 0.319879083368331
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;2021-10


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.306039298641919
full_r2: 0.311010167694325
test_rmse: 25.7248670038479
test_mae: 21.555678971196
test_r2: 0.129533782992736
high_leverage_month_count: 17
max_cooks_distance: 0.20534674528173
coef_intercept: -4.61506592501498
hac_se_intercept: 6.16652188788352
t_intercept: -0.748406639743392
p_intercept: 0.454910076012631
coef_GM2_YoY_lag: 3.10819992185454
hac_se_GM2_YoY_lag: 0.871878552126387
t_GM2_YoY_lag: 3.56494595981755
p_GM2_YoY_lag: 0.00043498993009683
coef_CI_zscore: -1.03632562445483
hac_se_CI_zscore: 0.881241672005277
t_CI_zscore: -1.1759834530937
p_CI_zscore: 0.240706866008998
coef_CI_monthly_change: -5.20460347893104e-05
hac_se_CI_monthly_change: 0.000368661824154092
t_CI_monthly_change: -0.141175547288445
p_CI_monthly_change: 0.887843605268598
coef_GM2_x_CI_zscore: -0.975890551068433
hac_se_GM2_x_CI_zscore: 0.339554685739266
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2015-08;2015-09;2015-11;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.296399004780396
full_r2: 0.303274647501307
test_rmse: 25.639779220769
test_mae: 21.4907099179227
test_r2: 0.135282582387072
high_leverage_month_count: 16
max_cooks_distance: 0.303968129123322
coef_intercept: -4.33677125718518
hac_se_intercept: 6.58446748538779
t_intercept: -0.658636596931994
p_intercept: 0.510723402307951
coef_GM2_YoY_lag: 3.11567291006191
hac_se_GM2_YoY_lag: 0.922913351448669
t_GM2_YoY_lag: 3.37591053934948
p_GM2_YoY_lag: 0.000850491347812232
coef_CI_zscore: -0.894979140317533
hac_se_CI_zscore: 0.938525381876751
t_CI_zscore: -0.953601423680051
p_CI_zscore: 0.341188496152931
coef_GM2_x_CI_zscore: -1.08157046558653
hac_se_GM2_x_CI_zscore: 0.350786925032515
t_GM2_x_CI_zscore: -3.08326903999139
p_GM2_x_CI_zscore: 0.00227235722591934
high_leverage_months:
2005-08;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-08;2015-09;2015-10;2015-11;2015-12;2021-04;2021-05


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.168185985797114
full_r2: 0.191043581119464
test_rmse: 22.781319667248
test_mae: 16.4340233193886
test_r2: 0.317341659586717
high_leverage_month_count: 14
max_cooks_distance: 0.180304748628717
coef_intercept: -12.1396240491149
hac_se_intercept: 6.38605736996258
t_intercept: -1.90095756204991
p_intercept: 0.0584350365714621
coef_GM2_YoY_lag: 3.14423018408194
hac_se_GM2_YoY_lag: 1.02226122995703
t_GM2_YoY_lag: 3.07575998379015
p_GM2_YoY_lag: 0.00232823655689085
coef_CI_monthly_change: 9.11093337565005e-05
hac_se_CI_monthly_change: 0.000393459006201001
t_CI_monthly_change: 0.231559914300086
p_CI_monthly_change: 0.817065549073406
coef_GM2_x_CI_monthly_change: -8.64636750641523e-05
hac_se_GM2_x_CI_monthly_change: 5.80875261002121e-05
t_GM2_x_CI_monthly_change: -1.48850675642454
p_GM2_x_CI_monthly_change: 0.137852927044249
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 8
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.246380487022733
full_r2: 0.255640224802175
test_rmse: 25.241463143182
test_mae: 21.3106825664957
test_r2: 0.161940804853027
high_leverage_month_count: 15
max_cooks_distance: 0.954362825415242
coef_intercept: -4.50382426107054
hac_se_intercept: 6.54665747140602
t_intercept: -0.687957828974862
p_intercept: 0.492107109855686
coef_GM2_YoY_lag: 2.71241285823819
hac_se_GM2_YoY_lag: 0.99451813026682
t_GM2_YoY_lag: 2.72736391191831
p_GM2_YoY_lag: 0.00682942781136764
coef_CI_zscore: -3.54484253203586
hac_se_CI_zscore: 1.02714107359706
t_CI_zscore: -3.45117396544349
p_CI_zscore: 0.000653525642422714
coef_CI_monthly_change: 0.000133947705955928
hac_se_CI_monthly_change: 0.000383546651876803
t_CI_monthly_change: 0.34923445505386
p_CI_monthly_change: 0.727202650170204
coef_GM2_x_CI_monthly_change: -7.96284588426843e-05
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.285815299145821
full_r2: 0.295405560267629
test_rmse: 25.3082994341864
test_mae: 21.156714239227
test_r2: 0.157496773586739
high_leverage_month_count: 18
max_cooks_distance: 0.291457229928171
coef_intercept: -4.02290910738365
hac_se_intercept: 5.89357059656865
t_intercept: -0.682592842737112
p_intercept: 0.49549114399099
coef_GM2_YoY_lag: 2.98401782148339
hac_se_GM2_YoY_lag: 0.805352477384421
t_GM2_YoY_lag: 3.70523206332551
p_GM2_YoY_lag: 0.000259603535363917
coef_CI_zscore: -0.422228654369661
hac_se_CI_zscore: 1.20892882795342
t_CI_zscore: -0.349258487850311
p_CI_zscore: 0.727186926405199
coef_CI_monthly_change: -7.19824673783287e-05
hac_se_CI_monthly_change: 0.000391968611545762
t_CI_monthly_change: -0.183643448118102
p_CI_monthly_change: 0.854440853768642
coef_GM2_x_CI_zscore: -0.98463146613625
hac_se_GM2_x_CI_zscore: 0.343603633391243
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-11;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 9
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.138192281960287
full_r2: 0.165157997857875
test_rmse: 22.6316588798041
test_mae: 17.0911967471528
test_r2: 0.326281580105589
high_leverage_month_count: 15
max_cooks_distance: 0.137167179097228
coef_intercept: -10.3313072163346
hac_se_intercept: 6.43146422512475
t_intercept: -1.60636938256999
p_intercept: 0.109435209593175
coef_GM2_YoY_lag: 2.89122171635183
hac_se_GM2_YoY_lag: 1.02737450402921
t_GM2_YoY_lag: 2.81418480311988
p_GM2_YoY_lag: 0.00527290273765768
coef_CI_monthly_change: 9.51416962722273e-05
hac_se_CI_monthly_change: 0.000427007223202563
t_CI_monthly_change: 0.222810507884767
p_CI_monthly_change: 0.823862058884601
coef_GM2_x_CI_monthly_change: -8.80532951499369e-05
hac_se_GM2_x_CI_monthly_change: 6.12734296973507e-05
t_GM2_x_CI_monthly_change: -1.43705510830487
p_GM2_x_CI_monthly_change: 0.151933004152159
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.271268856413578
full_r2: 0.283513823420531
test_rmse: 25.0885794499724
test_mae: 20.7441477516355
test_r2: 0.172062053814926
high_leverage_month_count: 19
max_cooks_distance: 0.320566664669705
coef_intercept: -3.49853922948273
hac_se_intercept: 5.82316707092543
t_intercept: -0.600796643282078
p_intercept: 0.548517567278172
coef_GM2_YoY_lag: 2.88414821472436
hac_se_GM2_YoY_lag: 0.787056109109204
t_GM2_YoY_lag: 3.66447599014085
p_GM2_YoY_lag: 0.000302382649810751
coef_CI_zscore: 0.150711831384361
hac_se_CI_zscore: 1.49868899768821
t_CI_zscore: 0.100562445989021
p_CI_zscore: 0.919978087409149
coef_CI_monthly_change: -0.000182180948717636
hac_se_CI_monthly_change: 0.000413191028674377
t_CI_monthly_change: -0.440912159448668
p_CI_monthly_change: 0.659656115063053
coef_GM2_x_CI_zscore: -1.00196172090227
hac_se_GM2_x_CI_zscore: 0.346492349348198
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-12


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 10
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.258430604388884
full_r2: 0.273735032126944
test_rmse: 24.6251245537784
test_mae: 20.5890140015266
test_r2: 0.202368097242485
high_leverage_month_count: 15
max_cooks_distance: 0.547283454658311
coef_intercept: -3.38512891649544
hac_se_intercept: 6.02337447926946
t_intercept: -0.561998748068209
p_intercept: 0.574614416510399
coef_GM2_YoY_lag: 2.88796960969067
hac_se_GM2_YoY_lag: 0.819413186179085
t_GM2_YoY_lag: 3.52443633859157
p_GM2_YoY_lag: 0.000503543290936159
coef_CI_zscore: 0.324377069394402
hac_se_CI_zscore: 1.60414898685278
t_CI_zscore: 0.202211310827684
p_CI_zscore: 0.839914036681825
coef_GM2_x_CI_zscore: -1.08072772980392
hac_se_GM2_x_CI_zscore: 0.363074314484379
t_GM2_x_CI_zscore: -2.97660199768943
p_GM2_x_CI_zscore: 0.00319714653008663
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-11;2015-12;2016-01;2021-04;2021-05;2021-12


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 10
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.1125501321305
full_r2: 0.143047044154154
test_rmse: 22.5181286274629
test_mae: 17.4802554275935
test_r2: 0.333023955953564
high_leverage_month_count: 16
max_cooks_distance: 0.116485428864271
coef_intercept: -8.65072382441613
hac_se_intercept: 6.61098756851958
t_intercept: -1.30853730017728
p_intercept: 0.191878579113046
coef_GM2_YoY_lag: 2.65218454036667
hac_se_GM2_YoY_lag: 1.05795851762988
t_GM2_YoY_lag: 2.506888971704
p_GM2_YoY_lag: 0.0128077182976032
coef_CI_monthly_change: 8.16134973935512e-06
hac_se_CI_monthly_change: 0.000449498894669946
t_CI_monthly_change: 0.0181565512977463
p_CI_monthly_change: 0.985528274258472
coef_GM2_x_CI_monthly_change: -7.88638376567619e-05
hac_se_GM2_x_CI_monthly_change: 6.33582539775816e-05
t_GM2_x_CI_monthly_change: -1.24472870866465
p_GM2_x_CI_monthly_change: 0.214383260812729
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.251490351909443
full_r2: 0.263422336486734
test_rmse: 25.3254205480057
test_mae: 20.8113306161676
test_r2: 0.15635647786652
high_leverage_month_count: 19
max_cooks_distance: 0.522815070110074
coef_intercept: -2.79515429052553
hac_se_intercept: 5.77510947768299
t_intercept: -0.484000225680044
p_intercept: 0.628809407525394
coef_GM2_YoY_lag: 2.71164500484393
hac_se_GM2_YoY_lag: 0.767925411857568
t_GM2_YoY_lag: 3.53113071005765
p_GM2_YoY_lag: 0.000492541640331412
coef_CI_zscore: 0.824543296752829
hac_se_CI_zscore: 2.0258718503125
t_CI_zscore: 0.407006640931231
p_CI_zscore: 0.684351359900844
coef_CI_monthly_change: -0.000276739331076914
hac_se_CI_monthly_change: 0.000425707079914529
t_CI_monthly_change: -0.650069834714696
p_CI_monthly_change: 0.516244014618036
coef_GM2_x_CI_zscore: -0.988773601827174
hac_se_GM2_x_CI_zscore: 0.375409939018536
high_leverage_months:
2008-10;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


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 11
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.235736294678635
full_r2: 0.252119088578707
test_rmse: 24.4673804017487
test_mae: 20.2299837966367
test_r2: 0.212554341942721
high_leverage_month_count: 16
max_cooks_distance: 0.927353036143069
coef_intercept: -2.75752461268792
hac_se_intercept: 5.9015096609292
t_intercept: -0.467257493611175
p_intercept: 0.640719431063544
coef_GM2_YoY_lag: 2.71558584990965
hac_se_GM2_YoY_lag: 0.789241821258846
t_GM2_YoY_lag: 3.44075260175426
p_GM2_YoY_lag: 0.000678856883602696
coef_CI_zscore: 0.923170660310614
hac_se_CI_zscore: 2.11360668422583
t_CI_zscore: 0.436775047694718
p_CI_zscore: 0.662648509844772
coef_GM2_x_CI_zscore: -1.03942410561008
hac_se_GM2_x_CI_zscore: 0.383704652909053
t_GM2_x_CI_zscore: -2.70891712604916
p_GM2_x_CI_zscore: 0.00721313033432236
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-11;2015-12;2016-01;2016-02;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 11
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0875777195957596
full_r2: 0.117465621319573
test_rmse: 23.2650175941795
test_mae: 18.1412777751467
test_r2: 0.288045212103105
high_leverage_month_count: 15
max_cooks_distance: 0.145984721979409
coef_intercept: -6.76089651843801
hac_se_intercept: 6.85037469666836
t_intercept: -0.98693820671242
p_intercept: 0.324619579074504
coef_GM2_YoY_lag: 2.3661857178011
hac_se_GM2_YoY_lag: 1.0989668306904
t_GM2_YoY_lag: 2.15310021351109
p_GM2_YoY_lag: 0.0322600511303035
coef_CI_monthly_change: -0.000103036562864478
hac_se_CI_monthly_change: 0.000444908908505954
t_CI_monthly_change: -0.231590244417637
p_CI_monthly_change: 0.8170442248124
coef_GM2_x_CI_monthly_change: -6.42868416629305e-05
hac_se_GM2_x_CI_monthly_change: 6.5713028447366e-05
t_GM2_x_CI_monthly_change: -0.978296742394428
p_GM2_x_CI_monthly_change: 0.328865804369142
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11


target: Brent_YoY
family: interaction
model: interaction_zscore
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + GM2_x_CI_zscore
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.203957735011921
full_r2: 0.219960825039189
test_rmse: 25.4101500763208
test_mae: 21.142265261138
test_r2: 0.150701993829467
high_leverage_month_count: 15
max_cooks_distance: 1.55604564209037
coef_intercept: -1.35812419081316
hac_se_intercept: 5.98105435993793
t_intercept: -0.227071032811555
p_intercept: 0.820553341664367
coef_GM2_YoY_lag: 2.39772041087909
hac_se_GM2_YoY_lag: 0.763483085894772
t_GM2_YoY_lag: 3.14050233093122
p_GM2_YoY_lag: 0.00188865318150855
coef_CI_zscore: 1.21053717299873
hac_se_CI_zscore: 2.73425680092682
t_CI_zscore: 0.442729875477825
p_CI_zscore: 0.658342425511254
coef_GM2_x_CI_zscore: -0.932644632521945
hac_se_GM2_x_CI_zscore: 0.417915183933386
t_GM2_x_CI_zscore: -2.23166007931075
p_GM2_x_CI_zscore: 0.0265207397203082
high_leverage_months:
2008-11;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-11;2015-12;2016-01;2016-02;2021-04;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0639257420310947
full_r2: 0.0891992096880444
test_rmse: 25.0207246552229
test_mae: 19.954451725639
test_r2: 0.176534494165565
high_leverage_month_count: 17
max_cooks_distance: 0.153938563155776
coef_intercept: -4.26901639821713
hac_se_intercept: 7.12309520003212
t_intercept: -0.59932041876934
p_intercept: 0.549499804462976
coef_GM2_YoY_lag: 1.98207368754096
hac_se_GM2_YoY_lag: 1.11290055482633
t_GM2_YoY_lag: 1.78099802264027
p_GM2_YoY_lag: 0.0761220748734714
coef_CI_monthly_change: -0.000226984425542809
hac_se_CI_monthly_change: 0.000466804039905044
t_CI_monthly_change: -0.486252058977428
p_CI_monthly_change: 0.627212726471921
coef_GM2_x_CI_monthly_change: -4.45747208757119e-05
hac_se_GM2_x_CI_monthly_change: 7.1350083153516e-05
t_GM2_x_CI_monthly_change: -0.624732570805916
p_GM2_x_CI_monthly_change: 0.532714074172767
high_leverage_months:
2008-11;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2017-02;2020-04;2020-05;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 12
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.198145892303398
full_r2: 0.185121005656188
test_rmse: 31.6892847904793
test_mae: 28.4221252587147
test_r2: -0.320901761757666
high_leverage_month_count: 15
max_cooks_distance: 1.33980549966195
coef_intercept: 2.998024548149
hac_se_intercept: 7.33135924130505
t_intercept: 0.408931611379519
p_intercept: 0.682938548219734
coef_GM2_YoY_lag: 1.7445932215083
hac_se_GM2_YoY_lag: 1.06414901149683
t_GM2_YoY_lag: 1.63942568442962
p_GM2_YoY_lag: 0.102377348548887
coef_CI_zscore: -4.29190193929202
hac_se_CI_zscore: 1.06295565197354
t_CI_zscore: -4.03770555368275
p_CI_zscore: 7.17473645528433e-05
coef_CI_monthly_change: -0.000400531659390246
hac_se_CI_monthly_change: 0.000235344408571777
t_CI_monthly_change: -1.70189579527694
p_CI_monthly_change: 0.0900130944686088
high_leverage_months:
2008-11;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;2021-10


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.212707889608427
full_r2: 0.208694958553908
test_rmse: 29.3800444884337
test_mae: 25.2676675601233
test_r2: -0.224642595106241
high_leverage_month_count: 16
max_cooks_distance: 1.5295639524606
coef_intercept: 0.54771059874296
hac_se_intercept: 6.12018777079858
t_intercept: 0.0894924501101531
p_intercept: 0.928762783646313
coef_GM2_YoY_lag: 2.03213175643838
hac_se_GM2_YoY_lag: 0.741645634233991
t_GM2_YoY_lag: 2.74003063273913
p_GM2_YoY_lag: 0.00658978789608233
coef_CI_zscore: 1.28703689163886
hac_se_CI_zscore: 3.13458407408822
t_CI_zscore: 0.410592557487304
p_CI_zscore: 0.681725841065725
coef_CI_monthly_change: -0.000422662225290082
hac_se_CI_monthly_change: 0.000453081571680785
t_CI_monthly_change: -0.932861214642086
p_CI_monthly_change: 0.351798939369138
coef_GM2_x_CI_zscore: -0.818109258059545
hac_se_GM2_x_CI_zscore: 0.44017747293963
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-02;2017-02;2020-04;2020-05;2021-03;2021-04;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 13
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0545560846517462
full_r2: 0.0701925452453666
test_rmse: 26.3995973062789
test_mae: 21.378268433236
test_r2: 0.0112213799912027
high_leverage_month_count: 18
max_cooks_distance: 0.128293933002757
coef_intercept: -1.90140236179008
hac_se_intercept: 7.38872090842454
t_intercept: -0.257338500852309
p_intercept: 0.797129155367293
coef_GM2_YoY_lag: 1.63244812871699
hac_se_GM2_YoY_lag: 1.1052846889575
t_GM2_YoY_lag: 1.47694810669702
p_GM2_YoY_lag: 0.140948107094846
coef_CI_monthly_change: -0.000399185222568654
hac_se_CI_monthly_change: 0.000456678342916217
t_CI_monthly_change: -0.874105875088299
p_CI_monthly_change: 0.382899499307055
coef_GM2_x_CI_monthly_change: -1.91922765789276e-05
hac_se_GM2_x_CI_monthly_change: 7.02442435737595e-05
t_GM2_x_CI_monthly_change: -0.27322205496846
p_GM2_x_CI_monthly_change: 0.784908097689698
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-02;2020-04;2020-05;2021-03;2021-04;2021-09;2021-10;2021-11


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 13
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.199341515166985
full_r2: 0.174131139686533
test_rmse: 33.1570187013091
test_mae: 29.9144333889083
test_r2: -0.559751497125724
high_leverage_month_count: 15
max_cooks_distance: 1.33590434069453
coef_intercept: 4.77614306361552
hac_se_intercept: 7.52114100816318
t_intercept: 0.635029054558566
p_intercept: 0.525990226196331
coef_GM2_YoY_lag: 1.49087114000494
hac_se_GM2_YoY_lag: 1.03725391873443
t_GM2_YoY_lag: 1.43732514582734
p_GM2_YoY_lag: 0.151876035160099
coef_CI_zscore: -4.37935730676139
hac_se_CI_zscore: 1.06896977843136
t_CI_zscore: -4.09680179470349
p_CI_zscore: 5.6630515928191e-05
coef_CI_monthly_change: -0.000405539168837565
hac_se_CI_monthly_change: 0.00023955929385243
t_CI_monthly_change: -1.69285508533591
p_CI_monthly_change: 0.0917287748057956
high_leverage_months:
2008-12;2009-02;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: interaction
model: interaction_full
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.216170200022991
full_r2: 0.202599661140112
test_rmse: 30.8734939114379
test_mae: 26.6036266368928
test_r2: -0.352309267320921
high_leverage_month_count: 14
max_cooks_distance: 1.05788604979558
coef_intercept: 2.07255549473245
hac_se_intercept: 6.47745298178515
t_intercept: 0.319964575668949
p_intercept: 0.749265670760175
coef_GM2_YoY_lag: 1.82755380216105
hac_se_GM2_YoY_lag: 0.716198526512173
t_GM2_YoY_lag: 2.55174191862846
p_GM2_YoY_lag: 0.0113219548174048
coef_CI_zscore: 1.69501091979465
hac_se_CI_zscore: 3.28521975682278
t_CI_zscore: 0.515950543726774
p_CI_zscore: 0.606350494830735
coef_CI_monthly_change: -0.000602982375807914
hac_se_CI_monthly_change: 0.00044282083397225
t_CI_monthly_change: -1.36168474820609
p_CI_monthly_change: 0.174538100348862
coef_GM2_x_CI_zscore: -0.878290212339316
hac_se_GM2_x_CI_zscore: 0.43716328140015
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-09;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0533279365284441
full_r2: 0.0604316982594816
test_rmse: 28.0058505558351
test_mae: 22.9713616955783
test_r2: -0.112761257731937
high_leverage_month_count: 17
max_cooks_distance: 0.107548537398575
coef_intercept: -0.224078775755012
hac_se_intercept: 7.57865289001816
t_intercept: -0.0295670984021641
p_intercept: 0.976435989765678
coef_GM2_YoY_lag: 1.40357770414059
hac_se_GM2_YoY_lag: 1.08037419029968
t_GM2_YoY_lag: 1.29915886249675
p_GM2_YoY_lag: 0.195091068869365
coef_CI_monthly_change: -0.000622237182141716
hac_se_CI_monthly_change: 0.000449896796962076
t_CI_monthly_change: -1.38306648623277
p_CI_monthly_change: 0.167883393731194
coef_GM2_x_CI_monthly_change: 1.64429128695076e-05
hac_se_GM2_x_CI_monthly_change: 6.84488159761345e-05
t_GM2_x_CI_monthly_change: 0.240222020425315
p_GM2_x_CI_monthly_change: 0.810355794714679
high_leverage_months:
2008-06;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-02;2019-07;2020-04;2021-03;2021-04;2021-10;2021-11


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 14
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.198311570684588
full_r2: 0.166316947001852
test_rmse: 34.1006971206612
test_mae: 30.9110868477843
test_r2: -0.64979877735871
high_leverage_month_count: 15
max_cooks_distance: 1.38120611621413
coef_intercept: 6.13386124125211
hac_se_intercept: 7.68539339164605
t_intercept: 0.798119358199615
p_intercept: 0.425561742715672
coef_GM2_YoY_lag: 1.29659355137557
hac_se_GM2_YoY_lag: 1.00741001909875
t_GM2_YoY_lag: 1.28705643858449
p_GM2_YoY_lag: 0.199269764338681
coef_CI_zscore: -4.41268633894079
hac_se_CI_zscore: 1.08563467330906
t_CI_zscore: -4.06461441167012
p_CI_zscore: 6.45521872364441e-05
coef_CI_monthly_change: -0.000410556200121093
hac_se_CI_monthly_change: 0.000242807639979071
t_CI_monthly_change: -1.6908701890784
p_CI_monthly_change: 0.0921128675970218
high_leverage_months:
2009-01;2009-03;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: interaction
model: interaction_full
lag_months: 15
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.208187073265565
full_r2: 0.189188126587425
test_rmse: 32.2421085709948
test_mae: 28.1940296429517
test_r2: -0.474861825841542
high_leverage_month_count: 15
max_cooks_distance: 1.71080717141742
coef_intercept: 2.83432694883611
hac_se_intercept: 6.52676286480495
t_intercept: 0.434262284006056
p_intercept: 0.664478631212705
coef_GM2_YoY_lag: 1.67154280892568
hac_se_GM2_YoY_lag: 0.716845284386635
t_GM2_YoY_lag: 2.33180414983956
p_GM2_YoY_lag: 0.0205189907185963
coef_CI_zscore: 0.78495424135111
hac_se_CI_zscore: 3.23115849598048
t_CI_zscore: 0.242932756881961
p_CI_zscore: 0.808259924784242
coef_CI_monthly_change: -0.000639181484765494
hac_se_CI_monthly_change: 0.000467524777498421
t_CI_monthly_change: -1.36716066298252
p_CI_monthly_change: 0.172822900119557
coef_GM2_x_CI_zscore: -0.711667958128736
hac_se_GM2_x_CI_zscore: 0.433250779149515
high_leverage_months:
2009-01;2009-02;2009-04;2009-05;2009-06;2009-07;2009-09;2015-08;2017-02;2019-07;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 15
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0531224532381238
full_r2: 0.0578886967425626
test_rmse: 28.2518944133837
test_mae: 23.3391515171078
test_r2: -0.132399350626123
high_leverage_month_count: 17
max_cooks_distance: 0.100275854099028
coef_intercept: 0.0825478992877931
hac_se_intercept: 7.43233039600717
t_intercept: 0.0111065971087803
p_intercept: 0.991147329106866
coef_GM2_YoY_lag: 1.33826880754647
hac_se_GM2_YoY_lag: 1.02626142378896
t_GM2_YoY_lag: 1.3040232990592
p_GM2_YoY_lag: 0.193434678492511
coef_CI_monthly_change: -0.000691841103000579
hac_se_CI_monthly_change: 0.000484145210000253
t_CI_monthly_change: -1.42899503849314
p_CI_monthly_change: 0.154263994885198
coef_GM2_x_CI_monthly_change: 2.58998193491955e-05
hac_se_GM2_x_CI_monthly_change: 7.11562895844843e-05
t_GM2_x_CI_monthly_change: 0.36398496184156
p_GM2_x_CI_monthly_change: 0.716179359902739
high_leverage_months:
2008-06;2009-01;2009-02;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-02;2019-07;2020-04;2020-05;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_full
lag_months: 16
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.209905609534058
full_r2: 0.190942017129422
test_rmse: 31.2634771836704
test_mae: 27.4086376500194
test_r2: -0.386688843708008
high_leverage_month_count: 14
max_cooks_distance: 1.31460881040542
coef_intercept: 2.55385344538694
hac_se_intercept: 6.3889372545796
t_intercept: 0.399730556683169
p_intercept: 0.689703247081364
coef_GM2_YoY_lag: 1.70755962420299
hac_se_GM2_YoY_lag: 0.671734349820838
t_GM2_YoY_lag: 2.54201623701158
p_GM2_YoY_lag: 0.0116384852190521
coef_CI_zscore: 0.87769875791569
hac_se_CI_zscore: 3.10706456477172
t_CI_zscore: 0.282484879093645
p_CI_zscore: 0.777810238736689
coef_CI_monthly_change: -0.000652479061856004
hac_se_CI_monthly_change: 0.000475082939383656
t_CI_monthly_change: -1.3734003218522
p_CI_monthly_change: 0.170883414782503
coef_GM2_x_CI_zscore: -0.744954464510941
hac_se_GM2_x_CI_zscore: 0.41424716955269
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-09;2015-08;2017-02;2019-07;2020-04;2021-03;2021-04


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 16
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.19932809585672
full_r2: 0.165889383845113
test_rmse: 33.5899956763796
test_mae: 30.3332797480985
test_r2: -0.600753125872411
high_leverage_month_count: 13
max_cooks_distance: 1.42033099964241
coef_intercept: 6.13201227757071
hac_se_intercept: 7.28311432814555
t_intercept: 0.84194919937939
p_intercept: 0.400630836692699
coef_GM2_YoY_lag: 1.255734826412
hac_se_GM2_YoY_lag: 0.90027233530161
t_GM2_YoY_lag: 1.39483884728203
p_GM2_YoY_lag: 0.164317507692587
coef_CI_zscore: -4.45024935843444
hac_se_CI_zscore: 1.10906227376735
t_CI_zscore: -4.01262351420313
p_CI_zscore: 7.96439364323387e-05
coef_CI_monthly_change: -0.000418996711775366
hac_se_CI_monthly_change: 0.000245579351024687
t_CI_monthly_change: -1.70615611624955
p_CI_monthly_change: 0.0892359717317273
high_leverage_months:
2009-03;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: interaction
model: interaction_full
lag_months: 17
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.211882959252333
full_r2: 0.196255237632463
test_rmse: 29.806503412262
test_mae: 25.607599624169
test_r2: -0.260452624663938
high_leverage_month_count: 13
max_cooks_distance: 1.3619157213606
coef_intercept: 1.9686298377462
hac_se_intercept: 6.33192538040386
t_intercept: 0.310905407040763
p_intercept: 0.756137970265127
coef_GM2_YoY_lag: 1.77851291605674
hac_se_GM2_YoY_lag: 0.646346987668682
t_GM2_YoY_lag: 2.75163797462983
p_GM2_YoY_lag: 0.00637478434720196
coef_CI_zscore: 1.05267808804795
hac_se_CI_zscore: 2.9584712140284
t_CI_zscore: 0.355818262843453
p_CI_zscore: 0.722284104793756
coef_CI_monthly_change: -0.000552127314248363
hac_se_CI_monthly_change: 0.000461757625168384
t_CI_monthly_change: -1.19570806014741
p_CI_monthly_change: 0.232971238618128
coef_GM2_x_CI_zscore: -0.79417110338113
hac_se_GM2_x_CI_zscore: 0.406503093901022
high_leverage_months:
2009-02;2009-04;2009-06;2009-07;2009-09;2009-12;2015-08;2017-01;2017-02;2019-07;2020-04;2021-03;2021-04


target: Brent_YoY
family: interaction
model: interaction_change
lag_months: 17
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_monthly_change + GM2_x_CI_monthly_change
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.051406905030066
full_r2: 0.0601784195414217
test_rmse: 26.9102108386397
test_mae: 22.204777495617
test_r2: -0.0273978759879223
high_leverage_month_count: 14
max_cooks_distance: 0.0733356597970243
coef_intercept: -0.878490716777907
hac_se_intercept: 7.01940650235541
t_intercept: -0.125151708550164
p_intercept: 0.900505660513538
coef_GM2_YoY_lag: 1.41593392410517
hac_se_GM2_YoY_lag: 0.904249757448026
t_GM2_YoY_lag: 1.56586597059336
p_GM2_YoY_lag: 0.118665431156234
coef_CI_monthly_change: -0.000647481851451998
hac_se_CI_monthly_change: 0.000475153213244173
t_CI_monthly_change: -1.3626801490644
p_CI_monthly_change: 0.174229484307973
coef_GM2_x_CI_monthly_change: 1.7387305178751e-05
hac_se_GM2_x_CI_monthly_change: 6.59984386208977e-05
t_GM2_x_CI_monthly_change: 0.263450250370703
p_GM2_x_CI_monthly_change: 0.792424100777465
high_leverage_months:
2009-02;2009-04;2009-06;2009-07;2009-08;2009-09;2009-12;2017-02;2019-07;2020-04;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: interaction
model: interaction_selected_p10
lag_months: 17
formula: Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.202858835472515
full_r2: 0.170496692914888
test_rmse: 33.1754565898774
test_mae: 29.838413678156
test_r2: -0.561486666415144
high_leverage_month_count: 13
max_cooks_distance: 1.488919541468
coef_intercept: 5.60163940770391
hac_se_intercept: 7.16408774176597
t_intercept: 0.781905472073837
p_intercept: 0.435022049713996
coef_GM2_YoY_lag: 1.30405253517937
hac_se_GM2_YoY_lag: 0.8498789888752
t_GM2_YoY_lag: 1.53439789928829
p_GM2_YoY_lag: 0.12621687479615
coef_CI_zscore: -4.47856029193758
hac_se_CI_zscore: 1.13969275704628
t_CI_zscore: -3.92962073703492
p_CI_zscore: 0.000110610269049349
coef_CI_monthly_change: -0.000425099937390927
hac_se_CI_monthly_change: 0.000245922753641911
t_CI_monthly_change: -1.72859132022373
p_CI_monthly_change: 0.0851369691634558
high_leverage_months:
2009-04;2009-06;2009-07;2009-08;2009-09;2009-12;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


# residual_model_summary

target: WTI_YoY
family: residual
model: residual_ci_dummies
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.196387939953789
full_r2: 0.12642972411471
test_rmse: 46.1135638492965
test_mae: 36.979794363493
test_r2: -1.18781423147148
high_leverage_month_count: 8
high_leverage_months: 2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2021-11
max_cooks_distance: 0.753086307067304
coef_intercept: 9.07133519690805
hac_se_intercept: 5.79106910178491
t_intercept: 1.56643532264398
p_intercept: 0.118458329973816
coef_CI_zscore: -2.66617427735594
hac_se_CI_zscore: 0.815100331742866
t_CI_zscore: -3.27097680313179
p_CI_zscore: 0.00121604709944068
coef_CI_monthly_change: -0.000187118536405517
hac_se_CI_monthly_change: 0.000243682669012423
t_CI_monthly_change: -0.76787790105819
p_CI_monthly_change: 0.443253875763983
coef_inventory_surplus_dummy: -11.7963531341363
hac_se_inventory_surplus_dummy: 7.94864585593498
t_inventory_surplus_dummy: -1.4840707899105
p_inventory_surplus_dummy: 0.138996769841813
coef_inventory_deficit_dummy: 4.89305821167491
formula:
GM2_residual_t = alpha + CI_zscore + CI_monthly_change + inventory_surplus_dummy + inventory_deficit_dummy


# regime_model_summary

target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.167573326187395
full_r2: 0.130462437502321
test_rmse: 33.7793903577135
test_mae: 27.6443500129437
test_r2: -0.310055557157118
high_leverage_month_count: 22
max_cooks_distance: 0.301954394816079
coef_intercept: -11.2256308687555
hac_se_intercept: 7.99231263202894
t_intercept: -1.40455352356577
p_intercept: 0.161333988416374
coef_GM2_YoY_lag: 3.05112995131506
hac_se_GM2_YoY_lag: 1.20669356311747
t_GM2_YoY_lag: 2.52850437308418
p_GM2_YoY_lag: 0.0120405464420972
coef_GM2_x_financial_crisis_2008_2009: -0.548619348494597
hac_se_GM2_x_financial_crisis_2008_2009: 1.50272940423828
t_GM2_x_financial_crisis_2008_2009: -0.365081928221592
p_GM2_x_financial_crisis_2008_2009: 0.715343664315638
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-03;2008-04;2008-05;2008-06;2008-07;2008-12;2009-01;2009-02;2009-06;2009-07;2009-08;2009-09;2009-12;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_ci
lag_months: 0
n_obs: 467
n_train: 374
n_test: 93
train_r2: 0.176633566666791
full_r2: 0.135928498058652
test_rmse: 46.3705247033017
test_mae: 33.8289752287216
test_r2: 0.0538044739255561
high_leverage_month_count: 21
max_cooks_distance: 0.225741137389007
coef_intercept: 12.0191218357418
hac_se_intercept: 3.41048356059738
t_intercept: 3.52416940946536
p_intercept: 0.00046712259894055
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.47735662296296
hac_se_CI_zscore: 0.758949826131659
t_CI_zscore: -4.58180040792279
p_CI_zscore: 5.93889341549136e-06
coef_CI_monthly_change: -0.000387183571989524
hac_se_CI_monthly_change: 0.00020477454539082
t_CI_monthly_change: -1.89077979028385
p_CI_monthly_change: 0.0592791912857862
coef_CI_zscore_x_financial_crisis_2008_2009: -24.7405218029355
hac_se_CI_zscore_x_financial_crisis_2008_2009: 7.2201049406189
t_CI_zscore_x_financial_crisis_2008_2009: -3.42661526479348
p_CI_zscore_x_financial_crisis_2008_2009: 0.00066577156224068
coef_CI_monthly_change_x_financial_crisis_2008_2009: -4.12180059863321e-05
formula:
WTI_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_financial_crisis_2008_2009 + CI_monthly_change_x_financial_crisis_2008_2009

high_leverage_months:
1990-09;1990-10;1999-12;2000-02;2008-01;2008-02;2008-03;2008-06;2008-07;2008-08;2009-06;2009-07;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.34458460362605
full_r2: 0.302301073636337
test_rmse: 31.0347409510551
test_mae: 26.8872796611572
test_r2: -0.105814673557488
high_leverage_month_count: 16
max_cooks_distance: 0.891175965509767
coef_intercept: 0.737928350987805
hac_se_intercept: 7.34961853204251
t_intercept: 0.100403626088976
p_intercept: 0.92010126812536
coef_GM2_YoY_lag: 2.16675792418968
hac_se_GM2_YoY_lag: 1.09421255860005
t_GM2_YoY_lag: 1.98019836928381
p_GM2_YoY_lag: 0.048735425507713
coef_GM2_x_financial_crisis_2008_2009: 0.72984512133831
hac_se_GM2_x_financial_crisis_2008_2009: 0.967516638856474
t_GM2_x_financial_crisis_2008_2009: 0.754348909390259
p_GM2_x_financial_crisis_2008_2009: 0.451322412449816
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.76379357382182
hac_se_CI_zscore: 1.11659013613504
t_CI_zscore: -3.3707924259924
p_CI_zscore: 0.000863423518782769
coef_CI_monthly_change: -0.000214358830688433
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_financial_crisis_2008_2009 + CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-05;2008-12;2009-04;2009-11;2009-12;2015-08;2017-02;2020-04;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.411228437105093
full_r2: 0.336648350516344
test_rmse: 34.8406063894824
test_mae: 29.7564348987226
test_r2: -0.393662163329901
high_leverage_month_count: 12
high_leverage_months: 2008-07;2008-12;2009-11;2009-12;2015-03;2015-08;2017-02;2020-04;2020-11;2021-03;2021-04;2021-05
max_cooks_distance: 0.220128625178368
coef_intercept: -2.13486635880804
hac_se_intercept: 6.40460383202578
t_intercept: -0.333333085823792
p_intercept: 0.739151516830864
coef_GM2_YoY_lag: 3.06537788536851
hac_se_GM2_YoY_lag: 0.80164444830097
t_GM2_YoY_lag: 3.82386217713521
p_GM2_YoY_lag: 0.000164514357648304
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.25024890103
hac_se_CI_zscore: 0.747369516065542
t_CI_zscore: -3.01089200543826
p_CI_zscore: 0.00286119279932406
coef_CI_monthly_change: -0.000177776636001603
hac_se_CI_monthly_change: 0.000241641937869829
t_CI_monthly_change: -0.735702740876752
p_CI_monthly_change: 0.462574787322553
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_financial_crisis_2008_2009


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.16464337899867
full_r2: 0.133653369212022
test_rmse: 32.6611648116878
test_mae: 26.7301364380871
test_r2: -0.224755610132414
high_leverage_month_count: 13
max_cooks_distance: 0.225849932173415
coef_intercept: -9.08005537486665
hac_se_intercept: 7.27557762098845
t_intercept: -1.24801848703705
p_intercept: 0.21313425200193
coef_GM2_YoY_lag: 2.82686750763567
hac_se_GM2_YoY_lag: 0.976566562625546
t_GM2_YoY_lag: 2.8947002854936
p_GM2_YoY_lag: 0.00411366265002511
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.29797677179375
hac_se_GM2_x_shale_regime_2014_2017: 1.16407249609121
t_GM2_x_shale_regime_2014_2017: -1.11503087320779
p_GM2_x_shale_regime_2014_2017: 0.265855036492546
high_leverage_months:
2008-05;2008-06;2008-12;2017-01;2017-02;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_ci
lag_months: 0
n_obs: 467
n_train: 374
n_test: 93
train_r2: 0.116014054444251
full_r2: 0.0959460086748398
test_rmse: 46.4616556091905
test_mae: 33.5113832907592
test_r2: 0.0500817476209957
high_leverage_month_count: 19
max_cooks_distance: 0.965853071075189
coef_intercept: 11.1241660323128
hac_se_intercept: 3.45921104033586
t_intercept: 3.21581016671151
p_intercept: 0.00139201071935702
regime: shale_regime_2014_2017
coef_CI_zscore: -3.60587833705709
hac_se_CI_zscore: 1.94608857925182
t_CI_zscore: -1.85288499994352
p_CI_zscore: 0.0645363129273078
coef_CI_monthly_change: -0.000461419491152082
hac_se_CI_monthly_change: 0.000227832860095749
t_CI_monthly_change: -2.02525435074715
p_CI_monthly_change: 0.0434157219601656
coef_CI_zscore_x_shale_regime_2014_2017: -0.181754573016026
hac_se_CI_zscore_x_shale_regime_2014_2017: 2.05267678850292
t_CI_zscore_x_shale_regime_2014_2017: -0.0885451494526742
p_CI_zscore_x_shale_regime_2014_2017: 0.929481769553169
coef_CI_monthly_change_x_shale_regime_2014_2017: 0.000186356221640871
formula:
WTI_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_shale_regime_2014_2017 + CI_monthly_change_x_shale_regime_2014_2017

high_leverage_months:
1990-08;1990-09;1990-10;1996-02;1996-04;1999-12;2000-02;2000-03;2008-06;2015-02;2015-03;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-06;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.308543451176852
full_r2: 0.253605561347596
test_rmse: 36.0478206348408
test_mae: 31.0328065696088
test_r2: -0.491915156700373
high_leverage_month_count: 8
high_leverage_months: 2005-11;2005-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05
max_cooks_distance: 0.578817945900174
coef_intercept: -0.122975728097498
hac_se_intercept: 6.78141747020738
t_intercept: -0.0181342217372347
p_intercept: 0.985545685515743
coef_GM2_YoY_lag: 2.58022163191135
hac_se_GM2_YoY_lag: 0.871196081038138
t_GM2_YoY_lag: 2.96170022807804
p_GM2_YoY_lag: 0.00334245203128014
regime: shale_regime_2014_2017
coef_CI_zscore: -10.166873627143
hac_se_CI_zscore: 4.30961538054116
t_CI_zscore: -2.35911391839016
p_CI_zscore: 0.019058617747592
coef_CI_monthly_change: -0.00021941101506906
hac_se_CI_monthly_change: 0.000250054268533501
t_CI_monthly_change: -0.877453587798539
p_CI_monthly_change: 0.381050381547585
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_shale_regime_2014_2017 + CI_zscore_x_shale_regime_2014_2017


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.39590976966113
full_r2: 0.313629656909705
test_rmse: 36.173934635937
test_mae: 30.5744123482324
test_r2: -0.502372405545653
high_leverage_month_count: 6
high_leverage_months: 2015-08;2017-02;2020-04;2021-03;2021-04;2021-05
max_cooks_distance: 0.224234516411565
coef_intercept: -3.44339676107311
hac_se_intercept: 6.47932991233475
t_intercept: -0.531443344861618
p_intercept: 0.59556532610784
coef_GM2_YoY_lag: 3.24999072726941
hac_se_GM2_YoY_lag: 0.786072968346377
t_GM2_YoY_lag: 4.13446443032669
p_GM2_YoY_lag: 4.80453901605671e-05
regime: shale_regime_2014_2017
coef_CI_zscore: -2.27988383874011
hac_se_CI_zscore: 0.710817022427805
t_CI_zscore: -3.20741311308659
p_CI_zscore: 0.00150713837569993
coef_CI_monthly_change: -0.00019522058009791
hac_se_CI_monthly_change: 0.000241164955923258
t_CI_monthly_change: -0.809489833838179
p_CI_monthly_change: 0.418973635401872
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_shale_regime_2014_2017


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.161034646216964
full_r2: 0.127996137131187
test_rmse: 33.2144082511197
test_mae: 27.0780924371061
test_r2: -0.266598992017583
high_leverage_month_count: 22
max_cooks_distance: 0.866542740846098
coef_intercept: -10.2493898192461
hac_se_intercept: 6.94641986841323
t_intercept: -1.47549241384791
p_intercept: 0.141276375981106
coef_GM2_YoY_lag: 2.81496321363184
hac_se_GM2_YoY_lag: 0.823098871455447
t_GM2_YoY_lag: 3.41995756676749
p_GM2_YoY_lag: 0.000725857019695297
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.0824670585235471
hac_se_GM2_x_covid_2020_2021: 2.14285232884848
t_GM2_x_covid_2020_2021: 0.0384847137683366
p_GM2_x_covid_2020_2021: 0.969330415283796
high_leverage_months:
2008-05;2008-06;2008-12;2020-04;2020-05;2020-06;2020-07;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-07;2021-09;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_ci
lag_months: 0
n_obs: 467
n_train: 374
n_test: 93
train_r2: 0.112682625288366
full_r2: 0.132694008770792
test_rmse: 46.2176350384099
test_mae: 33.2661243673045
test_r2: 0.0600336477634985
high_leverage_month_count: 18
max_cooks_distance: 0.724525454501586
coef_intercept: 11.4961024561545
hac_se_intercept: 3.36599009656726
t_intercept: 3.41537025550923
p_intercept: 0.000693161733243075
regime: covid_2020_2021
coef_CI_zscore: -3.49460780772645
hac_se_CI_zscore: 0.763500440483245
t_CI_zscore: -4.57708682592848
p_CI_zscore: 6.06828127658332e-06
coef_CI_monthly_change: -0.000298189431806151
hac_se_CI_monthly_change: 0.000182308554334349
t_CI_monthly_change: -1.635630499594
p_CI_monthly_change: 0.102598004528914
coef_CI_zscore_x_covid_2020_2021: -19.5745820846827
hac_se_CI_zscore_x_covid_2020_2021: 5.90380005676511
t_CI_zscore_x_covid_2020_2021: -3.31559028023864
p_CI_zscore_x_covid_2020_2021: 0.000986539640683404
coef_CI_monthly_change_x_covid_2020_2021: -0.000703152815327956
formula:
WTI_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_covid_2020_2021 + CI_monthly_change_x_covid_2020_2021

high_leverage_months:
1990-09;1990-10;1999-12;2000-02;2008-06;2015-08;2017-02;2020-03;2020-04;2020-12;2021-03;2021-04;2021-05;2021-06;2021-07;2021-09;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.404385825903066
full_r2: 0.356730217556445
test_rmse: 30.8336165249843
test_mae: 26.1420477019513
test_r2: -0.0915283821919102
high_leverage_month_count: 13
max_cooks_distance: 0.68702754158602
coef_intercept: -4.78514938275345
hac_se_intercept: 6.45534462026223
t_intercept: -0.741269392145801
p_intercept: 0.459199105699937
coef_GM2_YoY_lag: 2.53848805933791
hac_se_GM2_YoY_lag: 0.752835023704971
t_GM2_YoY_lag: 3.37190483891823
p_GM2_YoY_lag: 0.000860090572149197
regime: covid_2020_2021
coef_CI_zscore: -3.25060213311446
hac_se_CI_zscore: 0.959274575321881
t_CI_zscore: -3.38860449003742
p_CI_zscore: 0.000811476557657675
coef_CI_monthly_change: -0.000144147566519592
hac_se_CI_monthly_change: 0.000228192692977711
t_CI_monthly_change: -0.631692297586726
p_CI_monthly_change: 0.528142966301862
coef_GM2_x_covid_2020_2021: 2.28883336937264
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_covid_2020_2021 + CI_zscore_x_covid_2020_2021

high_leverage_months:
2008-05;2008-06;2015-08;2017-02;2020-03;2020-04;2020-11;2021-01;2021-02;2021-03;2021-04;2021-05;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.407561336315032
full_r2: 0.335669209260421
test_rmse: 34.2831935677813
test_mae: 29.303665228324
test_r2: -0.349424654933059
high_leverage_month_count: 7
high_leverage_months: 2015-08;2017-02;2020-04;2020-12;2021-03;2021-04;2021-05
max_cooks_distance: 0.289219552215786
coef_intercept: -5.80960350897122
hac_se_intercept: 6.65516022443492
t_intercept: -0.872947203831521
p_intercept: 0.383497341174776
coef_GM2_YoY_lag: 3.44055364634975
hac_se_GM2_YoY_lag: 0.795043080439347
t_GM2_YoY_lag: 4.32750593143767
p_GM2_YoY_lag: 2.15285827960265e-05
regime: covid_2020_2021
coef_CI_zscore: -2.27754684153321
hac_se_CI_zscore: 0.717308681183705
t_CI_zscore: -3.17512794878601
p_CI_zscore: 0.00167817333833198
coef_CI_monthly_change: -0.000193950975883261
hac_se_CI_monthly_change: 0.000232695192329418
t_CI_monthly_change: -0.83349799341231
p_CI_monthly_change: 0.405328977145417
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_covid_2020_2021


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.160718171786231
full_r2: 0.13858564302374
test_rmse: 33.0844484027493
test_mae: 26.9455221370175
test_r2: -0.256706599641708
high_leverage_month_count: 18
max_cooks_distance: 0.225138358710515
coef_intercept: -10.9783829510522
hac_se_intercept: 7.38619953672889
t_intercept: -1.48633717468107
p_intercept: 0.138387734509352
coef_GM2_YoY_lag: 2.84851851992458
hac_se_GM2_YoY_lag: 1.0004642718695
t_GM2_YoY_lag: 2.84719664661463
p_GM2_YoY_lag: 0.0047585822955456
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 4.21449159671224
hac_se_GM2_x_war_spr_2022_2023: 3.49201744889989
t_GM2_x_war_spr_2022_2023: 1.20689305204931
p_GM2_x_war_spr_2022_2023: 0.228557726408069
high_leverage_months:
2008-05;2008-06;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-01;2022-02;2022-03;2022-04;2022-05;2022-09;2022-10;2022-11


target: WTI_YoY
family: war_spr_2022_2023
model: regime_ci
lag_months: 0
n_obs: 467
n_train: 374
n_test: 93
train_r2: 0.112682625288366
full_r2: 0.115165918645043
test_rmse: 46.2176350384099
test_mae: 33.2661243673045
test_r2: 0.0600336477634985
high_leverage_month_count: 17
max_cooks_distance: 0.239774644853816
coef_intercept: 10.3473725749536
hac_se_intercept: 3.44433565740139
t_intercept: 3.00417079059023
p_intercept: 0.00280774751278523
regime: war_spr_2022_2023
coef_CI_zscore: -3.49708343629417
hac_se_CI_zscore: 0.762978348864568
t_CI_zscore: -4.58346353012295
p_CI_zscore: 5.89387612515146e-06
coef_CI_monthly_change: -0.000457810112457935
hac_se_CI_monthly_change: 0.000213179429120127
t_CI_monthly_change: -2.14753418914523
p_CI_monthly_change: 0.0322703591349567
coef_CI_zscore_x_war_spr_2022_2023: -22.3206290683716
hac_se_CI_zscore_x_war_spr_2022_2023: 5.0591358879023
t_CI_zscore_x_war_spr_2022_2023: -4.41194495719041
p_CI_zscore_x_war_spr_2022_2023: 1.27617619407605e-05
coef_CI_monthly_change_x_war_spr_2022_2023: 0.000930426948330454
formula:
WTI_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_war_spr_2022_2023 + CI_monthly_change_x_war_spr_2022_2023

high_leverage_months:
1990-09;1990-10;1999-12;2000-02;2008-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2022-03;2022-11;2022-12;2023-01;2023-10;2023-11


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.250742312742306
full_r2: 0.253416328812183
test_rmse: 30.7154968750214
test_mae: 26.5824264263926
test_r2: -0.083181389141892
high_leverage_month_count: 11
high_leverage_months: 2015-08;2017-02;2020-04;2020-11;2020-12;2021-03;2021-04;2021-05;2022-03;2022-11;2023-02
max_cooks_distance: 0.814397021859905
coef_intercept: -5.2010776797682
hac_se_intercept: 6.29304495058398
t_intercept: -0.826480300174171
p_intercept: 0.40928948609187
coef_GM2_YoY_lag: 2.58747559464667
hac_se_GM2_YoY_lag: 0.896669541023514
t_GM2_YoY_lag: 2.88565126422513
p_GM2_YoY_lag: 0.00423380857630962
regime: war_spr_2022_2023
coef_CI_zscore: -3.51192445783581
hac_se_CI_zscore: 1.078034430747
t_CI_zscore: -3.25771084639874
p_CI_zscore: 0.00127257533243985
coef_CI_monthly_change: -0.000199532018123616
hac_se_CI_monthly_change: 0.000254119379650183
t_CI_monthly_change: -0.785190088210859
p_CI_monthly_change: 0.433057017819332
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_war_spr_2022_2023 + CI_zscore_x_war_spr_2022_2023


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.378509732302927
full_r2: 0.31177040899049
test_rmse: 35.4406363593348
test_mae: 30.1809250979738
test_r2: -0.442079229989328
high_leverage_month_count: 7
high_leverage_months: 2015-03;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05
max_cooks_distance: 0.157169255110088
coef_intercept: -3.40953563778635
hac_se_intercept: 6.40319652729803
t_intercept: -0.532473995331996
p_intercept: 0.594852501414496
coef_GM2_YoY_lag: 3.11781377096006
hac_se_GM2_YoY_lag: 0.804696531940181
t_GM2_YoY_lag: 3.87452119800092
p_GM2_YoY_lag: 0.000135290178248093
regime: war_spr_2022_2023
coef_CI_zscore: -1.97539190181664
hac_se_CI_zscore: 0.729072314540585
t_CI_zscore: -2.70945949039556
p_CI_zscore: 0.00718725505189965
coef_CI_monthly_change: -0.000211036932442177
hac_se_CI_monthly_change: 0.000246226608620597
t_CI_monthly_change: -0.857084186085496
p_CI_monthly_change: 0.392187657761212
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_war_spr_2022_2023


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 0
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.175751265199627
full_r2: 0.13083069861589
test_rmse: 35.0915573965198
test_mae: 28.7507816789753
test_r2: -0.41381109425565
high_leverage_month_count: 14
max_cooks_distance: 0.355611502822079
coef_intercept: -11.2733805502828
hac_se_intercept: 7.16178569943186
t_intercept: -1.57410191025083
p_intercept: 0.116666047467961
coef_GM2_YoY_lag: 2.70037945893713
hac_se_GM2_YoY_lag: 1.19470060151441
t_GM2_YoY_lag: 2.26029806590379
p_GM2_YoY_lag: 0.0246207751387202
regime: normal_period
coef_GM2_x_normal_period: 0.498131174373384
hac_se_GM2_x_normal_period: 1.10210768044475
t_GM2_x_normal_period: 0.451980494476154
p_GM2_x_normal_period: 0.651655569870502
high_leverage_months:
2008-05;2008-06;2008-12;2009-09;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-06;2021-10


target: WTI_YoY
family: normal_period
model: regime_ci
lag_months: 0
n_obs: 467
n_train: 374
n_test: 93
train_r2: 0.125455769172315
full_r2: 0.112634621405907
test_rmse: 45.7540407780829
test_mae: 32.7917030432805
test_r2: 0.0787960749636597
high_leverage_month_count: 17
max_cooks_distance: 1.84663687053481
coef_intercept: 11.7388645483564
hac_se_intercept: 3.43051494642058
t_intercept: 3.421895759587
p_intercept: 0.00067714186238832
regime: normal_period
coef_CI_zscore: -4.74908293845506
hac_se_CI_zscore: 1.25736710049083
t_CI_zscore: -3.77700588523527
p_CI_zscore: 0.00017945899162064
coef_CI_monthly_change: -0.000609771468292664
hac_se_CI_monthly_change: 0.000350847028869859
t_CI_monthly_change: -1.73799809636937
p_CI_monthly_change: 0.0828774415752824
coef_CI_zscore_x_normal_period: 3.51172108921245
hac_se_CI_zscore_x_normal_period: 1.99216101634774
t_CI_zscore_x_normal_period: 1.76276970606048
p_CI_zscore_x_normal_period: 0.078600454781329
coef_CI_monthly_change_x_normal_period: 0.000320699079984887
formula:
WTI_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_normal_period + CI_monthly_change_x_normal_period

high_leverage_months:
1990-08;1990-09;1990-10;1999-12;2000-01;2000-02;2000-03;2008-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-06;2021-07;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.260526939671385
full_r2: 0.239607575978957
test_rmse: 30.2195525745093
test_mae: 25.83280800692
test_r2: -0.0484848489518719
high_leverage_month_count: 11
high_leverage_months: 2008-05;2015-08;2017-02;2020-04;2020-09;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05
max_cooks_distance: 1.8499061640197
coef_intercept: -2.60530911607802
hac_se_intercept: 6.58143081561831
t_intercept: -0.395857555760579
p_intercept: 0.692534754005201
coef_GM2_YoY_lag: 2.35105846130312
hac_se_GM2_YoY_lag: 1.09395505934964
t_GM2_YoY_lag: 2.14913623846745
p_GM2_YoY_lag: 0.0325468653619931
regime: normal_period
coef_CI_zscore: -4.43968085744742
hac_se_CI_zscore: 1.63256634345055
t_CI_zscore: -2.71944896773005
p_CI_zscore: 0.00697963829730108
coef_CI_monthly_change: -0.000274118082248531
hac_se_CI_monthly_change: 0.00024683030555562
t_CI_monthly_change: -1.11055278091354
p_CI_monthly_change: 0.267786885000549
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_normal_period + CI_zscore_x_normal_period


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.403425855308779
full_r2: 0.349800121224962
test_rmse: 32.5024122737411
test_mae: 28.0204354436227
test_r2: -0.212878475138997
high_leverage_month_count: 8
high_leverage_months: 2015-03;2015-08;2016-08;2017-02;2020-04;2021-03;2021-04;2021-05
max_cooks_distance: 0.168816464802478
coef_intercept: -4.45943102017416
hac_se_intercept: 6.36487509755926
t_intercept: -0.700631348113055
p_intercept: 0.484159620445261
coef_GM2_YoY_lag: 3.16990930371694
hac_se_GM2_YoY_lag: 0.78860637650525
t_GM2_YoY_lag: 4.01963438054427
p_GM2_YoY_lag: 7.64011417819788e-05
regime: normal_period
coef_CI_zscore: -1.95138873764116
hac_se_CI_zscore: 0.816155559082287
t_CI_zscore: -2.3909519648869
p_CI_zscore: 0.0175165315710584
coef_CI_monthly_change: -0.000196698117817196
hac_se_CI_monthly_change: 0.000238848818155172
t_CI_monthly_change: -0.823525606433638
p_CI_monthly_change: 0.410963902238412
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_normal_period


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 1
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.232871995671116
full_r2: 0.191192153817445
test_rmse: 33.2307978599777
test_mae: 26.9608122997461
test_r2: -0.345209132396887
high_leverage_month_count: 23
max_cooks_distance: 0.37429412925187
coef_intercept: -16.0345414797663
hac_se_intercept: 7.77392308510615
t_intercept: -2.06260613904021
p_intercept: 0.0401319790097545
coef_GM2_YoY_lag: 3.75891370734332
hac_se_GM2_YoY_lag: 1.18944489135562
t_GM2_YoY_lag: 3.16022518963383
p_GM2_YoY_lag: 0.00176083813363026
coef_GM2_x_financial_crisis_2008_2009: -0.891475151413324
hac_se_GM2_x_financial_crisis_2008_2009: 1.43859555928106
t_GM2_x_financial_crisis_2008_2009: -0.619684348156089
p_GM2_x_financial_crisis_2008_2009: 0.536002109047226
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-03;2008-04;2008-05;2008-06;2008-07;2008-11;2008-12;2009-01;2009-02;2009-03;2009-07;2009-09;2009-12;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 1
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.379813512239885
full_r2: 0.342250857874126
test_rmse: 29.2643993020942
test_mae: 25.3960012488991
test_r2: -0.0432478481800358
high_leverage_month_count: 17
max_cooks_distance: 0.776184433295537
coef_intercept: -4.40120159813906
hac_se_intercept: 7.38819821876409
t_intercept: -0.595707027318401
p_intercept: 0.551889157830534
coef_GM2_YoY_lag: 2.84813967471887
hac_se_GM2_YoY_lag: 1.11779597524542
t_GM2_YoY_lag: 2.54799600087443
p_GM2_YoY_lag: 0.0114103884515728
coef_GM2_x_financial_crisis_2008_2009: 0.368448363695576
hac_se_GM2_x_financial_crisis_2008_2009: 1.01893789524267
t_GM2_x_financial_crisis_2008_2009: 0.361600412955321
p_GM2_x_financial_crisis_2008_2009: 0.71794433864187
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.42657232855441
hac_se_CI_zscore: 1.08057106175487
t_CI_zscore: -3.17107541542856
p_CI_zscore: 0.00170086727060048
coef_CI_monthly_change: -0.000182576498828801
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_financial_crisis_2008_2009 + CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-05;2008-09;2008-11;2009-01;2009-04;2009-11;2009-12;2015-08;2017-02;2020-04;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 1
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.426946048990293
full_r2: 0.366608325052302
test_rmse: 32.2565354782867
test_mae: 28.0423576623479
test_r2: -0.267487572269922
high_leverage_month_count: 13
max_cooks_distance: 0.298565184054646
coef_intercept: -5.87870062425216
hac_se_intercept: 6.41188536955999
t_intercept: -0.916844311060348
p_intercept: 0.360073869834131
coef_GM2_YoY_lag: 3.44623615122801
hac_se_GM2_YoY_lag: 0.826329953742145
t_GM2_YoY_lag: 4.17053277037976
p_GM2_YoY_lag: 4.14437194533601e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.15985377946827
hac_se_CI_zscore: 0.687012374035303
t_CI_zscore: -3.14383533848442
p_CI_zscore: 0.00186093066597159
coef_CI_monthly_change: -0.000133715189594152
hac_se_CI_monthly_change: 0.000225980507237031
t_CI_monthly_change: -0.591711166724211
p_CI_monthly_change: 0.554558153813377
coef_GM2_x_CI_zscore: -0.924758488617647
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-07;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2020-10;2020-11;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 1
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.219487945885971
full_r2: 0.185268729179951
test_rmse: 32.1683080809976
test_mae: 25.9565856414635
test_r2: -0.260563443913575
high_leverage_month_count: 22
max_cooks_distance: 1.00987070730922
coef_intercept: -14.1535335641361
hac_se_intercept: 6.49967195384546
t_intercept: -2.17757660150253
p_intercept: 0.0303265234492729
coef_GM2_YoY_lag: 3.30527867374821
hac_se_GM2_YoY_lag: 0.766925420434064
t_GM2_YoY_lag: 4.30977848129939
p_GM2_YoY_lag: 2.31146989324582e-05
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.312924200666336
hac_se_GM2_x_covid_2020_2021: 2.04957739479778
t_GM2_x_covid_2020_2021: 0.152677425824757
p_GM2_x_covid_2020_2021: 0.878769730460581
high_leverage_months:
2008-05;2008-06;2009-01;2020-04;2020-05;2020-06;2020-07;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-07;2021-09;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 1
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.435372945784695
full_r2: 0.393028006218863
test_rmse: 29.2479710102397
test_mae: 24.7846226023178
test_r2: -0.0420768711638098
high_leverage_month_count: 13
max_cooks_distance: 0.621404152096029
coef_intercept: -7.74536828136911
hac_se_intercept: 6.10312375735613
t_intercept: -1.26908261888571
p_intercept: 0.20554649460925
coef_GM2_YoY_lag: 2.89590222213876
hac_se_GM2_YoY_lag: 0.71897878508711
t_GM2_YoY_lag: 4.0277992650199
p_GM2_YoY_lag: 7.39474928692641e-05
regime: covid_2020_2021
coef_CI_zscore: -2.99335604326398
hac_se_CI_zscore: 0.907042532281767
t_CI_zscore: -3.30012754278882
p_CI_zscore: 0.00110160593904451
coef_CI_monthly_change: -0.000136016006693218
hac_se_CI_monthly_change: 0.000210908748793391
t_CI_monthly_change: -0.644904526110774
p_CI_monthly_change: 0.519557680868608
coef_GM2_x_covid_2020_2021: 2.15185592040717
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_covid_2020_2021 + CI_zscore_x_covid_2020_2021

high_leverage_months:
2009-01;2009-02;2015-08;2017-02;2020-03;2020-04;2020-11;2021-01;2021-02;2021-03;2021-04;2021-05;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 1
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.226774556967056
full_r2: 0.202119573007645
test_rmse: 31.1574135080558
test_mae: 25.6542977397854
test_r2: -0.182581459609051
high_leverage_month_count: 15
max_cooks_distance: 0.284265030043216
coef_intercept: -15.350006740868
hac_se_intercept: 7.08195974084206
t_intercept: -2.16748009062288
p_intercept: 0.0310956930822526
coef_GM2_YoY_lag: 3.41217771744545
hac_se_GM2_YoY_lag: 0.963947200047997
t_GM2_YoY_lag: 3.53979732217236
p_GM2_YoY_lag: 0.000473389738903096
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.02973538742453
hac_se_GM2_x_war_spr_2022_2023: 3.08691076978397
t_GM2_x_war_spr_2022_2023: 1.62937504921029
p_GM2_x_war_spr_2022_2023: 0.104430772446767
high_leverage_months:
2008-06;2009-01;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-03;2022-04;2022-05;2022-10;2022-11;2022-12


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 1
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.23108573134096
full_r2: 0.186470376951787
test_rmse: 33.9148900676942
test_mae: 27.3928769623091
test_r2: -0.401164408220686
high_leverage_month_count: 13
max_cooks_distance: 0.426962604551817
coef_intercept: -15.3444689343978
hac_se_intercept: 6.89124373714448
t_intercept: -2.22666176378142
p_intercept: 0.0268170177782761
coef_GM2_YoY_lag: 3.29505336816176
hac_se_GM2_YoY_lag: 1.14271757561867
t_GM2_YoY_lag: 2.88352383691817
p_GM2_YoY_lag: 0.00425777761767732
regime: normal_period
coef_GM2_x_normal_period: 0.413937806992612
hac_se_GM2_x_normal_period: 1.07398458407798
t_GM2_x_normal_period: 0.385422484763111
p_GM2_x_normal_period: 0.700235971159262
high_leverage_months:
2008-05;2008-06;2009-01;2009-02;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 2
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.298563768945404
full_r2: 0.257165645636342
test_rmse: 32.4975490807368
test_mae: 26.3078787423265
test_r2: -0.286499098887468
high_leverage_month_count: 24
max_cooks_distance: 0.528442676352052
coef_intercept: -20.4846988009412
hac_se_intercept: 7.54668884495406
t_intercept: -2.71439557424418
p_intercept: 0.0070805383192043
coef_GM2_YoY_lag: 4.42682352477873
hac_se_GM2_YoY_lag: 1.16114252208982
t_GM2_YoY_lag: 3.81247214752874
p_GM2_YoY_lag: 0.000171580226455026
coef_GM2_x_financial_crisis_2008_2009: -1.34201285780128
hac_se_GM2_x_financial_crisis_2008_2009: 1.44896910510225
t_GM2_x_financial_crisis_2008_2009: -0.926184590876135
p_GM2_x_financial_crisis_2008_2009: 0.355202401420018
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-12;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2022-12


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.414214485795995
full_r2: 0.384144850187382
test_rmse: 27.5981935767515
test_mae: 24.1944887687667
test_r2: 0.0721674960819686
high_leverage_month_count: 16
max_cooks_distance: 0.71453537760104
coef_intercept: -9.4217599549647
hac_se_intercept: 7.50211973131096
t_intercept: -1.25587971032266
p_intercept: 0.210291312830259
coef_GM2_YoY_lag: 3.53357928206607
hac_se_GM2_YoY_lag: 1.14077124485111
t_GM2_YoY_lag: 3.09753537180653
p_GM2_YoY_lag: 0.00216611626094032
coef_GM2_x_financial_crisis_2008_2009: -0.178505638092068
hac_se_GM2_x_financial_crisis_2008_2009: 1.11196372191832
t_GM2_x_financial_crisis_2008_2009: -0.160531890180838
p_GM2_x_financial_crisis_2008_2009: 0.872587238376952
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.07676409071124
hac_se_CI_zscore: 1.04483565985202
t_CI_zscore: -2.94473495587527
p_CI_zscore: 0.00352607198179955
coef_CI_monthly_change: -0.000156222917043092
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_financial_crisis_2008_2009 + CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-05;2008-09;2008-10;2008-11;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.443702222308561
full_r2: 0.404001901081575
test_rmse: 28.8346112749779
test_mae: 25.4450403583976
test_r2: -0.0128298017111748
high_leverage_month_count: 16
max_cooks_distance: 0.263455017581672
coef_intercept: -8.78420543183809
hac_se_intercept: 6.58798477476237
t_intercept: -1.33336759755261
p_intercept: 0.183582722557465
coef_GM2_YoY_lag: 3.74437129262162
hac_se_GM2_YoY_lag: 0.899828661468473
t_GM2_YoY_lag: 4.16120474147935
p_GM2_YoY_lag: 4.31118800217067e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.21808053298608
hac_se_CI_zscore: 0.570067481152381
t_CI_zscore: -3.89090871926648
p_CI_zscore: 0.000127054233217905
coef_CI_monthly_change: -8.79806869900079e-05
hac_se_CI_monthly_change: 0.000223313774793292
t_CI_monthly_change: -0.393977877412382
p_CI_monthly_change: 0.693921541852112
coef_GM2_x_CI_zscore: -0.863689315457379
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-07;2008-09;2008-12;2009-02;2009-11;2009-12;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 2
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.276103995326055
full_r2: 0.244764406477559
test_rmse: 31.0391917119203
test_mae: 25.059895659206
test_r2: -0.173624254815053
high_leverage_month_count: 20
max_cooks_distance: 1.31639269836231
coef_intercept: -17.4894870240835
hac_se_intercept: 6.24985767617548
t_intercept: -2.79838164807394
p_intercept: 0.00551744778936714
coef_GM2_YoY_lag: 3.70078954533316
hac_se_GM2_YoY_lag: 0.780908933544304
t_GM2_YoY_lag: 4.73907953458341
p_GM2_YoY_lag: 3.52507084033782e-06
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.593235825538669
hac_se_GM2_x_covid_2020_2021: 1.93345010080194
t_GM2_x_covid_2020_2021: 0.306827585202541
p_GM2_x_covid_2020_2021: 0.759218324455255
high_leverage_months:
2008-05;2008-06;2008-11;2009-02;2020-04;2020-07;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-09;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.455269934181144
full_r2: 0.421936013037568
test_rmse: 27.5956778496382
test_mae: 23.5242448945808
test_r2: 0.0723366424424966
high_leverage_month_count: 14
max_cooks_distance: 0.765023871495767
coef_intercept: -10.13686407143
hac_se_intercept: 5.93070155663877
t_intercept: -1.70921837401899
p_intercept: 0.0886083308020709
coef_GM2_YoY_lag: 3.17588624108719
hac_se_GM2_YoY_lag: 0.750758859261305
t_GM2_YoY_lag: 4.23023478432482
p_GM2_YoY_lag: 3.24167676244436e-05
regime: covid_2020_2021
coef_CI_zscore: -2.77347086369393
hac_se_CI_zscore: 0.870240468957515
t_CI_zscore: -3.18701664956623
p_CI_zscore: 0.00161390480881174
coef_CI_monthly_change: -0.000129996742060268
hac_se_CI_monthly_change: 0.000210614080761309
t_CI_monthly_change: -0.617227212873742
p_CI_monthly_change: 0.53762710805186
coef_GM2_x_covid_2020_2021: 1.97984449866546
formula:
WTI_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_covid_2020_2021 + CI_zscore_x_covid_2020_2021

high_leverage_months:
2009-02;2015-08;2017-02;2020-03;2020-04;2020-11;2021-01;2021-02;2021-03;2021-04;2021-05;2021-07;2021-08;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 2
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.280891389547249
full_r2: 0.268519206646893
test_rmse: 28.2135857113104
test_mae: 23.0592919449863
test_r2: 0.0303280352869805
high_leverage_month_count: 15
max_cooks_distance: 0.421400405812448
coef_intercept: -19.1452979278424
hac_se_intercept: 6.94756401047554
t_intercept: -2.75568499965961
p_intercept: 0.00626800455041354
coef_GM2_YoY_lag: 3.88749465747154
hac_se_GM2_YoY_lag: 0.969003097742962
t_GM2_YoY_lag: 4.01184956634961
p_GM2_YoY_lag: 7.86571915802892e-05
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.72246776252254
hac_se_GM2_x_war_spr_2022_2023: 2.47949107976392
t_GM2_x_war_spr_2022_2023: 2.30792028623366
p_GM2_x_war_spr_2022_2023: 0.0217829625399264
high_leverage_months:
2009-02;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-03;2022-04;2022-05;2022-06;2022-11;2022-12;2023-01


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 2
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.28484567663028
full_r2: 0.243565867735784
test_rmse: 32.847718210946
test_mae: 26.4854536502679
test_r2: -0.314373161154318
high_leverage_month_count: 17
max_cooks_distance: 0.59073825221198
coef_intercept: -18.9861407876733
hac_se_intercept: 6.72272925726997
t_intercept: -2.82417156203958
p_intercept: 0.0051045884645271
coef_GM2_YoY_lag: 3.79739076732634
hac_se_GM2_YoY_lag: 1.14055773043888
t_GM2_YoY_lag: 3.32941565865774
p_GM2_YoY_lag: 0.000995297880596047
regime: normal_period
coef_GM2_x_normal_period: 0.376370317522009
hac_se_GM2_x_normal_period: 1.06383628814376
t_GM2_x_normal_period: 0.353785936536083
p_GM2_x_normal_period: 0.723783842647705
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-02;2009-03;2010-02;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.334765787468928
full_r2: 0.304107264225067
test_rmse: 30.3717161843707
test_mae: 23.9413777919083
test_r2: -0.174612609852789
high_leverage_month_count: 24
max_cooks_distance: 0.462918421066043
coef_intercept: -23.2323212943734
hac_se_intercept: 6.77775002524
t_intercept: -3.42773357055916
p_intercept: 0.000707034778444804
coef_GM2_YoY_lag: 4.87776394363793
hac_se_GM2_YoY_lag: 1.036022273959
t_GM2_YoY_lag: 4.70816512949893
p_GM2_YoY_lag: 4.06239790473606e-06
coef_GM2_x_financial_crisis_2008_2009: -1.80931578096284
hac_se_GM2_x_financial_crisis_2008_2009: 1.49734872539687
t_GM2_x_financial_crisis_2008_2009: -1.20834629253335
p_GM2_x_financial_crisis_2008_2009: 0.228007740469885
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-12;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.437172022805519
full_r2: 0.416267141312163
test_rmse: 25.7386995125578
test_mae: 22.5312830377206
test_r2: 0.156414332339951
high_leverage_month_count: 17
max_cooks_distance: 0.612785631605386
coef_intercept: -12.7474143485502
hac_se_intercept: 6.83271777426866
t_intercept: -1.86564333105573
p_intercept: 0.063226151782404
coef_GM2_YoY_lag: 4.0140174864001
hac_se_GM2_YoY_lag: 1.03867879138557
t_GM2_YoY_lag: 3.8645416847739
p_GM2_YoY_lag: 0.000140872883631404
coef_GM2_x_financial_crisis_2008_2009: -0.677246804233995
hac_se_GM2_x_financial_crisis_2008_2009: 1.18252567529763
t_GM2_x_financial_crisis_2008_2009: -0.572712135035492
p_GM2_x_financial_crisis_2008_2009: 0.56733837814527
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.81391442353594
hac_se_CI_zscore: 0.984806706055542
t_CI_zscore: -2.85732662687336
p_CI_zscore: 0.00462054263162726
coef_CI_monthly_change: -0.000172036360824634
high_leverage_months:
2008-03;2008-05;2008-09;2008-10;2008-11;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.451332948571179
full_r2: 0.428280878726024
test_rmse: 25.9992914029933
test_mae: 23.3013577709001
test_r2: 0.139246065696804
high_leverage_month_count: 19
max_cooks_distance: 0.231783542193903
coef_intercept: -10.6925725428577
hac_se_intercept: 6.36860680019135
t_intercept: -1.67895002444435
p_intercept: 0.0943724330788669
coef_GM2_YoY_lag: 3.90906526163165
hac_se_GM2_YoY_lag: 0.917994409967174
t_GM2_YoY_lag: 4.25826695586461
p_GM2_YoY_lag: 2.88783562523154e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.14334986514677
hac_se_CI_zscore: 0.513985913978225
t_CI_zscore: -4.17005565105345
p_CI_zscore: 4.16208987037425e-05
coef_CI_monthly_change: -0.000106814280557366
hac_se_CI_monthly_change: 0.000224226696983279
t_CI_monthly_change: -0.476367363897489
p_CI_monthly_change: 0.634215851483323
coef_GM2_x_CI_zscore: -0.760549708068647
high_leverage_months:
2008-07;2008-09;2008-10;2008-11;2008-12;2009-01;2009-03;2009-11;2009-12;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.375263747636831
full_r2: 0.356642940478229
test_rmse: 27.6789203444569
test_mae: 24.5278041469381
test_r2: 0.0244393266216393
high_leverage_month_count: 13
max_cooks_distance: 0.361831554108128
coef_intercept: -10.5109237764702
hac_se_intercept: 6.50707275876194
t_intercept: -1.61530755320308
p_intercept: 0.107466300965021
coef_GM2_YoY_lag: 3.73973435204725
hac_se_GM2_YoY_lag: 0.904796390125269
t_GM2_YoY_lag: 4.13323305979313
p_GM2_YoY_lag: 4.83954512016105e-05
regime: shale_regime_2014_2017
coef_CI_zscore: -8.46673139797852
hac_se_CI_zscore: 3.95684819753725
t_CI_zscore: -2.13976654531459
p_CI_zscore: 0.0333119608570429
coef_CI_monthly_change: -0.000198367343501538
hac_se_CI_monthly_change: 0.000230195419275441
t_CI_monthly_change: -0.861734538966567
p_CI_monthly_change: 0.389633818892316
coef_GM2_x_shale_regime_2014_2017: -0.87674368274227
high_leverage_months:
2008-10;2008-11;2009-03;2009-04;2015-08;2017-01;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.300521853849535
full_r2: 0.281099870045373
test_rmse: 28.6755823690225
test_mae: 22.4316988754939
test_r2: -0.0470815000731399
high_leverage_month_count: 20
max_cooks_distance: 1.18152497914149
coef_intercept: -19.2767616414446
hac_se_intercept: 6.02057005014057
t_intercept: -3.20181668528124
p_intercept: 0.00153490569185277
coef_GM2_YoY_lag: 3.91519556284623
hac_se_GM2_YoY_lag: 0.846579024742894
t_GM2_YoY_lag: 4.62472545198634
p_GM2_YoY_lag: 5.9080119496624e-06
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.763383631054069
hac_se_GM2_x_covid_2020_2021: 1.75302080831385
t_GM2_x_covid_2020_2021: 0.435467524078241
p_GM2_x_covid_2020_2021: 0.663583009822176
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-03;2010-02;2020-04;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.449237826951657
full_r2: 0.428636967839274
test_rmse: 25.4588807945901
test_mae: 21.9396630702647
test_r2: 0.174656741464809
high_leverage_month_count: 15
max_cooks_distance: 0.686730200631043
coef_intercept: -11.0768179850952
hac_se_intercept: 5.74941260866632
t_intercept: -1.92659993968751
p_intercept: 0.0551278829417037
coef_GM2_YoY_lag: 3.29894456542274
hac_se_GM2_YoY_lag: 0.822057635218257
t_GM2_YoY_lag: 4.01303317929389
p_GM2_YoY_lag: 7.85986823508278e-05
regime: covid_2020_2021
coef_CI_zscore: -2.66778606233534
hac_se_CI_zscore: 0.841205941047941
t_CI_zscore: -3.17138281145747
p_CI_zscore: 0.00170059256597344
coef_CI_monthly_change: -0.000175131122241101
hac_se_CI_monthly_change: 0.00021207018641133
t_CI_monthly_change: -0.825816797753068
p_CI_monthly_change: 0.409670999248973
coef_GM2_x_covid_2020_2021: 1.74843069914781
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2015-08;2017-02;2020-03;2020-04;2020-11;2021-01;2021-02;2021-03;2021-04;2021-08;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.306340581442877
full_r2: 0.308746969330854
test_rmse: 25.3417677395303
test_mae: 20.2013423310967
test_r2: 0.182232577385737
high_leverage_month_count: 16
max_cooks_distance: 0.376451185750597
coef_intercept: -21.0520632212776
hac_se_intercept: 6.4707716890907
t_intercept: -3.25340843917735
p_intercept: 0.00129062953137504
coef_GM2_YoY_lag: 4.12692122170816
hac_se_GM2_YoY_lag: 0.947799121679036
t_GM2_YoY_lag: 4.35421507291258
p_GM2_YoY_lag: 1.91965148812479e-05
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.71323427199019
hac_se_GM2_x_war_spr_2022_2023: 1.74970966707208
t_GM2_x_war_spr_2022_2023: 3.26524701755268
p_GM2_x_war_spr_2022_2023: 0.00123991990032124
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-01;2022-03;2022-05;2022-12;2023-01;2023-02


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.418813008548258
full_r2: 0.409927842822724
test_rmse: 25.306143150187
test_mae: 22.390663808177
test_r2: 0.184530140214211
high_leverage_month_count: 13
max_cooks_distance: 0.225006105926766
coef_intercept: -12.9950587431238
hac_se_intercept: 6.20272330125515
t_intercept: -2.09505697932619
p_intercept: 0.0371410844111144
coef_GM2_YoY_lag: 4.02180580528505
hac_se_GM2_YoY_lag: 0.869300188981258
t_GM2_YoY_lag: 4.62648674906909
p_GM2_YoY_lag: 5.8913114249215e-06
regime: war_spr_2022_2023
coef_CI_zscore: -1.86082181049882
hac_se_CI_zscore: 0.491044120477519
t_CI_zscore: -3.78952060089683
p_CI_zscore: 0.000187926306724817
coef_CI_monthly_change: -0.00015920304932493
hac_se_CI_monthly_change: 0.000229868301060714
t_CI_monthly_change: -0.692583747260045
p_CI_monthly_change: 0.489193717164878
coef_GM2_x_CI_zscore: -0.913904408284656
high_leverage_months:
2008-09;2008-10;2008-11;2009-03;2009-04;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 3
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.307585049190486
full_r2: 0.278960991719272
test_rmse: 30.4880291464985
test_mae: 23.9446082567325
test_r2: -0.1836265410709
high_leverage_month_count: 18
max_cooks_distance: 0.532159442027563
coef_intercept: -21.144993527928
hac_se_intercept: 6.30633806622442
t_intercept: -3.35297494455247
p_intercept: 0.000918000690288023
coef_GM2_YoY_lag: 4.04099147208123
hac_se_GM2_YoY_lag: 1.12341775781747
t_GM2_YoY_lag: 3.59705144765729
p_GM2_YoY_lag: 0.000384877779962212
regime: normal_period
coef_GM2_x_normal_period: 0.466868120012771
hac_se_GM2_x_normal_period: 1.06332820980954
t_GM2_x_normal_period: 0.439063043475912
p_GM2_x_normal_period: 0.660979117942893
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-03;2009-04;2010-02;2011-09;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.360845118961664
full_r2: 0.35085228815241
test_rmse: 26.4415614465311
test_mae: 21.5831142510134
test_r2: 0.1097126782264
high_leverage_month_count: 15
max_cooks_distance: 1.35791815956803
coef_intercept: -13.7925347915339
hac_se_intercept: 6.08420724417952
t_intercept: -2.26694033223944
p_intercept: 0.0242219263382419
coef_GM2_YoY_lag: 3.63646696092434
hac_se_GM2_YoY_lag: 1.08905233396814
t_GM2_YoY_lag: 3.33911130576644
p_GM2_YoY_lag: 0.000964549891782074
regime: normal_period
coef_CI_zscore: -3.4806753300707
hac_se_CI_zscore: 1.41950064751856
t_CI_zscore: -2.45204208688126
p_CI_zscore: 0.014868051357898
coef_CI_monthly_change: -0.000270296747719723
hac_se_CI_monthly_change: 0.000225417901222742
t_CI_monthly_change: -1.19909175914398
p_CI_monthly_change: 0.231592393988009
coef_GM2_x_normal_period: -0.140887366035412
high_leverage_months:
2004-10;2008-10;2008-11;2008-12;2009-03;2010-02;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.447891098972954
full_r2: 0.441212974625751
test_rmse: 23.371901373
test_mae: 21.0563772804429
test_r2: 0.304424810020415
high_leverage_month_count: 14
max_cooks_distance: 0.252808803990635
coef_intercept: -12.1372118033966
hac_se_intercept: 6.02861210958691
t_intercept: -2.01326799315808
p_intercept: 0.0451249810101968
coef_GM2_YoY_lag: 3.90024783181512
hac_se_GM2_YoY_lag: 0.878950396658775
t_GM2_YoY_lag: 4.43739242469365
p_GM2_YoY_lag: 1.34984800277405e-05
regime: normal_period
coef_CI_zscore: -2.15230842401158
hac_se_CI_zscore: 0.492237814846829
t_CI_zscore: -4.37249711235882
p_CI_zscore: 1.78306735592049e-05
coef_CI_monthly_change: -0.000129535783701673
hac_se_CI_monthly_change: 0.000220501317526762
t_CI_monthly_change: -0.587460361482654
p_CI_monthly_change: 0.557408339336717
coef_GM2_x_CI_zscore: -1.49597974329718
high_leverage_months:
2008-09;2008-10;2008-11;2009-03;2009-12;2015-06;2015-07;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.34563832558356
full_r2: 0.325053771800644
test_rmse: 28.6240279293164
test_mae: 24.0371450092835
test_r2: -0.0433198903643801
high_leverage_month_count: 25
max_cooks_distance: 0.463843742227596
coef_intercept: -24.2932225485657
hac_se_intercept: 6.11039674550039
t_intercept: -3.97571934530355
p_intercept: 9.09828125219558e-05
coef_GM2_YoY_lag: 5.08792535299204
hac_se_GM2_YoY_lag: 0.930291160846798
t_GM2_YoY_lag: 5.46917520785724
p_GM2_YoY_lag: 1.06125754184561e-07
coef_GM2_x_financial_crisis_2008_2009: -2.22820765243126
hac_se_GM2_x_financial_crisis_2008_2009: 1.60146465391707
t_GM2_x_financial_crisis_2008_2009: -1.39135612327204
p_GM2_x_financial_crisis_2008_2009: 0.16530680174246
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;2009-04;2009-05;2009-12;2011-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.44330900936727
full_r2: 0.430363783937842
test_rmse: 24.3155092473285
test_mae: 20.8159594587805
test_r2: 0.247125249526875
high_leverage_month_count: 19
max_cooks_distance: 0.59811171918589
coef_intercept: -14.3355187386455
hac_se_intercept: 6.23907037188486
t_intercept: -2.29770108111709
p_intercept: 0.022382609118379
coef_GM2_YoY_lag: 4.25372516438828
hac_se_GM2_YoY_lag: 0.953232399763901
t_GM2_YoY_lag: 4.46242192926075
p_GM2_YoY_lag: 1.21321957566867e-05
coef_GM2_x_financial_crisis_2008_2009: -1.04529448742427
hac_se_GM2_x_financial_crisis_2008_2009: 1.28351392377493
t_GM2_x_financial_crisis_2008_2009: -0.814400582698759
p_GM2_x_financial_crisis_2008_2009: 0.416169482163344
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.61144882280744
hac_se_CI_zscore: 0.929121098809009
t_CI_zscore: -2.81066572070629
p_CI_zscore: 0.00532454866389975
coef_CI_monthly_change: -0.000211752833688905
high_leverage_months:
2008-03;2008-04;2008-05;2008-06;2008-09;2008-10;2008-11;2008-12;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.455870359883922
full_r2: 0.442873542969234
test_rmse: 24.3342730182069
test_mae: 21.0073735468192
test_r2: 0.245962845742465
high_leverage_month_count: 17
max_cooks_distance: 0.236932890291766
coef_intercept: -10.9978246735366
hac_se_intercept: 6.26807427271014
t_intercept: -1.75457791261644
p_intercept: 0.0805232439327908
coef_GM2_YoY_lag: 3.92703449762529
hac_se_GM2_YoY_lag: 0.935293149029791
t_GM2_YoY_lag: 4.19872047785117
p_GM2_YoY_lag: 3.70281478279111e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.34479685713983
hac_se_CI_zscore: 0.486130002898668
t_CI_zscore: -4.82339465401931
p_CI_zscore: 2.42036242448229e-06
coef_CI_monthly_change: -0.000124195077613631
hac_se_CI_monthly_change: 0.000225713217167126
t_CI_monthly_change: -0.55023396136201
p_CI_monthly_change: 0.582636815879911
coef_GM2_x_CI_zscore: -0.665686812531562
high_leverage_months:
2008-07;2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-12;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.367594089835616
full_r2: 0.357892539748981
test_rmse: 26.4492101089059
test_mae: 23.2516127064096
test_r2: 0.109197542837266
high_leverage_month_count: 15
max_cooks_distance: 0.386023375809849
coef_intercept: -11.0203878851646
hac_se_intercept: 6.54093291395076
t_intercept: -1.68483426296268
p_intercept: 0.0932344479694283
coef_GM2_YoY_lag: 3.75681881279975
hac_se_GM2_YoY_lag: 0.962539575401266
t_GM2_YoY_lag: 3.90302789496588
p_GM2_YoY_lag: 0.000121413821065897
regime: shale_regime_2014_2017
coef_CI_zscore: -7.93746304044216
hac_se_CI_zscore: 3.81843947214311
t_CI_zscore: -2.07871909410868
p_CI_zscore: 0.0386352985537495
coef_CI_monthly_change: -0.000249412985881214
hac_se_CI_monthly_change: 0.000233109831246976
t_CI_monthly_change: -1.06993765362459
p_CI_monthly_change: 0.285651207950609
coef_GM2_x_shale_regime_2014_2017: -0.775808905605425
high_leverage_months:
2006-04;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-08;2017-01;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.422048789836939
full_r2: 0.409783815305541
test_rmse: 25.1308021233087
test_mae: 21.4461962502107
test_r2: 0.195791434668139
high_leverage_month_count: 15
max_cooks_distance: 0.223950886412907
coef_intercept: -11.8525209305419
hac_se_intercept: 6.30398707467845
t_intercept: -1.88016263201911
p_intercept: 0.0612169452343319
coef_GM2_YoY_lag: 4.01862330011024
hac_se_GM2_YoY_lag: 0.910257061248762
t_GM2_YoY_lag: 4.41482243993491
p_GM2_YoY_lag: 1.48972503299927e-05
regime: shale_regime_2014_2017
coef_CI_zscore: -2.06091205442175
hac_se_CI_zscore: 0.546764547710546
t_CI_zscore: -3.76928618186998
p_CI_zscore: 0.000203125467639564
coef_CI_monthly_change: -0.000172119679751503
hac_se_CI_monthly_change: 0.000227306408905031
t_CI_monthly_change: -0.757214372355931
p_CI_monthly_change: 0.449615106698373
coef_GM2_x_CI_zscore: -1.22100018305489
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.301943819988519
full_r2: 0.292207244260295
test_rmse: 26.9716662476676
test_mae: 21.5107327191959
test_r2: 0.073657590767086
high_leverage_month_count: 21
max_cooks_distance: 1.16747066448601
coef_intercept: -19.3027350776602
hac_se_intercept: 6.07248524702283
t_intercept: -3.17872078604452
p_intercept: 0.00165828830489922
coef_GM2_YoY_lag: 3.86630441983202
hac_se_GM2_YoY_lag: 0.95826940835442
t_GM2_YoY_lag: 4.03467374219052
p_GM2_YoY_lag: 7.19399292918865e-05
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 1.07122003790637
hac_se_GM2_x_covid_2020_2021: 1.61151074153108
t_GM2_x_covid_2020_2021: 0.66473031193612
p_GM2_x_covid_2020_2021: 0.506812146475133
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2010-02;2020-04;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.428416226027886
full_r2: 0.417028052184298
test_rmse: 24.2201631375712
test_mae: 20.4013446567988
test_r2: 0.253018026732074
high_leverage_month_count: 19
max_cooks_distance: 0.674284012330682
coef_intercept: -10.3778460224225
hac_se_intercept: 5.91580893840192
t_intercept: -1.75425645596085
p_intercept: 0.0805784072978273
coef_GM2_YoY_lag: 3.18268055620294
hac_se_GM2_YoY_lag: 0.931357343317219
t_GM2_YoY_lag: 3.41724965078084
p_GM2_YoY_lag: 0.000735252190058988
regime: covid_2020_2021
coef_CI_zscore: -2.6487574032036
hac_se_CI_zscore: 0.845503710265036
t_CI_zscore: -3.13275668816793
p_CI_zscore: 0.00193230818445445
coef_CI_monthly_change: -0.000228686688836355
hac_se_CI_monthly_change: 0.000219757655575413
t_CI_monthly_change: -1.04063127283353
p_CI_monthly_change: 0.299024690908013
coef_GM2_x_covid_2020_2021: 1.71847042732105
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-08;2017-02;2020-03;2020-04;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-07;2021-08;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.425378563627259
full_r2: 0.415556280446006
test_rmse: 24.2776284314521
test_mae: 21.0188832750036
test_r2: 0.249469209871196
high_leverage_month_count: 15
max_cooks_distance: 0.2465391582732
coef_intercept: -11.5098732087512
hac_se_intercept: 6.37841289436102
t_intercept: -1.80450425511443
p_intercept: 0.0723228940706837
coef_GM2_YoY_lag: 3.91824883684163
hac_se_GM2_YoY_lag: 0.919292669341531
t_GM2_YoY_lag: 4.26224310006539
p_GM2_YoY_lag: 2.8438319509938e-05
regime: covid_2020_2021
coef_CI_zscore: -2.30748492180292
hac_se_CI_zscore: 0.490015781553446
t_CI_zscore: -4.7090012376494
p_CI_zscore: 4.07617884135014e-06
coef_CI_monthly_change: -0.00016836709198742
hac_se_CI_monthly_change: 0.000224175400197662
t_CI_monthly_change: -0.75105070332858
p_CI_monthly_change: 0.453309286029303
coef_GM2_x_CI_zscore: -0.7260235546359
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2009-05;2015-08;2017-02;2020-04;2020-12;2021-03;2021-04;2021-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.300194830757884
full_r2: 0.317400742813344
test_rmse: 23.0952909932343
test_mae: 19.4256043623577
test_r2: 0.320791878459411
high_leverage_month_count: 17
max_cooks_distance: 0.383988556405314
coef_intercept: -21.3048822331839
hac_se_intercept: 6.26818090091746
t_intercept: -3.39889396460552
p_intercept: 0.000782812814558165
coef_GM2_YoY_lag: 4.14388277600741
hac_se_GM2_YoY_lag: 0.988123234823596
t_GM2_YoY_lag: 4.19369025033319
p_GM2_YoY_lag: 3.76715708307884e-05
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.29217542471431
hac_se_GM2_x_war_spr_2022_2023: 1.28370093819194
t_GM2_x_war_spr_2022_2023: 4.12259216088772
p_GM2_x_war_spr_2022_2023: 5.04296318182273e-05
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2022-01;2022-02;2022-03;2022-05;2023-01;2023-02


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.344281684506196
full_r2: 0.360479431244132
test_rmse: 21.1711868319898
test_mae: 17.9396309378883
test_r2: 0.429249365985491
high_leverage_month_count: 13
max_cooks_distance: 0.529075208885431
coef_intercept: -14.4574564673237
hac_se_intercept: 6.50152559477521
t_intercept: -2.22370215368252
p_intercept: 0.0270380898932197
coef_GM2_YoY_lag: 3.68981067925639
hac_se_GM2_YoY_lag: 1.00171387111245
t_GM2_YoY_lag: 3.68349763906003
p_GM2_YoY_lag: 0.000280467623374525
regime: war_spr_2022_2023
coef_CI_zscore: -2.59840075724336
hac_se_CI_zscore: 0.898606999177473
t_CI_zscore: -2.89158748999481
p_CI_zscore: 0.00416097910812296
coef_CI_monthly_change: -0.000268364762411544
hac_se_CI_monthly_change: 0.000235354526063946
t_CI_monthly_change: -1.14025749536097
p_CI_monthly_change: 0.255240563216546
coef_GM2_x_war_spr_2022_2023: 2.88863831487979
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;2023-02


target: WTI_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: 0.409748889960783
full_r2: 0.410928107368163
test_rmse: 24.5922067467229
test_mae: 20.966902098245
test_r2: 0.229893133544979
high_leverage_month_count: 13
max_cooks_distance: 0.22658824765044
coef_intercept: -12.8031326954219
hac_se_intercept: 6.31389223806443
t_intercept: -2.02777181058554
p_intercept: 0.0436152843493109
coef_GM2_YoY_lag: 3.96949745170501
hac_se_GM2_YoY_lag: 0.921484359000481
t_GM2_YoY_lag: 4.30772092106984
p_GM2_YoY_lag: 2.34970912011967e-05
regime: war_spr_2022_2023
coef_CI_zscore: -2.16605124595381
hac_se_CI_zscore: 0.510254647882341
t_CI_zscore: -4.24503971682249
p_CI_zscore: 3.05548761501129e-05
coef_CI_monthly_change: -0.000181486800841402
hac_se_CI_monthly_change: 0.000231343179719554
t_CI_monthly_change: -0.78449168487011
p_CI_monthly_change: 0.433474152246005
coef_GM2_x_CI_zscore: -0.847131802289682
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


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 4
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.303268712894734
full_r2: 0.285668014128416
test_rmse: 28.7745547148184
test_mae: 23.6033884955778
test_r2: -0.054321872840845
high_leverage_month_count: 18
max_cooks_distance: 0.536575653183959
coef_intercept: -21.545022911884
hac_se_intercept: 6.00521674162233
t_intercept: -3.58771778586354
p_intercept: 0.000398502454762584
coef_GM2_YoY_lag: 4.08970498877543
hac_se_GM2_YoY_lag: 1.18637289551198
t_GM2_YoY_lag: 3.44723400563744
p_GM2_YoY_lag: 0.000660365032632892
regime: normal_period
coef_GM2_x_normal_period: 0.466920270773203
hac_se_GM2_x_normal_period: 1.0916035143859
t_GM2_x_normal_period: 0.427737969528139
p_GM2_x_normal_period: 0.669195966430051
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2009-05;2010-02;2011-10;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.356941062339801
full_r2: 0.354269858185347
test_rmse: 25.1702239006161
test_mae: 20.5151907024412
test_r2: 0.193266390163162
high_leverage_month_count: 16
max_cooks_distance: 1.30479149653161
coef_intercept: -14.2980329547915
hac_se_intercept: 5.82305376178633
t_intercept: -2.45541833197936
p_intercept: 0.0147349454978003
coef_GM2_YoY_lag: 3.66883596172141
hac_se_GM2_YoY_lag: 1.15610533184043
t_GM2_YoY_lag: 3.17344437455444
p_GM2_YoY_lag: 0.00168975081975775
regime: normal_period
coef_CI_zscore: -3.31821661546412
hac_se_CI_zscore: 1.3613388414987
t_CI_zscore: -2.43746561422658
p_CI_zscore: 0.0154693510939301
coef_CI_monthly_change: -0.000316565028266602
hac_se_CI_monthly_change: 0.000228399813684111
t_CI_monthly_change: -1.38601263792811
p_CI_monthly_change: 0.166944448605491
coef_GM2_x_normal_period: -0.103889086080448
high_leverage_months:
2004-10;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2010-02;2015-08;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.439477171270502
full_r2: 0.443676054377003
test_rmse: 21.7799462405695
test_mae: 18.9859888347017
test_r2: 0.395954574087152
high_leverage_month_count: 14
max_cooks_distance: 0.262584887366144
coef_intercept: -11.2787165454751
hac_se_intercept: 5.9884730259245
t_intercept: -1.88340441655974
p_intercept: 0.060774725747295
coef_GM2_YoY_lag: 3.76583186242327
hac_se_GM2_YoY_lag: 0.92753868044097
t_GM2_YoY_lag: 4.06002675881173
p_GM2_YoY_lag: 6.51800321920248e-05
regime: normal_period
coef_CI_zscore: -2.72496648591581
hac_se_CI_zscore: 0.525128219277482
t_CI_zscore: -5.18914502379069
p_CI_zscore: 4.29148359737397e-07
coef_CI_monthly_change: -0.000134217412325111
hac_se_CI_monthly_change: 0.000218679151817999
t_CI_monthly_change: -0.613764097808538
p_CI_monthly_change: 0.539914094902126
coef_GM2_x_CI_zscore: -1.41964807193843
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-04;2015-07;2016-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.326854333963276
full_r2: 0.316747367286415
test_rmse: 27.0076367513392
test_mae: 23.4949045426441
test_r2: 0.0711851278614436
high_leverage_month_count: 24
max_cooks_distance: 0.413085410171538
coef_intercept: -23.6740526847726
hac_se_intercept: 5.60283497676091
t_intercept: -4.22537033179923
p_intercept: 3.30786543676354e-05
coef_GM2_YoY_lag: 5.0575566595037
hac_se_GM2_YoY_lag: 0.852952165573958
t_GM2_YoY_lag: 5.92947279300291
p_GM2_YoY_lag: 9.67488644754155e-09
coef_GM2_x_financial_crisis_2008_2009: -2.56863837237457
hac_se_GM2_x_financial_crisis_2008_2009: 1.69971417099695
t_GM2_x_financial_crisis_2008_2009: -1.51121783662482
p_GM2_x_financial_crisis_2008_2009: 0.131952062184873
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;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.429236483586319
full_r2: 0.423798212693256
test_rmse: 23.111630953987
test_mae: 19.0566099842845
test_r2: 0.319830456491393
high_leverage_month_count: 19
max_cooks_distance: 0.630699942800176
coef_intercept: -14.061663992424
hac_se_intercept: 5.6811159093867
t_intercept: -2.47515879216448
p_intercept: 0.0139657814903553
coef_GM2_YoY_lag: 4.26324412166053
hac_se_GM2_YoY_lag: 0.871969261119176
t_GM2_YoY_lag: 4.88921377364684
p_GM2_YoY_lag: 1.78921869053994e-06
coef_GM2_x_financial_crisis_2008_2009: -1.34238662029232
hac_se_GM2_x_financial_crisis_2008_2009: 1.35441609443763
t_GM2_x_financial_crisis_2008_2009: -0.991118331955211
p_GM2_x_financial_crisis_2008_2009: 0.322563658968441
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.59378789260367
hac_se_CI_zscore: 0.890971469859069
t_CI_zscore: -2.91119073993912
p_CI_zscore: 0.00391776317453041
coef_CI_monthly_change: -0.000278847630751144
high_leverage_months:
2008-02;2008-03;2008-04;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: WTI_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: 0.452878072274399
full_r2: 0.444952866452267
test_rmse: 23.7049769894585
test_mae: 19.5416007046684
test_r2: 0.28445810091241
high_leverage_month_count: 14
max_cooks_distance: 0.216582676824101
coef_intercept: -10.1520557527736
hac_se_intercept: 6.04641641356791
t_intercept: -1.67902027554582
p_intercept: 0.0943681800726814
coef_GM2_YoY_lag: 3.82670125353396
hac_se_GM2_YoY_lag: 0.915618472276061
t_GM2_YoY_lag: 4.17936222280606
p_GM2_YoY_lag: 4.01523212005817e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.47823179374014
hac_se_CI_zscore: 0.481643815956562
t_CI_zscore: -5.14536201159
p_CI_zscore: 5.31870929298961e-07
coef_CI_monthly_change: -0.000170423245592577
hac_se_CI_monthly_change: 0.000218118846889244
t_CI_monthly_change: -0.781332049124182
p_CI_monthly_change: 0.43532919005048
coef_GM2_x_CI_zscore: -0.587777132480549
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;2021-03;2021-04;2021-05


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.26054903316204
full_r2: 0.262114710331993
test_rmse: 25.7852246126144
test_mae: 21.1509665391892
test_r2: 0.153361856460051
high_leverage_month_count: 14
max_cooks_distance: 0.312724756479724
coef_intercept: -18.8987707059459
hac_se_intercept: 6.24525026669804
t_intercept: -3.02610302211924
p_intercept: 0.00272677917297748
coef_GM2_YoY_lag: 4.0401734111945
hac_se_GM2_YoY_lag: 1.03501503768537
t_GM2_YoY_lag: 3.9034924750752
p_GM2_YoY_lag: 0.000120972827374555
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -0.611104481723886
hac_se_GM2_x_shale_regime_2014_2017: 1.48926955571172
t_GM2_x_shale_regime_2014_2017: -0.41033839668591
p_GM2_x_shale_regime_2014_2017: 0.681896964841595
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2014-12;2015-01;2017-01;2017-02;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.344792040162212
full_r2: 0.340067905907476
test_rmse: 26.8359166322544
test_mae: 23.0524717126408
test_r2: 0.0829587715210308
high_leverage_month_count: 14
max_cooks_distance: 0.433063931713333
coef_intercept: -9.78658175241579
hac_se_intercept: 6.66596806294103
t_intercept: -1.46814111018977
p_intercept: 0.143293490892612
coef_GM2_YoY_lag: 3.59204028021289
hac_se_GM2_YoY_lag: 1.01977202736382
t_GM2_YoY_lag: 3.52239538232733
p_GM2_YoY_lag: 0.000506269039020513
regime: shale_regime_2014_2017
coef_CI_zscore: -7.7892294398724
hac_se_CI_zscore: 3.64027035116292
t_CI_zscore: -2.13973927441517
p_CI_zscore: 0.0333215436169867
coef_CI_monthly_change: -0.000312530223585128
hac_se_CI_monthly_change: 0.000226635446553204
t_CI_monthly_change: -1.37899974756049
p_CI_monthly_change: 0.169098460078598
coef_GM2_x_shale_regime_2014_2017: -0.807599180092309
high_leverage_months:
2006-05;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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.398153426132768
full_r2: 0.392225028017882
test_rmse: 25.1343267103271
test_mae: 20.2972187336092
test_r2: 0.195565838857503
high_leverage_month_count: 16
max_cooks_distance: 0.20001785487555
coef_intercept: -9.92457662993272
hac_se_intercept: 6.38208295681028
t_intercept: -1.55506857198437
p_intercept: 0.121165103668113
coef_GM2_YoY_lag: 3.777316521891
hac_se_GM2_YoY_lag: 0.93978150204427
t_GM2_YoY_lag: 4.01935610955776
p_GM2_YoY_lag: 7.67974499138457e-05
regime: shale_regime_2014_2017
coef_CI_zscore: -2.24704490003929
hac_se_CI_zscore: 0.590820802972711
t_CI_zscore: -3.80325961566231
p_CI_zscore: 0.000178623413177537
coef_CI_monthly_change: -0.000211964088233874
hac_se_CI_monthly_change: 0.000218862433120471
t_CI_monthly_change: -0.96848090927144
p_CI_monthly_change: 0.333718330904845
coef_GM2_x_CI_zscore: -1.18311059293872
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2015-01;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.27888635689914
full_r2: 0.277548220679604
test_rmse: 25.6919199762181
test_mae: 20.5566760828536
test_r2: 0.159477943631522
high_leverage_month_count: 21
max_cooks_distance: 1.03902701005144
coef_intercept: -17.664071517989
hac_se_intercept: 6.31065032462067
t_intercept: -2.7990889384369
p_intercept: 0.00551022175080362
coef_GM2_YoY_lag: 3.57873934933242
hac_se_GM2_YoY_lag: 1.06932307763632
t_GM2_YoY_lag: 3.34673348418049
p_GM2_YoY_lag: 0.00093900822301074
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 1.45784044403826
hac_se_GM2_x_covid_2020_2021: 1.50052730396615
t_GM2_x_covid_2020_2021: 0.971552093843906
p_GM2_x_covid_2020_2021: 0.332179874776303
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2010-02;2020-04;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.396609358735363
full_r2: 0.390757212726859
test_rmse: 23.979454229599
test_mae: 19.7613639885476
test_r2: 0.267791810772704
high_leverage_month_count: 17
max_cooks_distance: 0.603089067389149
coef_intercept: -8.18556526743247
hac_se_intercept: 6.2023775859994
t_intercept: -1.31974636402494
p_intercept: 0.188098682970174
coef_GM2_YoY_lag: 2.87097822378737
hac_se_GM2_YoY_lag: 1.02709726098904
t_GM2_YoY_lag: 2.79523501116417
p_GM2_YoY_lag: 0.00557899007625773
regime: covid_2020_2021
coef_CI_zscore: -2.77524199895795
hac_se_CI_zscore: 0.866967552381045
t_CI_zscore: -3.20109096509553
p_CI_zscore: 0.00154205380102868
coef_CI_monthly_change: -0.000285657862875599
hac_se_CI_monthly_change: 0.000217596715584101
t_CI_monthly_change: -1.31278572890588
p_CI_monthly_change: 0.19043078935815
coef_GM2_x_covid_2020_2021: 1.82261304061103
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2015-08;2017-02;2020-03;2020-04;2021-01;2021-02;2021-03;2021-04;2021-05;2021-07;2021-08;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.26663277777671
full_r2: 0.293582748085278
test_rmse: 21.6343411234238
test_mae: 18.3422415917295
test_r2: 0.404004007419181
high_leverage_month_count: 13
max_cooks_distance: 0.338346874968986
coef_intercept: -19.9682626556254
hac_se_intercept: 6.2897601410286
t_intercept: -3.17472561876738
p_intercept: 0.00168113388685742
coef_GM2_YoY_lag: 3.9486209131974
hac_se_GM2_YoY_lag: 1.05604932787322
t_GM2_YoY_lag: 3.73904969112527
p_GM2_YoY_lag: 0.00022738469935546
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 4.64658889679548
hac_se_GM2_x_war_spr_2022_2023: 1.03729975098413
t_GM2_x_war_spr_2022_2023: 4.4795044946141
p_GM2_x_war_spr_2022_2023: 1.12318437195391e-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;2022-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.319612449719063
full_r2: 0.343201371955107
test_rmse: 20.4472412702752
test_mae: 17.2066358668485
test_r2: 0.467615459077718
high_leverage_month_count: 14
max_cooks_distance: 0.559257314085108
coef_intercept: -12.9491129361547
hac_se_intercept: 6.47870877746879
t_intercept: -1.9987181676059
p_intercept: 0.0466962309070869
coef_GM2_YoY_lag: 3.49410117575786
hac_se_GM2_YoY_lag: 1.05303808731954
t_GM2_YoY_lag: 3.31811471762807
p_GM2_YoY_lag: 0.00103787515153164
regime: war_spr_2022_2023
coef_CI_zscore: -2.65771050275127
hac_se_CI_zscore: 0.88827740644356
t_CI_zscore: -2.9919825535044
p_CI_zscore: 0.00304237961339937
coef_CI_monthly_change: -0.000350901733357389
hac_se_CI_monthly_change: 0.000229835461841407
t_CI_monthly_change: -1.52675192307583
p_CI_monthly_change: 0.128057242100217
coef_GM2_x_war_spr_2022_2023: 3.27238949784013
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2022-01;2022-05;2023-02


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 5
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.269882628208502
full_r2: 0.263317151433166
test_rmse: 27.2830099171101
test_mae: 22.6787712655442
test_r2: 0.0521479474711527
high_leverage_month_count: 16
max_cooks_distance: 0.474697945117511
coef_intercept: -20.3269189365462
hac_se_intercept: 5.83212143438127
t_intercept: -3.48533876827664
p_intercept: 0.000577074551317391
coef_GM2_YoY_lag: 3.92922870464945
hac_se_GM2_YoY_lag: 1.27655956975343
t_GM2_YoY_lag: 3.07798303952897
p_GM2_YoY_lag: 0.00230795139333839
regime: normal_period
coef_GM2_x_normal_period: 0.446793672516526
hac_se_GM2_x_normal_period: 1.13062429221251
t_GM2_x_normal_period: 0.395174308206484
p_GM2_x_normal_period: 0.693039517924068
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-05;2009-06;2010-02;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.330253657959595
full_r2: 0.336193835164558
test_rmse: 23.6275357937443
test_mae: 19.053758789414
test_r2: 0.289125636135031
high_leverage_month_count: 15
max_cooks_distance: 1.31293889412122
coef_intercept: -12.9097070437094
hac_se_intercept: 5.60219098909813
t_intercept: -2.30440323595387
p_intercept: 0.0220009467162512
coef_GM2_YoY_lag: 3.49516397940879
hac_se_GM2_YoY_lag: 1.23207919440853
t_GM2_YoY_lag: 2.83680139659097
p_GM2_YoY_lag: 0.00492132682352597
regime: normal_period
coef_CI_zscore: -3.34247814711306
hac_se_CI_zscore: 1.33343258525526
t_CI_zscore: -2.50667201632335
p_CI_zscore: 0.0128079573534106
coef_CI_monthly_change: -0.000375274597378628
hac_se_CI_monthly_change: 0.00022416915813746
t_CI_monthly_change: -1.67406881703374
p_CI_monthly_change: 0.0953383488689101
coef_GM2_x_normal_period: -0.103066751116382
high_leverage_months:
2004-10;2008-10;2008-11;2008-12;2009-01;2009-02;2009-05;2010-02;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 5
n_obs: 262
n_train: 210
n_test: 52
train_r2: 0.418579140464457
full_r2: 0.426068564734705
test_rmse: 22.2093309295856
test_mae: 18.2625103889027
test_r2: 0.371902674993452
high_leverage_month_count: 14
max_cooks_distance: 0.238317774504843
coef_intercept: -9.01401984598093
hac_se_intercept: 6.10163996315631
t_intercept: -1.47731100169963
p_intercept: 0.140821434188181
coef_GM2_YoY_lag: 3.47153535877607
hac_se_GM2_YoY_lag: 0.96833987969191
t_GM2_YoY_lag: 3.5850380962112
p_GM2_YoY_lag: 0.000403501945198892
regime: normal_period
coef_CI_zscore: -3.10866882462151
hac_se_CI_zscore: 0.651300778868916
t_CI_zscore: -4.77301567183781
p_CI_zscore: 3.05435347880412e-06
coef_CI_monthly_change: -0.000168982421071995
hac_se_CI_monthly_change: 0.000210637513505004
t_CI_monthly_change: -0.802242764169263
p_CI_monthly_change: 0.423156636885963
coef_GM2_x_CI_zscore: -1.35060390725042
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2015-08;2016-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.294127511708837
full_r2: 0.292664260015677
test_rmse: 25.7838747939944
test_mae: 21.5191695430983
test_r2: 0.153450494665502
high_leverage_month_count: 23
max_cooks_distance: 0.364903092300075
coef_intercept: -22.1347968034247
hac_se_intercept: 5.35211801218562
t_intercept: -4.13570791096693
p_intercept: 4.79089897089668e-05
coef_GM2_YoY_lag: 4.87462074060751
hac_se_GM2_YoY_lag: 0.825714615368508
t_GM2_YoY_lag: 5.90351757117927
p_GM2_YoY_lag: 1.11620670484314e-08
coef_GM2_x_financial_crisis_2008_2009: -2.79601728335869
hac_se_GM2_x_financial_crisis_2008_2009: 1.7696200804837
t_GM2_x_financial_crisis_2008_2009: -1.58000992088338
p_GM2_x_financial_crisis_2008_2009: 0.115329776624714
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;2011-12;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.412277395459724
full_r2: 0.411193309710457
test_rmse: 22.5682428267665
test_mae: 17.9141661373382
test_r2: 0.351438021030421
high_leverage_month_count: 19
max_cooks_distance: 0.570021670684972
coef_intercept: -12.9797480540078
hac_se_intercept: 5.27625450485508
t_intercept: -2.46003069830391
p_intercept: 0.0145565376078083
coef_GM2_YoY_lag: 4.15985509458158
hac_se_GM2_YoY_lag: 0.820478625706285
t_GM2_YoY_lag: 5.07003468981376
p_GM2_YoY_lag: 7.65398839641662e-07
coef_GM2_x_financial_crisis_2008_2009: -1.44331743113027
hac_se_GM2_x_financial_crisis_2008_2009: 1.41357434506669
t_GM2_x_financial_crisis_2008_2009: -1.02104104829533
p_GM2_x_financial_crisis_2008_2009: 0.30820268296304
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.72800258082525
hac_se_CI_zscore: 0.840990473348095
t_CI_zscore: -3.24379724536558
p_CI_zscore: 0.00133695711358817
coef_CI_monthly_change: -0.000328608506046102
high_leverage_months:
2008-02;2008-03;2008-04;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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.217932168778658
full_r2: 0.227944002685376
test_rmse: 24.705879144579
test_mae: 19.6454636486676
test_r2: 0.222757359796682
high_leverage_month_count: 16
max_cooks_distance: 0.271405050248428
coef_intercept: -16.7020047301896
hac_se_intercept: 6.43485988932258
t_intercept: -2.5955506440635
p_intercept: 0.0099849474044611
coef_GM2_YoY_lag: 3.74483587433375
hac_se_GM2_YoY_lag: 1.11726244548607
t_GM2_YoY_lag: 3.35179607035351
p_GM2_YoY_lag: 0.000923195633281804
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -0.813856373133059
hac_se_GM2_x_shale_regime_2014_2017: 1.57927326578414
t_GM2_x_shale_regime_2014_2017: -0.515336003442675
p_GM2_x_shale_regime_2014_2017: 0.606759514189681
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2014-12;2015-01;2015-02;2017-01;2017-02;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.319695992027065
full_r2: 0.315031906977152
test_rmse: 28.4373694374347
test_mae: 24.4160911749033
test_r2: -0.0297571905819016
high_leverage_month_count: 13
max_cooks_distance: 0.408494847524444
coef_intercept: -7.86854930248236
hac_se_intercept: 6.77830169652009
t_intercept: -1.16084377101745
p_intercept: 0.246791000311666
coef_GM2_YoY_lag: 3.35614705989236
hac_se_GM2_YoY_lag: 1.06665203583274
t_GM2_YoY_lag: 3.14643102637703
p_GM2_YoY_lag: 0.00184898950021362
regime: shale_regime_2014_2017
coef_CI_zscore: -7.91923176926019
hac_se_CI_zscore: 3.54048719651656
t_CI_zscore: -2.23676328417508
p_CI_zscore: 0.0261666580085724
coef_CI_monthly_change: -0.000358140018972719
hac_se_CI_monthly_change: 0.000220275290673164
t_CI_monthly_change: -1.62587468561834
p_CI_monthly_change: 0.10521149082513
coef_GM2_x_shale_regime_2014_2017: -0.845967822361786
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_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: 0.37372337989211
full_r2: 0.370364772501398
test_rmse: 25.4094257245105
test_mae: 20.2071453332173
test_r2: 0.177860163025566
high_leverage_month_count: 17
max_cooks_distance: 0.177980167704632
coef_intercept: -8.13034775858258
hac_se_intercept: 6.31336873758923
t_intercept: -1.28779865338377
p_intercept: 0.198983513772916
coef_GM2_YoY_lag: 3.55799332370042
hac_se_GM2_YoY_lag: 0.947200024637744
t_GM2_YoY_lag: 3.75632731329496
p_GM2_YoY_lag: 0.000213694682723808
regime: shale_regime_2014_2017
coef_CI_zscore: -2.11719914084794
hac_se_CI_zscore: 0.422503586804016
t_CI_zscore: -5.01107968541349
p_CI_zscore: 1.0128252798669e-06
coef_CI_monthly_change: -0.000253050214468864
hac_se_CI_monthly_change: 0.000208879559722841
t_CI_monthly_change: -1.2114647062864
p_CI_monthly_change: 0.226838802502904
coef_GM2_x_CI_zscore: -1.2010133018451
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2015-01;2015-02;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.249652834779293
full_r2: 0.253592216987552
test_rmse: 25.006517393469
test_mae: 19.460315391224
test_r2: 0.203726214437269
high_leverage_month_count: 20
max_cooks_distance: 0.928015124390323
coef_intercept: -15.2145503759299
hac_se_intercept: 6.61213639947609
t_intercept: -2.30100370844367
p_intercept: 0.0221891421307931
coef_GM2_YoY_lag: 3.16354750285021
hac_se_GM2_YoY_lag: 1.15440991228831
t_GM2_YoY_lag: 2.74040223422833
p_GM2_YoY_lag: 0.00656500413266015
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 1.89956881940591
hac_se_GM2_x_covid_2020_2021: 1.44782626057679
t_GM2_x_covid_2020_2021: 1.31201434255596
p_GM2_x_covid_2020_2021: 0.190681447532868
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2020-04;2020-05;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-08;2021-10


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.370096439017963
full_r2: 0.364385698228064
test_rmse: 24.8803037707863
test_mae: 20.190541341658
test_r2: 0.211743882213288
high_leverage_month_count: 17
max_cooks_distance: 0.545061059860468
coef_intercept: -5.51618083016501
hac_se_intercept: 6.44216230004395
t_intercept: -0.856262318961969
p_intercept: 0.392656601262104
coef_GM2_YoY_lag: 2.48886169004413
hac_se_GM2_YoY_lag: 1.08819194844638
t_GM2_YoY_lag: 2.28715319351286
p_GM2_YoY_lag: 0.0230065395672945
regime: covid_2020_2021
coef_CI_zscore: -2.98406050417314
hac_se_CI_zscore: 0.863695561458535
t_CI_zscore: -3.45499113036301
p_CI_zscore: 0.000644366607742919
coef_CI_monthly_change: -0.000316086912257596
hac_se_CI_monthly_change: 0.000215532750618019
t_CI_monthly_change: -1.46653773661426
p_CI_monthly_change: 0.143733962819837
coef_GM2_x_covid_2020_2021: 2.04048034057462
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-08;2017-02;2020-04;2021-01;2021-02;2021-03;2021-04;2021-05;2021-07;2021-08;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.368099833582144
full_r2: 0.366230802567506
test_rmse: 25.0729994774791
test_mae: 20.3789816632265
test_r2: 0.199486654804074
high_leverage_month_count: 16
max_cooks_distance: 0.22144366785363
coef_intercept: -7.10039170790538
hac_se_intercept: 6.61652933955812
t_intercept: -1.0731293316353
p_intercept: 0.284227569408837
coef_GM2_YoY_lag: 3.37579612872397
hac_se_GM2_YoY_lag: 1.02067277370245
t_GM2_YoY_lag: 3.30742253119812
p_GM2_YoY_lag: 0.00107715919384543
regime: covid_2020_2021
coef_CI_zscore: -2.22684430527301
hac_se_CI_zscore: 0.450354430889336
t_CI_zscore: -4.94464837589265
p_CI_zscore: 1.38458722198642e-06
coef_CI_monthly_change: -0.000233942201886439
hac_se_CI_monthly_change: 0.000207751745590536
t_CI_monthly_change: -1.12606611906656
p_CI_monthly_change: 0.261196177994442
coef_GM2_x_CI_zscore: -0.857806497105153
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


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.222517051151207
full_r2: 0.254885281601678
test_rmse: 21.0883461198978
test_mae: 17.34823742572
test_r2: 0.433707206320807
high_leverage_month_count: 13
max_cooks_distance: 0.293697735472476
coef_intercept: -17.7494554229766
hac_se_intercept: 6.49768438650412
t_intercept: -2.73165859822966
p_intercept: 0.00673664101655169
coef_GM2_YoY_lag: 3.62911180405254
hac_se_GM2_YoY_lag: 1.13785885351054
t_GM2_YoY_lag: 3.18942177481499
p_GM2_YoY_lag: 0.00160174687712167
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 3.94223191105308
hac_se_GM2_x_war_spr_2022_2023: 0.961482584576078
t_GM2_x_war_spr_2022_2023: 4.10015945612913
p_GM2_x_war_spr_2022_2023: 5.53657575983468e-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;2022-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.290292471306244
full_r2: 0.317057141761097
test_rmse: 20.9483854147844
test_mae: 17.1147053063859
test_r2: 0.441199090521375
high_leverage_month_count: 13
max_cooks_distance: 0.531844349910016
coef_intercept: -10.8041992036099
hac_se_intercept: 6.54610652575101
t_intercept: -1.65047714410213
p_intercept: 0.10007647109411
coef_GM2_YoY_lag: 3.22193423367035
hac_se_GM2_YoY_lag: 1.10547519340173
t_GM2_YoY_lag: 2.91452422713886
p_GM2_YoY_lag: 0.00387877529790437
regime: war_spr_2022_2023
coef_CI_zscore: -2.85010748625997
hac_se_CI_zscore: 0.875492290878387
t_CI_zscore: -3.25543413226454
p_CI_zscore: 0.00128547040333093
coef_CI_monthly_change: -0.000401500000302146
hac_se_CI_monthly_change: 0.000230002723203064
t_CI_monthly_change: -1.74563150692643
p_CI_monthly_change: 0.082079422141879
coef_GM2_x_war_spr_2022_2023: 2.4943662396198
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2022-01;2023-02


target: WTI_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: 0.362438591311686
full_r2: 0.36565704443752
test_rmse: 25.4276466842938
test_mae: 20.5607238897844
test_r2: 0.176680636327914
high_leverage_month_count: 14
max_cooks_distance: 0.18308009914452
coef_intercept: -8.34714523151322
hac_se_intercept: 6.48627867101563
t_intercept: -1.28689278627713
p_intercept: 0.199298627440738
coef_GM2_YoY_lag: 3.46643081618928
hac_se_GM2_YoY_lag: 0.985513896966888
t_GM2_YoY_lag: 3.51738400326764
p_GM2_YoY_lag: 0.000515800986466308
regime: war_spr_2022_2023
coef_CI_zscore: -2.10540620351162
hac_se_CI_zscore: 0.468305009956642
t_CI_zscore: -4.49580115255771
p_CI_zscore: 1.05272286423652e-05
coef_CI_monthly_change: -0.000249782800874065
hac_se_CI_monthly_change: 0.00021495448043805
t_CI_monthly_change: -1.16202649214401
p_CI_monthly_change: 0.246311149485495
coef_GM2_x_CI_zscore: -0.897505461524374
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-06;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 6
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.224974289836482
full_r2: 0.227670165312911
test_rmse: 26.1701464399744
test_mae: 21.0129224103767
test_r2: 0.127895959190684
high_leverage_month_count: 18
max_cooks_distance: 0.412277228616168
coef_intercept: -18.239199264945
hac_se_intercept: 5.79617454930637
t_intercept: -3.14676501023036
p_intercept: 0.00184460737590175
coef_GM2_YoY_lag: 3.66096017163818
hac_se_GM2_YoY_lag: 1.37236177808196
t_GM2_YoY_lag: 2.66763489781449
p_GM2_YoY_lag: 0.00812214896926
regime: normal_period
coef_GM2_x_normal_period: 0.382631200652889
hac_se_GM2_x_normal_period: 1.17084240180676
t_GM2_x_normal_period: 0.326799917787773
p_GM2_x_normal_period: 0.744084187548614
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-06;2009-07;2010-02;2011-12;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.29926321577307
full_r2: 0.311769825493749
test_rmse: 22.7200588602215
test_mae: 17.9587810458161
test_r2: 0.342682950112127
high_leverage_month_count: 14
max_cooks_distance: 1.27252536300354
coef_intercept: -10.6312743658954
hac_se_intercept: 5.4711825002527
t_intercept: -1.94314014665099
p_intercept: 0.0530996719441745
coef_GM2_YoY_lag: 3.25166400992296
hac_se_GM2_YoY_lag: 1.30064997616571
t_GM2_YoY_lag: 2.50003003844954
p_GM2_YoY_lag: 0.0130471068861002
regime: normal_period
coef_CI_zscore: -3.5474698313843
hac_se_CI_zscore: 1.31664926437804
t_CI_zscore: -2.69431649518298
p_CI_zscore: 0.00752175745775507
coef_CI_monthly_change: -0.000412829771694767
hac_se_CI_monthly_change: 0.000222284558805057
t_CI_monthly_change: -1.85721299722316
p_CI_monthly_change: 0.0644337780777389
coef_GM2_x_normal_period: -0.221025120362045
high_leverage_months:
2004-10;2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 6
n_obs: 261
n_train: 209
n_test: 52
train_r2: 0.39478466658045
full_r2: 0.405320668604444
test_rmse: 22.044490990522
test_mae: 17.6216797220533
test_r2: 0.381191680542406
high_leverage_month_count: 13
max_cooks_distance: 0.215841919929427
coef_intercept: -7.93288311159278
hac_se_intercept: 5.8726188642761
t_intercept: -1.35082546559416
p_intercept: 0.177948773167725
coef_GM2_YoY_lag: 3.26936273446774
hac_se_GM2_YoY_lag: 0.972227083733107
t_GM2_YoY_lag: 3.36275628314551
p_GM2_YoY_lag: 0.00089023845460745
regime: normal_period
coef_CI_zscore: -2.32344704454118
hac_se_CI_zscore: 0.550286953601979
t_CI_zscore: -4.22224628320322
p_CI_zscore: 3.36749139824288e-05
coef_CI_monthly_change: -0.000200414404216254
hac_se_CI_monthly_change: 0.000203162789068112
t_CI_monthly_change: -0.986472006687518
p_CI_monthly_change: 0.324836618376988
coef_GM2_x_CI_zscore: -1.42282718733508
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-06;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.257898021252414
full_r2: 0.268758073906277
test_rmse: 23.9014506728981
test_mae: 19.6615507836945
test_r2: 0.272547711143248
high_leverage_month_count: 23
max_cooks_distance: 0.34791362150548
coef_intercept: -20.3370490555257
hac_se_intercept: 5.37256143036419
t_intercept: -3.78535440108446
p_intercept: 0.00019108983431404
coef_GM2_YoY_lag: 4.64065055425313
hac_se_GM2_YoY_lag: 0.847224281207272
t_GM2_YoY_lag: 5.47747586700457
p_GM2_YoY_lag: 1.02712089722345e-07
coef_GM2_x_financial_crisis_2008_2009: -3.01520428513603
hac_se_GM2_x_financial_crisis_2008_2009: 1.81659142762155
t_GM2_x_financial_crisis_2008_2009: -1.65981422090261
p_GM2_x_financial_crisis_2008_2009: 0.0981714953483364
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;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.395177891553953
full_r2: 0.398771274066363
test_rmse: 22.1575317759318
test_mae: 17.518963806064
test_r2: 0.374829099848206
high_leverage_month_count: 18
max_cooks_distance: 0.584111941224837
coef_intercept: -11.7785121950982
hac_se_intercept: 5.21779698962421
t_intercept: -2.25737264568174
p_intercept: 0.0248345772252634
coef_GM2_YoY_lag: 4.01516446568891
hac_se_GM2_YoY_lag: 0.816706444868821
t_GM2_YoY_lag: 4.91628845457908
p_GM2_YoY_lag: 1.58420135920601e-06
coef_GM2_x_financial_crisis_2008_2009: -1.45046608459484
hac_se_GM2_x_financial_crisis_2008_2009: 1.470079621266
t_GM2_x_financial_crisis_2008_2009: -0.98665818069482
p_GM2_x_financial_crisis_2008_2009: 0.324749167854514
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.87906440441469
hac_se_CI_zscore: 0.815196349327126
t_CI_zscore: -3.53174349565121
p_CI_zscore: 0.000490149863296985
coef_CI_monthly_change: -0.000345276327786692
high_leverage_months:
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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.173784314338056
full_r2: 0.194244829379933
test_rmse: 23.3200247468084
test_mae: 17.9252546115811
test_r2: 0.307509201584681
high_leverage_month_count: 18
max_cooks_distance: 0.256961931296558
coef_intercept: -14.217614963521
hac_se_intercept: 6.72031800609587
t_intercept: -2.11561639651941
p_intercept: 0.035339569857427
coef_GM2_YoY_lag: 3.41217967588133
hac_se_GM2_YoY_lag: 1.19789020742446
t_GM2_YoY_lag: 2.84849116783225
p_GM2_YoY_lag: 0.0047481108606342
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.1214154416192
hac_se_GM2_x_shale_regime_2014_2017: 1.65384118373759
t_GM2_x_shale_regime_2014_2017: -0.678067188461749
p_GM2_x_shale_regime_2014_2017: 0.498339126212329
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;2015-03;2017-01;2017-02;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.295911849573391
full_r2: 0.289075418676406
test_rmse: 30.537114015651
test_mae: 26.6239490455633
test_r2: -0.187440819902176
high_leverage_month_count: 14
max_cooks_distance: 0.444861263121796
coef_intercept: -5.7374342947795
hac_se_intercept: 6.95852318221819
t_intercept: -0.82451895963226
p_intercept: 0.410418353559574
coef_GM2_YoY_lag: 3.0805195700423
hac_se_GM2_YoY_lag: 1.10571340533815
t_GM2_YoY_lag: 2.78600182938021
p_GM2_YoY_lag: 0.00573869522041637
regime: shale_regime_2014_2017
coef_CI_zscore: -8.01171048584404
hac_se_CI_zscore: 3.51506331385083
t_CI_zscore: -2.27925069067022
p_CI_zscore: 0.0234822156724943
coef_CI_monthly_change: -0.000375196996855731
hac_se_CI_monthly_change: 0.000219954269379616
t_CI_monthly_change: -1.7057954724588
p_CI_monthly_change: 0.0892685926416916
coef_GM2_x_shale_regime_2014_2017: -0.94532569167142
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_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: 0.353078461996139
full_r2: 0.352668484737299
test_rmse: 25.6237752542904
test_mae: 20.565946450002
test_r2: 0.163930797408111
high_leverage_month_count: 15
max_cooks_distance: 0.171092412473814
coef_intercept: -6.60596873554348
hac_se_intercept: 6.19831096909965
t_intercept: -1.06576916977482
p_intercept: 0.287540020205196
coef_GM2_YoY_lag: 3.36894171645614
hac_se_GM2_YoY_lag: 0.933963130973294
t_GM2_YoY_lag: 3.60714636877081
p_GM2_YoY_lag: 0.000372694113684569
regime: shale_regime_2014_2017
coef_CI_zscore: -1.85945476911748
hac_se_CI_zscore: 0.482802955256461
t_CI_zscore: -3.85137404167245
p_CI_zscore: 0.000148754207055291
coef_CI_monthly_change: -0.000257237901582386
hac_se_CI_monthly_change: 0.000209699274211652
t_CI_monthly_change: -1.226699055347
p_CI_monthly_change: 0.221071609125877
coef_GM2_x_CI_zscore: -1.22839763198898
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-01;2015-02;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.223850833044767
full_r2: 0.233430265049067
test_rmse: 24.2730500660564
test_mae: 18.2810516782234
test_r2: 0.24975225895085
high_leverage_month_count: 20
max_cooks_distance: 0.899849047387896
coef_intercept: -12.6514893626857
hac_se_intercept: 6.89146181816398
t_intercept: -1.83582086014609
p_intercept: 0.0675394358668846
coef_GM2_YoY_lag: 2.72142031896931
hac_se_GM2_YoY_lag: 1.20469147189946
t_GM2_YoY_lag: 2.25901849763939
p_GM2_YoY_lag: 0.0247205807635167
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 2.399920525403
hac_se_GM2_x_covid_2020_2021: 1.46019170334545
t_GM2_x_covid_2020_2021: 1.64356537563152
p_GM2_x_covid_2020_2021: 0.101488779275607
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-07;2020-04;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-08;2021-10


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.352272816289291
full_r2: 0.343874934711929
test_rmse: 26.3758396127839
test_mae: 22.2756645807058
test_r2: 0.114132886091607
high_leverage_month_count: 19
max_cooks_distance: 0.555474402731995
coef_intercept: -2.87894737922946
hac_se_intercept: 6.66557927185614
t_intercept: -0.431912555805187
p_intercept: 0.666171379943245
coef_GM2_YoY_lag: 2.08789142376077
hac_se_GM2_YoY_lag: 1.11628692316206
t_GM2_YoY_lag: 1.87038957497278
p_GM2_YoY_lag: 0.0625797950282476
regime: covid_2020_2021
coef_CI_zscore: -3.16461322216162
hac_se_CI_zscore: 0.856665540072008
t_CI_zscore: -3.69410589562831
p_CI_zscore: 0.000270201170136097
coef_CI_monthly_change: -0.000319294046856378
hac_se_CI_monthly_change: 0.000218997718340084
t_CI_monthly_change: -1.45797887428463
p_CI_monthly_change: 0.146081684611911
coef_GM2_x_covid_2020_2021: 2.35387601886867
high_leverage_months:
2008-06;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: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.345955648250677
full_r2: 0.347271185281353
test_rmse: 25.2631037927182
test_mae: 20.8606982649359
test_r2: 0.187301597940676
high_leverage_month_count: 15
max_cooks_distance: 0.230271059728823
coef_intercept: -5.69841976898905
hac_se_intercept: 6.638373052014
t_intercept: -0.858406076961917
p_intercept: 0.391477584069889
coef_GM2_YoY_lag: 3.19291661854677
hac_se_GM2_YoY_lag: 1.05330471055412
t_GM2_YoY_lag: 3.0313323263
p_GM2_YoY_lag: 0.00268658550269296
regime: covid_2020_2021
coef_CI_zscore: -1.72552371941542
hac_se_CI_zscore: 0.576011768086797
t_CI_zscore: -2.99563969872819
p_CI_zscore: 0.00300953605292142
coef_CI_monthly_change: -0.000241373548753199
hac_se_CI_monthly_change: 0.000210484409670115
t_CI_monthly_change: -1.14675262235096
p_CI_monthly_change: 0.252562969916665
coef_GM2_x_CI_zscore: -0.961642736979664
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-09;2017-02;2020-04;2021-03;2021-04;2021-05;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.175379430792183
full_r2: 0.215428945271134
test_rmse: 20.3163924966299
test_mae: 16.0196415264958
test_r2: 0.474407472584136
high_leverage_month_count: 14
max_cooks_distance: 0.279741617123826
coef_intercept: -15.3231943244567
hac_se_intercept: 6.8342638101247
t_intercept: -2.2421133790235
p_intercept: 0.025807394771109
coef_GM2_YoY_lag: 3.27137480508383
hac_se_GM2_YoY_lag: 1.2241457733149
t_GM2_YoY_lag: 2.6723735656295
p_GM2_YoY_lag: 0.0080133187969329
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 3.25910372913804
hac_se_GM2_x_war_spr_2022_2023: 0.991069929077994
t_GM2_x_war_spr_2022_2023: 3.28846999945809
p_GM2_x_war_spr_2022_2023: 0.00114801728698066
high_leverage_months:
2008-06;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: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.261616186979401
full_r2: 0.287663370198749
test_rmse: 22.4948278620254
test_mae: 18.8311174226771
test_r2: 0.355650729149865
high_leverage_month_count: 14
max_cooks_distance: 0.578008220417984
coef_intercept: -8.25391009502843
hac_se_intercept: 6.74728976854659
t_intercept: -1.22329266685791
p_intercept: 0.222352854133121
coef_GM2_YoY_lag: 2.89727801391066
hac_se_GM2_YoY_lag: 1.1596016928714
t_GM2_YoY_lag: 2.49851136965525
p_GM2_YoY_lag: 0.0131042735415061
regime: war_spr_2022_2023
coef_CI_zscore: -3.08668164913321
hac_se_CI_zscore: 0.889480871323361
t_CI_zscore: -3.47020576680967
p_CI_zscore: 0.000610880708669326
coef_CI_monthly_change: -0.000413984528274902
hac_se_CI_monthly_change: 0.000230984954752349
t_CI_monthly_change: -1.79225754646555
p_CI_monthly_change: 0.0742817811533434
coef_GM2_x_war_spr_2022_2023: 1.87433108310445
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2022-01;2023-02


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 7
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.177360477182771
full_r2: 0.191703698031709
test_rmse: 24.6734838277756
test_mae: 19.1654343704308
test_r2: 0.224794325456183
high_leverage_month_count: 16
max_cooks_distance: 0.389057578539072
coef_intercept: -15.9791186914731
hac_se_intercept: 5.91447339615897
t_intercept: -2.70169761890389
p_intercept: 0.00735777835232554
coef_GM2_YoY_lag: 3.35191580828602
hac_se_GM2_YoY_lag: 1.46937614960507
t_GM2_YoY_lag: 2.28118294228944
p_GM2_YoY_lag: 0.0233562061078489
regime: normal_period
coef_GM2_x_normal_period: 0.327780486592829
hac_se_GM2_x_normal_period: 1.21899227760879
t_GM2_x_normal_period: 0.268894637491726
p_GM2_x_normal_period: 0.788226499587975
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-07;2021-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 7
n_obs: 260
n_train: 208
n_test: 52
train_r2: 0.377898917934502
full_r2: 0.392141837968025
test_rmse: 21.6583460342308
test_mae: 17.2229173789336
test_r2: 0.40268066987837
high_leverage_month_count: 14
max_cooks_distance: 0.213355100736677
coef_intercept: -7.01012034778304
hac_se_intercept: 5.60373813372043
t_intercept: -1.25097215117882
p_intercept: 0.212095680347524
coef_GM2_YoY_lag: 3.06411896202509
hac_se_GM2_YoY_lag: 0.955052429228539
t_GM2_YoY_lag: 3.20832539476413
p_GM2_YoY_lag: 0.00150664238153264
regime: normal_period
coef_CI_zscore: -1.50962862668594
hac_se_CI_zscore: 0.631806124768316
t_CI_zscore: -2.38938586934326
p_CI_zscore: 0.0176066979783749
coef_CI_monthly_change: -0.000210631635309877
hac_se_CI_monthly_change: 0.000207195928842015
t_CI_monthly_change: -1.01658192073108
p_CI_monthly_change: 0.310319697868338
coef_GM2_x_CI_zscore: -1.47427515630621
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-09;2015-10;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.2204039480572
full_r2: 0.242359463294496
test_rmse: 21.0205238309785
test_mae: 16.5292365579477
test_r2: 0.368584107105677
high_leverage_month_count: 19
max_cooks_distance: 0.259260019696945
coef_intercept: -18.307608993641
hac_se_intercept: 5.30385997355107
t_intercept: -3.4517519476261
p_intercept: 0.000651410001196728
coef_GM2_YoY_lag: 4.36806696145841
hac_se_GM2_YoY_lag: 0.840940816698239
t_GM2_YoY_lag: 5.19426203928194
p_GM2_YoY_lag: 4.19695869835479e-07
coef_GM2_x_financial_crisis_2008_2009: -3.15241016793201
hac_se_GM2_x_financial_crisis_2008_2009: 1.80764817218289
t_GM2_x_financial_crisis_2008_2009: -1.74392905458212
p_GM2_x_financial_crisis_2008_2009: 0.082371795752451
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;2021-03;2021-04;2021-05


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.133024642410972
full_r2: 0.161423257021955
test_rmse: 21.1341216866242
test_mae: 16.0708422120753
test_r2: 0.361741146888519
high_leverage_month_count: 19
max_cooks_distance: 0.188275698089038
coef_intercept: -11.7446530189592
hac_se_intercept: 6.87717817780803
t_intercept: -1.70777210002469
p_intercept: 0.0888909300699852
coef_GM2_YoY_lag: 3.07431995771069
hac_se_GM2_YoY_lag: 1.23232993846576
t_GM2_YoY_lag: 2.49472147170114
p_GM2_YoY_lag: 0.0132365744732117
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.3132132172552
hac_se_GM2_x_shale_regime_2014_2017: 1.78304786508559
t_GM2_x_shale_regime_2014_2017: -0.736499138901221
p_GM2_x_shale_regime_2014_2017: 0.462101357539918
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;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.279849577976865
full_r2: 0.262934764088407
test_rmse: 33.3959825899016
test_mae: 29.2323764383011
test_r2: -0.593737868940054
high_leverage_month_count: 13
max_cooks_distance: 0.495860240967998
coef_intercept: -3.52843365636276
hac_se_intercept: 7.07005527060906
t_intercept: -0.499067337002415
p_intercept: 0.618165611865566
coef_GM2_YoY_lag: 2.77537719748988
hac_se_GM2_YoY_lag: 1.10301256118789
t_GM2_YoY_lag: 2.51617913988299
p_GM2_YoY_lag: 0.0124831775429866
regime: shale_regime_2014_2017
coef_CI_zscore: -8.08543706700465
hac_se_CI_zscore: 3.50155973121542
t_CI_zscore: -2.30909585660506
p_CI_zscore: 0.0217444675300904
coef_CI_monthly_change: -0.000369891103869424
hac_se_CI_monthly_change: 0.000225529976863558
t_CI_monthly_change: -1.64009729000772
p_CI_monthly_change: 0.102227638771993
coef_GM2_x_shale_regime_2014_2017: -0.842263191323707
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_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: 0.337951426523038
full_r2: 0.334447180644638
test_rmse: 26.1933102843114
test_mae: 21.2532529943434
test_r2: 0.0195866521853545
high_leverage_month_count: 16
max_cooks_distance: 0.129702188301298
coef_intercept: -5.44229554349807
hac_se_intercept: 5.95003351952241
t_intercept: -0.914666367112315
p_intercept: 0.361237707426392
coef_GM2_YoY_lag: 3.1813835864633
hac_se_GM2_YoY_lag: 0.877243397798993
t_GM2_YoY_lag: 3.62656885699614
p_GM2_YoY_lag: 0.000347296229279648
regime: shale_regime_2014_2017
coef_CI_zscore: -1.42487646111057
hac_se_CI_zscore: 0.857507752652301
t_CI_zscore: -1.66164848854529
p_CI_zscore: 0.0978218270039506
coef_CI_monthly_change: -0.000258562557841735
hac_se_CI_monthly_change: 0.000214993248959511
t_CI_monthly_change: -1.20265431167297
p_CI_monthly_change: 0.230234427295822
coef_GM2_x_CI_zscore: -1.26177653078693
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;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.195925674418127
full_r2: 0.211843426042225
test_rmse: 22.4477926678976
test_mae: 16.7820464185182
test_r2: 0.279928329340892
high_leverage_month_count: 16
max_cooks_distance: 0.759780880352696
coef_intercept: -10.2735864055298
hac_se_intercept: 7.05246687935543
t_intercept: -1.45673656910087
p_intercept: 0.146414538076266
coef_GM2_YoY_lag: 2.33664555561246
hac_se_GM2_YoY_lag: 1.21925500876757
t_GM2_YoY_lag: 1.91645352187181
p_GM2_YoY_lag: 0.0564208314236929
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 2.79099140783453
hac_se_GM2_x_covid_2020_2021: 1.47464934382149
t_GM2_x_covid_2020_2021: 1.89264750940844
p_GM2_x_covid_2020_2021: 0.0595328425513131
high_leverage_months:
2008-05;2008-06;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: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.336863749249265
full_r2: 0.323186425590766
test_rmse: 27.9044163050464
test_mae: 24.338989365827
test_r2: -0.112690359230049
high_leverage_month_count: 17
max_cooks_distance: 0.565701115758445
coef_intercept: -0.409199847142729
hac_se_intercept: 6.8282243061877
t_intercept: -0.0599277101620569
p_intercept: 0.952260519503792
coef_GM2_YoY_lag: 1.73563413993462
hac_se_GM2_YoY_lag: 1.11783196815341
t_GM2_YoY_lag: 1.55267892615541
p_GM2_YoY_lag: 0.121749855616851
regime: covid_2020_2021
coef_CI_zscore: -3.34733357999484
hac_se_CI_zscore: 0.852699709677243
t_CI_zscore: -3.92557138463416
p_CI_zscore: 0.000111595967833944
coef_CI_monthly_change: -0.000318029080187632
hac_se_CI_monthly_change: 0.000224800605867969
t_CI_monthly_change: -1.41471629473462
p_CI_monthly_change: 0.158381246553316
coef_GM2_x_covid_2020_2021: 2.58746118285682
high_leverage_months:
2008-06;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;2021-08;2021-09;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.326832575672348
full_r2: 0.32737888140442
test_rmse: 25.2930289333904
test_mae: 21.1036803458692
test_r2: 0.0858233553260919
high_leverage_month_count: 16
max_cooks_distance: 0.187348236859044
coef_intercept: -4.68409877485515
hac_se_intercept: 6.4415085185823
t_intercept: -0.727174195507555
p_intercept: 0.467791584664877
coef_GM2_YoY_lag: 2.98357526093025
hac_se_GM2_YoY_lag: 1.03527498865983
t_GM2_YoY_lag: 2.88191571670489
p_GM2_YoY_lag: 0.00429204750947854
regime: covid_2020_2021
coef_CI_zscore: -0.913794340859943
hac_se_CI_zscore: 0.952193049116009
t_CI_zscore: -0.959673399956327
p_CI_zscore: 0.338135835351205
coef_CI_monthly_change: -0.000248190371928914
hac_se_CI_monthly_change: 0.000216139386226438
t_CI_monthly_change: -1.14828850151771
p_CI_monthly_change: 0.251934028954694
coef_GM2_x_CI_zscore: -1.00727594323848
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;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.136194772860008
full_r2: 0.177765735618848
test_rmse: 18.4744808398634
test_mae: 14.4477284573865
test_r2: 0.512277348730465
high_leverage_month_count: 14
max_cooks_distance: 0.205500900174255
coef_intercept: -12.7493643607059
hac_se_intercept: 7.03191641818416
t_intercept: -1.81307108937426
p_intercept: 0.0709919810787498
coef_GM2_YoY_lag: 2.90145081194716
hac_se_GM2_YoY_lag: 1.26962494339652
t_GM2_YoY_lag: 2.28528182833677
p_GM2_YoY_lag: 0.0231144258656468
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 2.71746984325195
hac_se_GM2_x_war_spr_2022_2023: 1.01300652606335
t_GM2_x_war_spr_2022_2023: 2.68257881201646
p_GM2_x_war_spr_2022_2023: 0.00778131562037609
high_leverage_months:
2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2021-03;2021-04;2021-05;2021-10;2021-11;2022-01


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.243281725940722
full_r2: 0.258843936491602
test_rmse: 30.1770836613168
test_mae: 25.3777882587279
test_r2: -0.301316612205624
high_leverage_month_count: 14
max_cooks_distance: 0.61952361135208
coef_intercept: -5.405512365625
hac_se_intercept: 6.85701938046789
t_intercept: -0.788318081909251
p_intercept: 0.431248680841172
coef_GM2_YoY_lag: 2.54749973043738
hac_se_GM2_YoY_lag: 1.18058915532538
t_GM2_YoY_lag: 2.15782071091045
p_GM2_YoY_lag: 0.0318831804378816
regime: war_spr_2022_2023
coef_CI_zscore: -3.36593302189632
hac_se_CI_zscore: 0.916917390588586
t_CI_zscore: -3.67092287314527
p_CI_zscore: 0.000294785484351356
coef_CI_monthly_change: -0.000406918865530237
hac_se_CI_monthly_change: 0.000236909214277505
t_CI_monthly_change: -1.71761519184134
p_CI_monthly_change: 0.087090436857066
coef_GM2_x_war_spr_2022_2023: 1.51216747886023
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10;2022-01


target: WTI_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: 0.321193546808671
full_r2: 0.324291659621794
test_rmse: 24.8025845891817
test_mae: 20.336161889176
test_r2: 0.120932307693502
high_leverage_month_count: 15
max_cooks_distance: 0.140501187490869
coef_intercept: -5.71211309093726
hac_se_intercept: 6.08131886330517
t_intercept: -0.939288535814869
p_intercept: 0.348478497057212
coef_GM2_YoY_lag: 3.13805001453549
hac_se_GM2_YoY_lag: 0.948268551506199
t_GM2_YoY_lag: 3.30924189097182
p_GM2_YoY_lag: 0.00107158301394583
regime: war_spr_2022_2023
coef_CI_zscore: -0.748650639829658
hac_se_CI_zscore: 0.905601932303491
t_CI_zscore: -0.826688430230475
p_CI_zscore: 0.409192648224286
coef_CI_monthly_change: -0.000250782785645054
hac_se_CI_monthly_change: 0.000222014972124402
t_CI_monthly_change: -1.12957600672324
p_CI_monthly_change: 0.259724747562168
coef_GM2_x_CI_zscore: -1.0781590486387
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


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 8
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.131955498656814
full_r2: 0.157215693760806
test_rmse: 21.9408803491864
test_mae: 16.6823287421263
test_r2: 0.312082213856555
high_leverage_month_count: 17
max_cooks_distance: 0.295305083562484
coef_intercept: -13.6648624223217
hac_se_intercept: 5.9919027910752
t_intercept: -2.28055475844422
p_intercept: 0.0233971672452973
coef_GM2_YoY_lag: 3.02773233808002
hac_se_GM2_YoY_lag: 1.50805274199187
t_GM2_YoY_lag: 2.00770984579818
p_GM2_YoY_lag: 0.0457249166208853
regime: normal_period
coef_GM2_x_normal_period: 0.29871796468718
hac_se_GM2_x_normal_period: 1.25282657148173
t_GM2_x_normal_period: 0.238435208421452
p_GM2_x_normal_period: 0.811734309082412
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-08;2021-03;2021-04;2021-05;2021-06;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 8
n_obs: 259
n_train: 208
n_test: 51
train_r2: 0.353358065226894
full_r2: 0.367489783847059
test_rmse: 21.1869001100878
test_mae: 16.8952479279499
test_r2: 0.358549307732189
high_leverage_month_count: 17
max_cooks_distance: 0.20607333805842
coef_intercept: -6.71881853123918
hac_se_intercept: 5.25354248393679
t_intercept: -1.27891200114639
p_intercept: 0.202099855591756
coef_GM2_YoY_lag: 2.91483118379234
hac_se_GM2_YoY_lag: 0.894860745443467
t_GM2_YoY_lag: 3.25730142777448
p_GM2_YoY_lag: 0.00127863407022488
regime: normal_period
coef_CI_zscore: -0.289543901140028
hac_se_CI_zscore: 0.97923870028546
t_CI_zscore: -0.295682657410928
p_CI_zscore: 0.767714975598563
coef_CI_monthly_change: -0.000227243934875165
hac_se_CI_monthly_change: 0.00021514521626215
t_CI_monthly_change: -1.05623512724667
p_CI_monthly_change: 0.291868339886727
coef_GM2_x_CI_zscore: -1.4699356020593
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2015-04;2015-08;2015-09;2015-10;2015-11;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.176758723002569
full_r2: 0.208044122652548
test_rmse: 19.7078854252066
test_mae: 16.3720741382791
test_r2: 0.444980173069501
high_leverage_month_count: 21
max_cooks_distance: 0.176706643312131
coef_intercept: -15.8708832940627
hac_se_intercept: 5.33198313503368
t_intercept: -2.97654416605022
p_intercept: 0.00319545960869028
coef_GM2_YoY_lag: 4.02579368592703
hac_se_GM2_YoY_lag: 0.840461931566657
t_GM2_YoY_lag: 4.78997743350824
p_GM2_YoY_lag: 2.8322464280528e-06
coef_GM2_x_financial_crisis_2008_2009: -3.11400149195763
hac_se_GM2_x_financial_crisis_2008_2009: 1.76482609096006
t_GM2_x_financial_crisis_2008_2009: -1.76448065217782
p_GM2_x_financial_crisis_2008_2009: 0.0788482677486513
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;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.357730559362462
full_r2: 0.365362039433313
test_rmse: 22.243653285285
test_mae: 18.3741467228707
test_r2: 0.292965388708861
high_leverage_month_count: 17
max_cooks_distance: 0.598804333378601
coef_intercept: -8.61794670935554
hac_se_intercept: 5.00288193085124
t_intercept: -1.72259646109402
p_intercept: 0.0861883689566336
coef_GM2_YoY_lag: 3.6046508473678
hac_se_GM2_YoY_lag: 0.757261939813666
t_GM2_YoY_lag: 4.76011094424576
p_GM2_YoY_lag: 3.26443466591719e-06
coef_GM2_x_financial_crisis_2008_2009: -1.05580097818365
hac_se_GM2_x_financial_crisis_2008_2009: 1.470193225812
t_GM2_x_financial_crisis_2008_2009: -0.718137561544348
p_GM2_x_financial_crisis_2008_2009: 0.473337722794483
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.28760063958154
hac_se_CI_zscore: 0.800860518179879
t_CI_zscore: -4.10508517394926
p_CI_zscore: 5.46365868363541e-05
coef_CI_monthly_change: -0.0003449361712069
high_leverage_months:
2008-02;2008-03;2008-04;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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.097720080851964
full_r2: 0.130447345285003
test_rmse: 21.0540774959798
test_mae: 16.5999230065581
test_r2: 0.366566723840428
high_leverage_month_count: 18
max_cooks_distance: 0.129051853521719
coef_intercept: -8.98472329689461
hac_se_intercept: 6.96612018910031
t_intercept: -1.28977437267774
p_intercept: 0.198297513767569
coef_GM2_YoY_lag: 2.71477372808145
hac_se_GM2_YoY_lag: 1.23824068986865
t_GM2_YoY_lag: 2.19244428833091
p_GM2_YoY_lag: 0.0292514285546477
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.56811470034658
hac_se_GM2_x_shale_regime_2014_2017: 1.87496552968494
t_GM2_x_shale_regime_2014_2017: -0.836343215659053
p_GM2_x_shale_regime_2014_2017: 0.403744876888886
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-01;2015-02;2015-03;2015-04;2016-12;2017-01;2017-02;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.264960954729869
full_r2: 0.240579242891667
test_rmse: 36.0138202331341
test_mae: 31.7168579833668
test_r2: -0.853390040533799
high_leverage_month_count: 15
max_cooks_distance: 0.553346434909775
coef_intercept: -1.25296250865893
hac_se_intercept: 7.09722234675892
t_intercept: -0.176542659570348
p_intercept: 0.860009435131893
coef_GM2_YoY_lag: 2.4919077847218
hac_se_GM2_YoY_lag: 1.07019031002163
t_GM2_YoY_lag: 2.32847163853636
p_GM2_YoY_lag: 0.0206787632061021
regime: shale_regime_2014_2017
coef_CI_zscore: -8.33618559277417
hac_se_CI_zscore: 3.47531927653411
t_CI_zscore: -2.39868194242221
p_CI_zscore: 0.0171816931655928
coef_CI_monthly_change: -0.000377663047282706
hac_se_CI_monthly_change: 0.000226191686359429
t_CI_monthly_change: -1.66965927599382
p_CI_monthly_change: 0.0962284813441334
coef_GM2_x_shale_regime_2014_2017: -0.862331059884913
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_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: 0.318949619912822
full_r2: 0.316199243406092
test_rmse: 26.9573547503372
test_mae: 22.1452811368082
test_r2: -0.0384437763229859
high_leverage_month_count: 14
max_cooks_distance: 0.172113528367014
coef_intercept: -4.06957084135225
hac_se_intercept: 5.6767876255843
t_intercept: -0.716879177056297
p_intercept: 0.474112545009953
coef_GM2_YoY_lag: 2.98318237594947
hac_se_GM2_YoY_lag: 0.801098426649992
t_GM2_YoY_lag: 3.72386497926909
p_GM2_YoY_lag: 0.000242094299720996
regime: shale_regime_2014_2017
coef_CI_zscore: -1.10817506821336
hac_se_CI_zscore: 1.18687828065365
t_CI_zscore: -0.933688893188829
p_CI_zscore: 0.351358156342104
coef_CI_monthly_change: -0.000280229163601931
hac_se_CI_monthly_change: 0.000215740036110828
t_CI_monthly_change: -1.29892053720606
p_CI_monthly_change: 0.195158439429868
coef_GM2_x_CI_zscore: -1.26593083260099
high_leverage_months:
2005-08;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.17090783566689
full_r2: 0.188673135790552
test_rmse: 22.6886634668313
test_mae: 17.3063938603432
test_r2: 0.264392299350115
high_leverage_month_count: 14
max_cooks_distance: 0.614201886894525
coef_intercept: -7.81887922562814
hac_se_intercept: 7.15876471274988
t_intercept: -1.0922106731211
p_intercept: 0.275771329473633
coef_GM2_YoY_lag: 1.96716972656125
hac_se_GM2_YoY_lag: 1.21318302949451
t_GM2_YoY_lag: 1.62149459622831
p_GM2_YoY_lag: 0.106147385321632
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 3.11679482708398
hac_se_GM2_x_covid_2020_2021: 1.50937707005672
t_GM2_x_covid_2020_2021: 2.06495440332007
p_GM2_x_covid_2020_2021: 0.0399382470326721
high_leverage_months:
2008-06;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2020-04;2021-03;2021-04;2021-05;2021-08;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.323854952907358
full_r2: 0.303281423191099
test_rmse: 30.221495587438
test_mae: 26.9742851156239
test_r2: -0.305149753001315
high_leverage_month_count: 18
max_cooks_distance: 0.596821208014591
coef_intercept: 1.9314776502562
hac_se_intercept: 6.92932274269554
t_intercept: 0.278739744413297
p_intercept: 0.780673157826414
coef_GM2_YoY_lag: 1.42583848298294
hac_se_GM2_YoY_lag: 1.10558095748762
t_GM2_YoY_lag: 1.28967351809595
p_GM2_YoY_lag: 0.198346385364938
regime: covid_2020_2021
coef_CI_zscore: -3.51478095671724
hac_se_CI_zscore: 0.855553634128104
t_CI_zscore: -4.10819476010895
p_CI_zscore: 5.39520429940765e-05
coef_CI_monthly_change: -0.000319122572654207
hac_se_CI_monthly_change: 0.000225375348989571
t_CI_monthly_change: -1.41596041485874
p_CI_monthly_change: 0.15802188214796
coef_GM2_x_covid_2020_2021: 2.75892117256967
high_leverage_months:
2008-06;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;2021-09;2021-11;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.304547234257584
full_r2: 0.307300905187513
test_rmse: 25.7677506514032
test_mae: 21.7894796137395
test_r2: 0.0511851819217771
high_leverage_month_count: 15
max_cooks_distance: 0.217842666014409
coef_intercept: -3.44151777701963
hac_se_intercept: 6.11805881020369
t_intercept: -0.562517929915918
p_intercept: 0.574263245647318
coef_GM2_YoY_lag: 2.76335499792667
hac_se_GM2_YoY_lag: 0.978828679342745
t_GM2_YoY_lag: 2.82312426703944
p_GM2_YoY_lag: 0.00513554256712512
regime: covid_2020_2021
coef_CI_zscore: -0.275500630906668
hac_se_CI_zscore: 1.28500116002387
t_CI_zscore: -0.214397184592074
p_CI_zscore: 0.830410721785034
coef_CI_monthly_change: -0.000275926500094226
hac_se_CI_monthly_change: 0.000215448795051436
t_CI_monthly_change: -1.28070570099197
p_CI_monthly_change: 0.20147450834726
coef_GM2_x_CI_zscore: -1.02070975213999
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05;2021-11;2021-12


target: WTI_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: 0.297286168769613
full_r2: 0.303917297363553
test_rmse: 24.6087550147254
test_mae: 20.4440597887057
test_r2: 0.134618262789533
high_leverage_month_count: 14
max_cooks_distance: 0.208867277798164
coef_intercept: -4.68208717968561
hac_se_intercept: 5.76075929908705
t_intercept: -0.81275521794976
p_intercept: 0.417125578544348
coef_GM2_YoY_lag: 2.97746208857947
hac_se_GM2_YoY_lag: 0.889005668019773
t_GM2_YoY_lag: 3.34920484276738
p_GM2_YoY_lag: 0.000934514064217851
regime: war_spr_2022_2023
coef_CI_zscore: -0.0116931490175665
hac_se_CI_zscore: 1.25544069189894
t_CI_zscore: -0.00931397961928395
p_CI_zscore: 0.992575996052645
coef_CI_monthly_change: -0.000278042601325357
hac_se_CI_monthly_change: 0.000221864121446771
t_CI_monthly_change: -1.25321119752147
p_CI_monthly_change: 0.211290380749042
coef_GM2_x_CI_zscore: -1.1145747919555
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 9
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.0917778638579038
full_r2: 0.123741740509993
test_rmse: 21.2829608934963
test_mae: 16.6393844276198
test_r2: 0.352719484267817
high_leverage_month_count: 17
max_cooks_distance: 0.210095947752
coef_intercept: -11.1418172420204
hac_se_intercept: 6.13238914726302
t_intercept: -1.81688033398748
p_intercept: 0.0704093098271037
coef_GM2_YoY_lag: 2.68547871658153
hac_se_GM2_YoY_lag: 1.49918054769692
t_GM2_YoY_lag: 1.7912977330896
p_GM2_YoY_lag: 0.0744313512027022
regime: normal_period
coef_GM2_x_normal_period: 0.268244391094922
hac_se_GM2_x_normal_period: 1.26581363141733
t_GM2_x_normal_period: 0.211914601357681
p_GM2_x_normal_period: 0.832342939250306
high_leverage_months:
2008-05;2008-06;2008-10;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2021-03;2021-04;2021-05;2021-06;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 9
n_obs: 258
n_train: 207
n_test: 51
train_r2: 0.323091933522766
full_r2: 0.339931447941844
test_rmse: 21.4037935099995
test_mae: 17.3657519579294
test_r2: 0.345348834838716
high_leverage_month_count: 17
max_cooks_distance: 0.347385086596102
coef_intercept: -5.73558405480212
hac_se_intercept: 5.01723540413255
t_intercept: -1.14317619023375
p_intercept: 0.25405030207309
coef_GM2_YoY_lag: 2.73015447103264
hac_se_GM2_YoY_lag: 0.828955069962912
t_GM2_YoY_lag: 3.29348908036088
p_GM2_YoY_lag: 0.0011314068010877
regime: normal_period
coef_CI_zscore: 0.556006707580378
hac_se_CI_zscore: 1.32640450318595
t_CI_zscore: 0.419183368455762
p_CI_zscore: 0.675439217452908
coef_CI_monthly_change: -0.000268033845586935
hac_se_CI_monthly_change: 0.000215586265749492
t_CI_monthly_change: -1.24327885477819
p_CI_monthly_change: 0.214920531072948
coef_GM2_x_CI_zscore: -1.41661689750459
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2015-04;2015-05;2015-08;2015-09;2015-10;2015-11;2015-12;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 10
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.141557763230532
full_r2: 0.177267856728904
test_rmse: 19.398595616341
test_mae: 16.7040301170124
test_r2: 0.462264114599157
high_leverage_month_count: 22
max_cooks_distance: 0.1404915434241
coef_intercept: -13.7402730910144
hac_se_intercept: 5.41630822254228
t_intercept: -2.53683367461038
p_intercept: 0.011785358109603
coef_GM2_YoY_lag: 3.70588403477398
hac_se_GM2_YoY_lag: 0.849337346433505
t_GM2_YoY_lag: 4.36326513879973
p_GM2_YoY_lag: 1.864938125129e-05
coef_GM2_x_financial_crisis_2008_2009: -2.98015457873784
hac_se_GM2_x_financial_crisis_2008_2009: 1.72267375845019
t_GM2_x_financial_crisis_2008_2009: -1.72995877142689
p_GM2_x_financial_crisis_2008_2009: 0.0848523653149944
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;2012-04;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.346214963255837
full_r2: 0.35405689161506
test_rmse: 22.7943863409449
test_mae: 19.2465457279361
test_r2: 0.257520871682368
high_leverage_month_count: 18
max_cooks_distance: 0.643560261658762
coef_intercept: -7.49416524733799
hac_se_intercept: 4.88387428869676
t_intercept: -1.53447136521972
p_intercept: 0.126173235689023
coef_GM2_YoY_lag: 3.43383527149264
hac_se_GM2_YoY_lag: 0.737661520140174
t_GM2_YoY_lag: 4.65502832632523
p_GM2_YoY_lag: 5.2511932067123e-06
coef_GM2_x_financial_crisis_2008_2009: -0.630640721554053
hac_se_GM2_x_financial_crisis_2008_2009: 1.44498594514635
t_GM2_x_financial_crisis_2008_2009: -0.436433810081233
p_GM2_x_financial_crisis_2008_2009: 0.662897183939471
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.46003156590593
hac_se_CI_zscore: 0.795334572909909
t_CI_zscore: -4.35041010885096
p_CI_zscore: 1.97796417631402e-05
coef_CI_monthly_change: -0.000358657418068287
high_leverage_months:
2008-02;2008-03;2008-04;2008-05;2008-06;2008-09;2008-10;2008-11;2008-12;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 10
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.0751478595730548
full_r2: 0.108170753149139
test_rmse: 21.6797268016473
test_mae: 17.5546127626637
test_r2: 0.328360777283441
high_leverage_month_count: 18
max_cooks_distance: 0.10505287894528
coef_intercept: -6.70758529019128
hac_se_intercept: 6.99108544647097
t_intercept: -0.959448334818623
p_intercept: 0.33824533011994
coef_GM2_YoY_lag: 2.41567168330566
hac_se_GM2_YoY_lag: 1.22906134575686
t_GM2_YoY_lag: 1.96546062704306
p_GM2_YoY_lag: 0.0504504708993565
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -1.78983272309776
hac_se_GM2_x_shale_regime_2014_2017: 1.93540003159772
t_GM2_x_shale_regime_2014_2017: -0.924786965938103
p_GM2_x_shale_regime_2014_2017: 0.355954481086954
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;2021-11


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.257156771780378
full_r2: 0.226502154780062
test_rmse: 37.55768461081
test_mae: 33.2729984891646
test_r2: -1.01570076866966
high_leverage_month_count: 16
max_cooks_distance: 0.61901013192929
coef_intercept: 0.302051659975298
hac_se_intercept: 7.04940077358341
t_intercept: 0.0428478490125277
p_intercept: 0.965856886561682
coef_GM2_YoY_lag: 2.302330596159
hac_se_GM2_YoY_lag: 1.03683250623421
t_GM2_YoY_lag: 2.22054245243632
p_GM2_YoY_lag: 0.0272752908113305
regime: shale_regime_2014_2017
coef_CI_zscore: -8.67258064070962
hac_se_CI_zscore: 3.44277520763187
t_CI_zscore: -2.51906677539806
p_CI_zscore: 0.0123887710665582
coef_CI_monthly_change: -0.000384736784069695
hac_se_CI_monthly_change: 0.000221364179188842
t_CI_monthly_change: -1.73802638475434
p_CI_monthly_change: 0.0834325649980732
coef_GM2_x_shale_regime_2014_2017: -0.862582718251905
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_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: 0.305399852255425
full_r2: 0.303173250618464
test_rmse: 27.3240334825054
test_mae: 22.5225892465738
test_r2: -0.0668861021511327
high_leverage_month_count: 15
max_cooks_distance: 0.205305411059994
coef_intercept: -3.09548804235506
hac_se_intercept: 5.52557714609294
t_intercept: -0.560210808846247
p_intercept: 0.575835305377815
coef_GM2_YoY_lag: 2.84476559620597
hac_se_GM2_YoY_lag: 0.756713571981534
t_GM2_YoY_lag: 3.75936906847944
p_GM2_YoY_lag: 0.000211949444995474
regime: shale_regime_2014_2017
coef_CI_zscore: -0.803723221107294
hac_se_CI_zscore: 1.47480492774298
t_CI_zscore: -0.544969172524602
p_CI_zscore: 0.586258607370635
coef_CI_monthly_change: -0.00030157296574318
hac_se_CI_monthly_change: 0.000212794917281306
t_CI_monthly_change: -1.41720004216319
p_CI_monthly_change: 0.157664509875427
coef_GM2_x_CI_zscore: -1.25659879137463
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;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 10
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.157464928692027
full_r2: 0.174409372046441
test_rmse: 23.2753160117618
test_mae: 18.1406234010014
test_r2: 0.22585981406739
high_leverage_month_count: 14
max_cooks_distance: 0.562810004046794
coef_intercept: -5.98874175358007
hac_se_intercept: 7.14816695432296
t_intercept: -0.837801046316956
p_intercept: 0.402930098645274
coef_GM2_YoY_lag: 1.68553149399553
hac_se_GM2_YoY_lag: 1.1866412194457
t_GM2_YoY_lag: 1.42042216836431
p_GM2_YoY_lag: 0.156711145537092
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 3.4761980453907
hac_se_GM2_x_covid_2020_2021: 1.60123094580254
t_GM2_x_covid_2020_2021: 2.17095357450042
p_GM2_x_covid_2020_2021: 0.0308610106488945
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2020-04;2021-03;2021-04;2021-05;2021-08;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.318378675514885
full_r2: 0.292057198638616
test_rmse: 31.7817588740055
test_mae: 28.6759988676568
test_r2: -0.44339200987091
high_leverage_month_count: 17
max_cooks_distance: 0.630212331846712
coef_intercept: 3.45212217913666
hac_se_intercept: 6.90424206534762
t_intercept: 0.500000166051948
p_intercept: 0.617513018026862
coef_GM2_YoY_lag: 1.22046319198577
hac_se_GM2_YoY_lag: 1.08283102854612
t_GM2_YoY_lag: 1.12710400774573
p_GM2_YoY_lag: 0.260774847900144
regime: covid_2020_2021
coef_CI_zscore: -3.63263828840762
hac_se_CI_zscore: 0.856490508667869
t_CI_zscore: -4.24130594752018
p_CI_zscore: 3.12714817445325e-05
coef_CI_monthly_change: -0.000313528008698993
hac_se_CI_monthly_change: 0.000219674390569468
t_CI_monthly_change: -1.4272396881868
p_CI_monthly_change: 0.154753662399338
coef_GM2_x_covid_2020_2021: 2.97146148679084
high_leverage_months:
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: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.290125460388549
full_r2: 0.294348764041258
test_rmse: 26.0201310433421
test_mae: 21.99781985984
test_r2: 0.0325079634953094
high_leverage_month_count: 16
max_cooks_distance: 0.249869249407894
coef_intercept: -2.46089879102963
hac_se_intercept: 5.79503290549103
t_intercept: -0.424656569024454
p_intercept: 0.671450827766782
coef_GM2_YoY_lag: 2.59002713874792
hac_se_GM2_YoY_lag: 0.916710027745789
t_GM2_YoY_lag: 2.82535050381947
p_GM2_YoY_lag: 0.00510263248654308
regime: covid_2020_2021
coef_CI_zscore: 0.279470981944404
hac_se_CI_zscore: 1.52802872475584
t_CI_zscore: 0.18289641903758
p_CI_zscore: 0.855026936452876
coef_CI_monthly_change: -0.000305620044360744
hac_se_CI_monthly_change: 0.000211976867038046
t_CI_monthly_change: -1.44176130457618
p_CI_monthly_change: 0.150616224652077
coef_GM2_x_CI_zscore: -1.02465922145358
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;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.281090458005712
full_r2: 0.290437333833888
test_rmse: 24.2905908347357
test_mae: 20.2133393278438
test_r2: 0.156850479812635
high_leverage_month_count: 18
max_cooks_distance: 0.246742210914861
coef_intercept: -4.03638438617249
hac_se_intercept: 5.55218588282302
t_intercept: -0.726990138903669
p_intercept: 0.467909483232622
coef_GM2_YoY_lag: 2.88186721557873
hac_se_GM2_YoY_lag: 0.86119010781855
t_GM2_YoY_lag: 3.34637751805892
p_GM2_YoY_lag: 0.000944201488063401
regime: war_spr_2022_2023
coef_CI_zscore: 0.684276528086889
hac_se_CI_zscore: 1.55513682627153
t_CI_zscore: 0.440010497164711
p_CI_zscore: 0.660308151672439
coef_CI_monthly_change: -0.000309785741165136
hac_se_CI_monthly_change: 0.000217495646898335
t_CI_monthly_change: -1.42433076515752
p_CI_monthly_change: 0.155592804619215
coef_GM2_x_CI_zscore: -1.14846807024313
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2015-11;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-12


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 10
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.0641067911189448
full_r2: 0.0987556858241854
test_rmse: 21.3311616681513
test_mae: 17.1167296901166
test_r2: 0.349784295689692
high_leverage_month_count: 19
max_cooks_distance: 0.172289077732812
coef_intercept: -9.00173491931069
hac_se_intercept: 6.28345557203371
t_intercept: -1.43260898658621
p_intercept: 0.153199177101204
coef_GM2_YoY_lag: 2.41079804555999
hac_se_GM2_YoY_lag: 1.47264100191699
t_GM2_YoY_lag: 1.63705753297767
p_GM2_YoY_lag: 0.102856766704928
regime: normal_period
coef_GM2_x_normal_period: 0.203372976756644
hac_se_GM2_x_normal_period: 1.26750180929164
t_GM2_x_normal_period: 0.160451823631165
p_GM2_x_normal_period: 0.872652701627157
high_leverage_months:
2008-05;2008-06;2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2012-04;2021-03;2021-04;2021-05;2021-06;2021-09;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 10
n_obs: 257
n_train: 206
n_test: 51
train_r2: 0.300973759035851
full_r2: 0.318811817520808
test_rmse: 21.6822579835838
test_mae: 17.6949110474255
test_r2: 0.328203935794918
high_leverage_month_count: 19
max_cooks_distance: 0.373869520649746
coef_intercept: -4.80634905366149
hac_se_intercept: 4.92385731294667
t_intercept: -0.976134917846582
p_intercept: 0.329937441855867
coef_GM2_YoY_lag: 2.59744825360517
hac_se_GM2_YoY_lag: 0.79265586083633
t_GM2_YoY_lag: 3.27689276259764
p_GM2_YoY_lag: 0.00119773790403532
regime: normal_period
coef_CI_zscore: 1.2607945997758
hac_se_CI_zscore: 1.61607218351226
t_CI_zscore: 0.780159829888093
p_CI_zscore: 0.436031871247861
coef_CI_monthly_change: -0.000309030259754373
hac_se_CI_monthly_change: 0.000213933395052629
t_CI_monthly_change: -1.44451622281014
p_CI_monthly_change: 0.149840966490691
coef_GM2_x_CI_zscore: -1.37877982975675
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-05;2015-08;2015-11;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-05;2021-12


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.112855998167996
full_r2: 0.148326429161816
test_rmse: 20.0138096138895
test_mae: 17.0466214429614
test_r2: 0.427615363304491
high_leverage_month_count: 20
max_cooks_distance: 0.109845434304487
coef_intercept: -11.4312801633296
hac_se_intercept: 5.45009132740839
t_intercept: -2.09744745117242
p_intercept: 0.0369464940643924
coef_GM2_YoY_lag: 3.35613469303693
hac_se_GM2_YoY_lag: 0.829935788625682
t_GM2_YoY_lag: 4.04384861941484
p_GM2_YoY_lag: 6.98527871714205e-05
coef_GM2_x_financial_crisis_2008_2009: -2.85753336643996
hac_se_GM2_x_financial_crisis_2008_2009: 1.67252674619214
t_GM2_x_financial_crisis_2008_2009: -1.70851280731129
p_GM2_x_financial_crisis_2008_2009: 0.0887676736477323
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;2009-12;2021-04;2021-05;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.335011497332364
full_r2: 0.338469672196449
test_rmse: 24.0475607011725
test_mae: 20.606132002854
test_r2: 0.173637692953686
high_leverage_month_count: 21
max_cooks_distance: 0.677732622916048
coef_intercept: -5.95575424569634
hac_se_intercept: 4.79032932663275
t_intercept: -1.24328701423182
p_intercept: 0.214926764060759
coef_GM2_YoY_lag: 3.21383826941999
hac_se_GM2_YoY_lag: 0.699601583294376
t_GM2_YoY_lag: 4.59381217276016
p_GM2_YoY_lag: 6.90501074096517e-06
coef_GM2_x_financial_crisis_2008_2009: -0.319558484085465
hac_se_GM2_x_financial_crisis_2008_2009: 1.44637895906359
t_GM2_x_financial_crisis_2008_2009: -0.220936900445754
p_GM2_x_financial_crisis_2008_2009: 0.825321900165873
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.67555326162295
hac_se_CI_zscore: 0.799362390186119
t_CI_zscore: -4.59810632417565
p_CI_zscore: 6.77513934155272e-06
coef_CI_monthly_change: -0.000343461799483524
high_leverage_months:
2008-02;2008-03;2008-04;2008-05;2008-06;2008-09;2008-10;2008-11;2008-12;2009-06;2009-07;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-10


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0610168266989467
full_r2: 0.0901128828454177
test_rmse: 23.0198058346507
test_mae: 18.9702332035193
test_r2: 0.242763128670729
high_leverage_month_count: 19
max_cooks_distance: 0.086563393515328
coef_intercept: -4.12593185547847
hac_se_intercept: 6.97536211140786
t_intercept: -0.591500740689964
p_intercept: 0.554713091263949
coef_GM2_YoY_lag: 2.09551409446616
hac_se_GM2_YoY_lag: 1.20325273035782
t_GM2_YoY_lag: 1.7415411090262
p_GM2_YoY_lag: 0.08280421406613
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -2.18978528339461
hac_se_GM2_x_shale_regime_2014_2017: 1.90610069999928
t_GM2_x_shale_regime_2014_2017: -1.1488297986541
p_GM2_x_shale_regime_2014_2017: 0.251711132315131
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;2017-01;2017-02;2017-03;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.254114399601783
full_r2: 0.21340415192575
test_rmse: 39.1595126711813
test_mae: 34.8104433965157
test_r2: -1.19130584479853
high_leverage_month_count: 14
max_cooks_distance: 0.62654835508462
coef_intercept: 2.07545197249613
hac_se_intercept: 6.99948665614425
t_intercept: 0.296514883798553
p_intercept: 0.767083085524457
coef_GM2_YoY_lag: 2.0976601107025
hac_se_GM2_YoY_lag: 1.00371017598267
t_GM2_YoY_lag: 2.08990619094683
p_GM2_YoY_lag: 0.0376369635952705
regime: shale_regime_2014_2017
coef_CI_zscore: -9.04598370194805
hac_se_CI_zscore: 3.39241151455711
t_CI_zscore: -2.66653490094908
p_CI_zscore: 0.00816375705545425
coef_CI_monthly_change: -0.000375323712807685
hac_se_CI_monthly_change: 0.000224993511086465
t_CI_monthly_change: -1.66815349916224
p_CI_monthly_change: 0.0965372223955256
coef_GM2_x_shale_regime_2014_2017: -1.05147681165254
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-10


target: WTI_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: 0.287793948271822
full_r2: 0.282704596097446
test_rmse: 28.3887815830947
test_mae: 23.9577792432731
test_r2: -0.151653805591078
high_leverage_month_count: 14
max_cooks_distance: 0.345651561084908
coef_intercept: -1.86550138499574
hac_se_intercept: 5.53723491119125
t_intercept: -0.336901253949944
p_intercept: 0.736473989748415
coef_GM2_YoY_lag: 2.63831871834031
hac_se_GM2_YoY_lag: 0.728297979923296
t_GM2_YoY_lag: 3.62258140358728
p_GM2_YoY_lag: 0.000353200185343905
regime: shale_regime_2014_2017
coef_CI_zscore: -0.536777230644065
hac_se_CI_zscore: 1.95509711500467
t_CI_zscore: -0.274552719926029
p_CI_zscore: 0.783886634768327
coef_CI_monthly_change: -0.000322737593384748
hac_se_CI_monthly_change: 0.000218403059633107
t_CI_monthly_change: -1.477715531673
p_CI_monthly_change: 0.140742619743884
coef_GM2_x_CI_zscore: -1.20657094724138
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2010-10;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.149605791243787
full_r2: 0.163913486632462
test_rmse: 24.0181948924092
test_mae: 18.8982058783742
test_r2: 0.175654694263202
high_leverage_month_count: 13
max_cooks_distance: 0.529101216616906
coef_intercept: -4.44813820921599
hac_se_intercept: 7.03875479190601
t_intercept: -0.631949590619492
p_intercept: 0.527990438634799
coef_GM2_YoY_lag: 1.44065164942385
hac_se_GM2_YoY_lag: 1.14062422390306
t_GM2_YoY_lag: 1.26303792189695
p_GM2_YoY_lag: 0.207738316803204
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 3.97695239724979
hac_se_GM2_x_covid_2020_2021: 1.69797873644509
t_GM2_x_covid_2020_2021: 2.3421685512835
p_GM2_x_covid_2020_2021: 0.01994810251688
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2021-03;2021-04;2021-05;2021-08;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.317783512622533
full_r2: 0.285930718906923
test_rmse: 32.7650962827144
test_mae: 29.7192475165497
test_r2: -0.534091759614643
high_leverage_month_count: 16
max_cooks_distance: 0.645011069444173
coef_intercept: 4.72535293937552
hac_se_intercept: 6.7622310505849
t_intercept: 0.69878608169811
p_intercept: 0.485335277553713
coef_GM2_YoY_lag: 1.03739669991883
hac_se_GM2_YoY_lag: 1.04646844570635
t_GM2_YoY_lag: 0.991331085208791
p_GM2_YoY_lag: 0.322482440894801
regime: covid_2020_2021
coef_CI_zscore: -3.7220809829108
hac_se_CI_zscore: 0.851249025503654
t_CI_zscore: -4.37249367857846
p_CI_zscore: 1.8034763987762e-05
coef_CI_monthly_change: -0.000302469695590002
hac_se_CI_monthly_change: 0.000216722425304747
t_CI_monthly_change: -1.39565481128536
p_CI_monthly_change: 0.164056784897697
coef_GM2_x_covid_2020_2021: 3.3485583333602
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2021-08;2021-11;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.275183706949141
full_r2: 0.278016659857276
test_rmse: 26.6795699730178
test_mae: 22.7485336984809
test_r2: -0.0171525462817583
high_leverage_month_count: 16
max_cooks_distance: 0.443488274285868
coef_intercept: -1.04084100550409
hac_se_intercept: 5.46165293402538
t_intercept: -0.190572527781798
p_intercept: 0.849015177146519
coef_GM2_YoY_lag: 2.30131888897385
hac_se_GM2_YoY_lag: 0.824427935982298
t_GM2_YoY_lag: 2.79141303749229
p_GM2_YoY_lag: 0.00565295599915094
regime: covid_2020_2021
coef_CI_zscore: 0.862661039803061
hac_se_CI_zscore: 1.93644837345667
t_CI_zscore: 0.445486206411568
p_CI_zscore: 0.656353944261656
coef_CI_monthly_change: -0.000337161768255267
hac_se_CI_monthly_change: 0.000216276446154469
t_CI_monthly_change: -1.5589389147557
p_CI_monthly_change: 0.120275819264118
coef_GM2_x_CI_zscore: -0.977535489266628
high_leverage_months:
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;2021-10;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0508524089629993
full_r2: 0.0869887548851308
test_rmse: 21.5350335883845
test_mae: 17.7413393145777
test_r2: 0.337296068485402
high_leverage_month_count: 13
max_cooks_distance: 0.0912305383510542
coef_intercept: -5.5472092855984
hac_se_intercept: 7.30312526702449
t_intercept: -0.759566498283343
p_intercept: 0.448220902474242
coef_GM2_YoY_lag: 1.89001735262899
hac_se_GM2_YoY_lag: 1.29213406692748
t_GM2_YoY_lag: 1.46270994705928
p_GM2_YoY_lag: 0.14478789045109
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.53744278168898
hac_se_GM2_x_war_spr_2022_2023: 1.07618922448599
t_GM2_x_war_spr_2022_2023: 1.42859893660735
p_GM2_x_war_spr_2022_2023: 0.154352926280048
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2021-04;2021-05;2021-10;2021-11;2022-03


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.203880271322363
full_r2: 0.201466977734553
test_rmse: 33.0064828366115
test_mae: 28.5225207700281
test_r2: -0.556778901326402
high_leverage_month_count: 14
max_cooks_distance: 0.790454871932482
coef_intercept: 1.01777578633873
hac_se_intercept: 7.08571193580403
t_intercept: 0.143637759417782
p_intercept: 0.885902233539534
coef_GM2_YoY_lag: 1.76383851703756
hac_se_GM2_YoY_lag: 1.19256279412681
t_GM2_YoY_lag: 1.47903198533796
p_GM2_YoY_lag: 0.14039066310176
regime: war_spr_2022_2023
coef_CI_zscore: -3.97718297485735
hac_se_CI_zscore: 1.00008527468404
t_CI_zscore: -3.97684385075451
p_CI_zscore: 9.14884969420715e-05
coef_CI_monthly_change: -0.000393637177935391
hac_se_CI_monthly_change: 0.000240115175763668
t_CI_monthly_change: -1.63936817689035
p_CI_monthly_change: 0.102394336157229
coef_GM2_x_war_spr_2022_2023: 0.0771484050374926
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2023-03


target: WTI_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: 0.259718188734355
full_r2: 0.27000484218646
test_rmse: 24.2014698951805
test_mae: 20.3949776850775
test_r2: 0.163026075239041
high_leverage_month_count: 17
max_cooks_distance: 0.493344162351995
coef_intercept: -3.46540973769647
hac_se_intercept: 5.439784023002
t_intercept: -0.637049140745858
p_intercept: 0.524675759665651
coef_GM2_YoY_lag: 2.74498989338655
hac_se_GM2_YoY_lag: 0.862717934810302
t_GM2_YoY_lag: 3.18179300861541
p_GM2_YoY_lag: 0.00164881204370415
regime: war_spr_2022_2023
coef_CI_zscore: 1.60353885872544
hac_se_CI_zscore: 2.09214842108033
t_CI_zscore: 0.7664555930011
p_CI_zscore: 0.444128384931566
coef_CI_monthly_change: -0.000346442693219817
hac_se_CI_monthly_change: 0.000221285717347448
t_CI_monthly_change: -1.5655899412426
p_CI_monthly_change: 0.118709531800871
coef_GM2_x_CI_zscore: -1.16276955189289
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;2021-05;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 11
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.0424961921703516
full_r2: 0.0758309419915543
test_rmse: 22.1062567333726
test_mae: 17.8583409038895
test_r2: 0.301672959562581
high_leverage_month_count: 15
max_cooks_distance: 0.142774090742317
coef_intercept: -6.87831852505169
hac_se_intercept: 6.42117547298534
t_intercept: -1.07119304775109
p_intercept: 0.285103428874835
coef_GM2_YoY_lag: 2.09917528925101
hac_se_GM2_YoY_lag: 1.43213437224613
t_GM2_YoY_lag: 1.46576699081575
p_GM2_YoY_lag: 0.143953480476561
regime: normal_period
coef_GM2_x_normal_period: 0.21446932385526
hac_se_GM2_x_normal_period: 1.26158920485044
t_GM2_x_normal_period: 0.169999333404795
p_GM2_x_normal_period: 0.865146518583492
high_leverage_months:
2008-06;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 11
n_obs: 256
n_train: 205
n_test: 51
train_r2: 0.277589538497086
full_r2: 0.295576298725383
test_rmse: 21.8621595858677
test_mae: 18.0773728687783
test_r2: 0.317009661159192
high_leverage_month_count: 17
max_cooks_distance: 0.72097918759932
coef_intercept: -3.92262450814062
hac_se_intercept: 4.91660116131416
t_intercept: -0.797832563480122
p_intercept: 0.425724825713316
coef_GM2_YoY_lag: 2.40126585960806
hac_se_GM2_YoY_lag: 0.758378368403707
t_GM2_YoY_lag: 3.16631639251846
p_GM2_YoY_lag: 0.00173548696139747
regime: normal_period
coef_CI_zscore: 2.2956242086031
hac_se_CI_zscore: 2.15848512858576
t_CI_zscore: 1.06353487369505
p_CI_zscore: 0.28856565210345
coef_CI_monthly_change: -0.000354811223585827
hac_se_CI_monthly_change: 0.000219342215396406
t_CI_monthly_change: -1.61761484420404
p_CI_monthly_change: 0.107006621154837
coef_GM2_x_CI_zscore: -1.36377731414113
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;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: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0876050744508257
full_r2: 0.121169419655801
test_rmse: 20.9592896510154
test_mae: 17.7224971833713
test_r2: 0.372257461679333
high_leverage_month_count: 23
max_cooks_distance: 0.0752963919687827
coef_intercept: -8.88758589724574
hac_se_intercept: 5.59955508005561
t_intercept: -1.58719501285046
p_intercept: 0.113722402724244
coef_GM2_YoY_lag: 2.96686643697334
hac_se_GM2_YoY_lag: 0.78876310402725
t_GM2_YoY_lag: 3.76141635153213
p_GM2_YoY_lag: 0.000210137884887107
coef_GM2_x_financial_crisis_2008_2009: -2.73716829194528
hac_se_GM2_x_financial_crisis_2008_2009: 1.61320522124118
t_GM2_x_financial_crisis_2008_2009: -1.69672665071053
p_GM2_x_financial_crisis_2008_2009: 0.0909831108232062
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;2021-11


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.320748411874553
full_r2: 0.31716328997688
test_rmse: 25.8123730854132
test_mae: 22.0317351497787
test_r2: 0.047896180390163
high_leverage_month_count: 18
max_cooks_distance: 0.690926368154239
coef_intercept: -3.8610750689864
hac_se_intercept: 4.94789857008304
t_intercept: -0.780346446940524
p_intercept: 0.435928150880077
coef_GM2_YoY_lag: 2.90963833674015
hac_se_GM2_YoY_lag: 0.648065616773833
t_GM2_YoY_lag: 4.4897279865344
p_GM2_YoY_lag: 1.09126001064386e-05
coef_GM2_x_financial_crisis_2008_2009: -0.0839552749468779
hac_se_GM2_x_financial_crisis_2008_2009: 1.49048059224087
t_GM2_x_financial_crisis_2008_2009: -0.0563276539016554
p_GM2_x_financial_crisis_2008_2009: 0.955125961196689
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.88193886423849
hac_se_CI_zscore: 0.81018258440009
t_CI_zscore: -4.79143706490916
p_CI_zscore: 2.8475356677049e-06
coef_CI_monthly_change: -0.000304914183960836
high_leverage_months:
2008-03;2008-04;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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0536005502193989
full_r2: 0.0760407955676453
test_rmse: 24.7696154638617
test_mae: 20.6555647004069
test_r2: 0.12326777643592
high_leverage_month_count: 19
max_cooks_distance: 0.0696617983530352
coef_intercept: -1.36125408413736
hac_se_intercept: 7.06204421948618
t_intercept: -0.192756380706493
p_intercept: 0.847305019467015
coef_GM2_YoY_lag: 1.75585842682588
hac_se_GM2_YoY_lag: 1.16532839452247
t_GM2_YoY_lag: 1.50674988705257
p_GM2_YoY_lag: 0.133127289560004
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -2.64795810883656
hac_se_GM2_x_shale_regime_2014_2017: 1.82092543052206
t_GM2_x_shale_regime_2014_2017: -1.45418261750422
p_GM2_x_shale_regime_2014_2017: 0.147140013856099
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-03;2015-07;2017-01;2017-02;2017-03;2017-04;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.25284433438405
full_r2: 0.199355063272583
test_rmse: 40.9829440381693
test_mae: 36.5697869076563
test_r2: -1.40012989402552
high_leverage_month_count: 13
max_cooks_distance: 0.614511668267639
coef_intercept: 4.2134549912449
hac_se_intercept: 7.07659845042506
t_intercept: 0.595406821619477
p_intercept: 0.552112319601158
coef_GM2_YoY_lag: 1.82541164129625
hac_se_GM2_YoY_lag: 0.965231240633735
t_GM2_YoY_lag: 1.89116510578102
p_GM2_YoY_lag: 0.0597630434210081
regime: shale_regime_2014_2017
coef_CI_zscore: -9.22305506361437
hac_se_CI_zscore: 3.37928884101056
t_CI_zscore: -2.729288763862
p_CI_zscore: 0.00679988705524837
coef_CI_monthly_change: -0.000358068377708021
hac_se_CI_monthly_change: 0.00022954930218773
t_CI_monthly_change: -1.55987569683477
p_CI_monthly_change: 0.120059308258852
coef_GM2_x_shale_regime_2014_2017: -1.2848978618794
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;2021-10


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.135623584457213
full_r2: 0.147235705097566
test_rmse: 24.8500076560969
test_mae: 19.6251378773594
test_r2: 0.117567501892981
high_leverage_month_count: 13
max_cooks_distance: 0.412208920544248
coef_intercept: -2.92244126142828
hac_se_intercept: 7.00056903249125
t_intercept: -0.417457673492621
p_intercept: 0.676699118999855
coef_GM2_YoY_lag: 1.21279842603068
hac_se_GM2_YoY_lag: 1.10223843978684
t_GM2_YoY_lag: 1.10030496329381
p_GM2_YoY_lag: 0.272249218826321
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 4.33515526685348
hac_se_GM2_x_covid_2020_2021: 1.74302795233359
t_GM2_x_covid_2020_2021: 2.48714041622197
p_GM2_x_covid_2020_2021: 0.0135252571843738
high_leverage_months:
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: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.311946707624576
full_r2: 0.273525396207424
test_rmse: 33.9137112135045
test_mae: 30.9299763547876
test_r2: -0.64353544819524
high_leverage_month_count: 16
max_cooks_distance: 0.652340043778803
coef_intercept: 6.19645441046607
hac_se_intercept: 6.70830661455238
t_intercept: 0.923698746420454
p_intercept: 0.356537419419995
coef_GM2_YoY_lag: 0.839465814325202
hac_se_GM2_YoY_lag: 1.01679281366708
t_GM2_YoY_lag: 0.825601639824396
p_GM2_YoY_lag: 0.409820401093491
regime: covid_2020_2021
coef_CI_zscore: -3.80569826508222
hac_se_CI_zscore: 0.856751480770014
t_CI_zscore: -4.44200955644898
p_CI_zscore: 1.34132709146417e-05
coef_CI_monthly_change: -0.000291161840438203
hac_se_CI_monthly_change: 0.000215130420378892
t_CI_monthly_change: -1.35342012498931
p_CI_monthly_change: 0.17714879703792
coef_GM2_x_covid_2020_2021: 3.57099671662856
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;2021-08;2021-11;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.25834558352984
full_r2: 0.25498179998159
test_rmse: 28.9856891297219
test_mae: 25.488752531345
test_r2: -0.200592705414453
high_leverage_month_count: 16
max_cooks_distance: 0.793002981010487
coef_intercept: 0.94136253132617
hac_se_intercept: 5.4283865599858
t_intercept: 0.17341479294515
p_intercept: 0.862466288349581
coef_GM2_YoY_lag: 1.89362752271118
hac_se_GM2_YoY_lag: 0.745649786992995
t_GM2_YoY_lag: 2.5395669062653
p_GM2_YoY_lag: 0.0117080924637374
regime: covid_2020_2021
coef_CI_zscore: 1.20580212770828
hac_se_CI_zscore: 2.45755547194911
t_CI_zscore: 0.490651031674148
p_CI_zscore: 0.624105391408446
coef_CI_monthly_change: -0.000373281979078266
hac_se_CI_monthly_change: 0.000222825429783382
t_CI_monthly_change: -1.67522162726736
p_CI_monthly_change: 0.0951460733074116
coef_GM2_x_CI_zscore: -0.87661136035454
high_leverage_months:
2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-10;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0354570717261874
full_r2: 0.0657343512115631
test_rmse: 23.3415004800973
test_mae: 19.0558201877217
test_r2: 0.221450945661101
high_leverage_month_count: 15
max_cooks_distance: 0.0671650335141479
coef_intercept: -3.07195655362442
hac_se_intercept: 7.39173637390394
t_intercept: -0.415593359696887
p_intercept: 0.678061247423575
coef_GM2_YoY_lag: 1.52630353086029
hac_se_GM2_YoY_lag: 1.26435607389033
t_GM2_YoY_lag: 1.20717854912816
p_GM2_YoY_lag: 0.228495261371359
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.43041875723013
hac_se_GM2_x_war_spr_2022_2023: 1.0791855171548
t_GM2_x_war_spr_2022_2023: 1.32546141000978
p_GM2_x_war_spr_2022_2023: 0.186218538966915
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2021-04;2021-05;2021-09;2021-10;2021-11;2022-03


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.199498816640987
full_r2: 0.186496225694331
test_rmse: 39.0864295435722
test_mae: 33.8983320384654
test_r2: -1.18313423934684
high_leverage_month_count: 14
max_cooks_distance: 0.813052903161055
coef_intercept: 3.29556028415902
hac_se_intercept: 7.24014311872548
t_intercept: 0.455178886676367
p_intercept: 0.649377179921265
coef_GM2_YoY_lag: 1.46244978714917
hac_se_GM2_YoY_lag: 1.1854914362535
t_GM2_YoY_lag: 1.23362324047734
p_GM2_YoY_lag: 0.218506515353196
regime: war_spr_2022_2023
coef_CI_zscore: -4.12202132284831
hac_se_CI_zscore: 1.02515424992902
t_CI_zscore: -4.02087912441831
p_CI_zscore: 7.69005530576461e-05
coef_CI_monthly_change: -0.000374595310314474
hac_se_CI_monthly_change: 0.000243781687413143
t_CI_monthly_change: -1.53660151543556
p_CI_monthly_change: 0.125660622142071
coef_GM2_x_war_spr_2022_2023: -0.0979002609938845
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;2021-10;2023-03


target: WTI_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: 0.230063297237762
full_r2: 0.23900342323755
test_rmse: 25.1858404085931
test_mae: 21.2040992486342
test_r2: 0.0935552575388445
high_leverage_month_count: 16
max_cooks_distance: 0.99231303208799
coef_intercept: -1.92520889353404
hac_se_intercept: 5.56924071933573
t_intercept: -0.345686062168213
p_intercept: 0.72987053485198
coef_GM2_YoY_lag: 2.38208769006707
hac_se_GM2_YoY_lag: 0.885756530429324
t_GM2_YoY_lag: 2.6893255745035
p_GM2_YoY_lag: 0.00764348806470583
regime: war_spr_2022_2023
coef_CI_zscore: 2.14105674169928
hac_se_CI_zscore: 2.78494205977021
t_CI_zscore: 0.768797589230973
p_CI_zscore: 0.442742057350378
coef_CI_monthly_change: -0.000382832295962032
hac_se_CI_monthly_change: 0.000228349416011894
t_CI_monthly_change: -1.67651970672039
p_CI_monthly_change: 0.0948914393422735
coef_GM2_x_CI_zscore: -1.06987671275378
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;2017-02;2020-04;2021-03;2021-04;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 12
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.0252875966032555
full_r2: 0.0551534876215813
test_rmse: 23.2453392681038
test_mae: 18.8986443505745
test_r2: 0.227852591139221
high_leverage_month_count: 18
max_cooks_distance: 0.109362443575355
coef_intercept: -4.71902133426415
hac_se_intercept: 6.65798978113164
t_intercept: -0.70877569497592
p_intercept: 0.479118840715006
coef_GM2_YoY_lag: 1.75239761812628
hac_se_GM2_YoY_lag: 1.37811414459534
t_GM2_YoY_lag: 1.27159105433958
p_GM2_YoY_lag: 0.20469078086293
regime: normal_period
coef_GM2_x_normal_period: 0.28108430085585
hac_se_GM2_x_normal_period: 1.24375719060734
t_GM2_x_normal_period: 0.225996121251442
p_GM2_x_normal_period: 0.821387625743172
high_leverage_months:
2008-11;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-01;2012-06;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.19793880509885
full_r2: 0.197391183006717
test_rmse: 28.7611424447773
test_mae: 25.2076390324406
test_r2: -0.182063224698556
high_leverage_month_count: 14
max_cooks_distance: 1.59313550574046
coef_intercept: 4.20486547728537
hac_se_intercept: 6.62936334288748
t_intercept: 0.634278928427825
p_intercept: 0.526481090232616
coef_GM2_YoY_lag: 1.49594092363425
hac_se_GM2_YoY_lag: 1.22898631571771
t_GM2_YoY_lag: 1.21721528100225
p_GM2_YoY_lag: 0.224674667871627
regime: normal_period
coef_CI_zscore: -4.80144384414858
hac_se_CI_zscore: 1.39692721345461
t_CI_zscore: -3.43714675890276
p_CI_zscore: 0.000688805412705884
coef_CI_monthly_change: -0.000418546269774112
hac_se_CI_monthly_change: 0.000235688808383218
t_CI_monthly_change: -1.77584278458219
p_CI_monthly_change: 0.0769800902436597
coef_GM2_x_normal_period: -0.792213873241783
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;2021-10


target: WTI_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 12
n_obs: 255
n_train: 204
n_test: 51
train_r2: 0.244513152655394
full_r2: 0.261019635185354
test_rmse: 22.9647670727956
test_mae: 18.9709324270991
test_r2: 0.246379801744628
high_leverage_month_count: 16
max_cooks_distance: 1.44599799866225
coef_intercept: -2.50278086431572
hac_se_intercept: 5.13622196330485
t_intercept: -0.487280511277852
p_intercept: 0.62648826024301
coef_GM2_YoY_lag: 2.07944887930911
hac_se_GM2_YoY_lag: 0.733806836052748
t_GM2_YoY_lag: 2.8337823758835
p_GM2_YoY_lag: 0.00497710673018315
regime: normal_period
coef_CI_zscore: 2.99436446840127
hac_se_CI_zscore: 2.79005853441318
t_CI_zscore: 1.07322639703366
p_CI_zscore: 0.284208532757353
coef_CI_monthly_change: -0.000403199778154395
hac_se_CI_monthly_change: 0.000225817379767974
t_CI_monthly_change: -1.78551260566694
p_CI_monthly_change: 0.0753952256999995
coef_GM2_x_CI_zscore: -1.25932829419244
high_leverage_months:
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;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0745641854738864
full_r2: 0.0995067052962603
test_rmse: 21.8192899356729
test_mae: 18.0692478428458
test_r2: 0.2468211189971
high_leverage_month_count: 21
max_cooks_distance: 0.0678154843863626
coef_intercept: -6.72432966468664
hac_se_intercept: 5.96847448644532
t_intercept: -1.12664126820981
p_intercept: 0.260970147246936
coef_GM2_YoY_lag: 2.62709796604644
hac_se_GM2_YoY_lag: 0.770596636506593
t_GM2_YoY_lag: 3.40917393301387
p_GM2_YoY_lag: 0.000759009258961107
coef_GM2_x_financial_crisis_2008_2009: -2.59440198792852
hac_se_GM2_x_financial_crisis_2008_2009: 1.57587415849095
t_GM2_x_financial_crisis_2008_2009: -1.64632561169281
p_GM2_x_financial_crisis_2008_2009: 0.100948222668609
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;2009-12;2021-04;2021-10;2021-11


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.314623943153548
full_r2: 0.299104878190527
test_rmse: 27.4931534881286
test_mae: 23.4743928584439
test_r2: -0.195820572940819
high_leverage_month_count: 17
max_cooks_distance: 0.678985110481071
coef_intercept: -1.97480838618139
hac_se_intercept: 5.44506639283466
t_intercept: -0.362678476938335
p_intercept: 0.717153974947366
coef_GM2_YoY_lag: 2.62715675436587
hac_se_GM2_YoY_lag: 0.628987132489524
t_GM2_YoY_lag: 4.17680524555028
p_GM2_YoY_lag: 4.09754151833308e-05
coef_GM2_x_financial_crisis_2008_2009: 0.0719095496595647
hac_se_GM2_x_financial_crisis_2008_2009: 1.5051095909845
t_GM2_x_financial_crisis_2008_2009: 0.047776952648696
p_GM2_x_financial_crisis_2008_2009: 0.96193245687925
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.0146065247609
hac_se_CI_zscore: 0.818577751500927
t_CI_zscore: -4.90436799363261
p_CI_zscore: 1.69690148088542e-06
coef_CI_monthly_change: -0.000294934872354435
high_leverage_months:
2008-03;2008-04;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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.0564339067163788
full_r2: 0.0688707432328265
test_rmse: 25.7396888022583
test_mae: 21.6896655281061
test_r2: -0.048150126938268
high_leverage_month_count: 13
max_cooks_distance: 0.071195785564508
coef_intercept: 0.930875737803979
hac_se_intercept: 7.32076603958522
t_intercept: 0.127155509788252
p_intercept: 0.898919124248556
coef_GM2_YoY_lag: 1.47817852479383
hac_se_GM2_YoY_lag: 1.13532183088688
t_GM2_YoY_lag: 1.30199075238351
p_GM2_YoY_lag: 0.194113105344172
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -3.0510983221424
hac_se_GM2_x_shale_regime_2014_2017: 1.72415173478143
t_GM2_x_shale_regime_2014_2017: -1.76962285893543
p_GM2_x_shale_regime_2014_2017: 0.0780041320301132
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2017-02;2021-04;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.121564764278103
full_r2: 0.13231428563919
test_rmse: 24.1944404924751
test_mae: 19.2546227496334
test_r2: 0.0739209191140906
high_leverage_month_count: 14
max_cooks_distance: 0.336737447068893
coef_intercept: -1.99040412704913
hac_se_intercept: 7.04463273389413
t_intercept: -0.28254192975492
p_intercept: 0.777760851759357
coef_GM2_YoY_lag: 1.07341399759892
hac_se_GM2_YoY_lag: 1.07358965827914
t_GM2_YoY_lag: 0.999836380055575
p_GM2_YoY_lag: 0.318352605296367
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 4.68131226969206
hac_se_GM2_x_covid_2020_2021: 1.74535365640192
t_GM2_x_covid_2020_2021: 2.6821568525789
p_GM2_x_covid_2020_2021: 0.00780047874922429
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2020-12;2021-03;2021-04;2021-05;2021-12;2022-03


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.304467091841022
full_r2: 0.26143813189022
test_rmse: 34.2683964317484
test_mae: 31.2935653899541
test_r2: -0.857823586168476
high_leverage_month_count: 13
max_cooks_distance: 0.650390718428981
coef_intercept: 7.15231101886825
hac_se_intercept: 6.77100251714717
t_intercept: 1.05631492541251
p_intercept: 0.291852258032399
coef_GM2_YoY_lag: 0.714419854165121
hac_se_GM2_YoY_lag: 0.998148460046534
t_GM2_YoY_lag: 0.7157450847861
p_GM2_YoY_lag: 0.474822117219535
regime: covid_2020_2021
coef_CI_zscore: -3.85905875308976
hac_se_CI_zscore: 0.864516628820507
t_CI_zscore: -4.46383403677824
p_CI_zscore: 1.22274851683812e-05
coef_CI_monthly_change: -0.000300457666897236
hac_se_CI_monthly_change: 0.0002186234539637
t_CI_monthly_change: -1.37431579937953
p_CI_monthly_change: 0.17058432467069
coef_GM2_x_covid_2020_2021: 3.7347310719249
high_leverage_months:
2009-02;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: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.25519464301866
full_r2: 0.238930485819513
test_rmse: 31.2967286200745
test_mae: 27.948721280524
test_r2: -0.549582829953155
high_leverage_month_count: 14
max_cooks_distance: 1.36920657870748
coef_intercept: 2.77679352140804
hac_se_intercept: 5.8462612166904
t_intercept: 0.47496911589934
p_intercept: 0.635226997422547
coef_GM2_YoY_lag: 1.5273514890196
hac_se_GM2_YoY_lag: 0.728050887919939
t_GM2_YoY_lag: 2.09786364437146
p_GM2_YoY_lag: 0.0369294191466887
regime: covid_2020_2021
coef_CI_zscore: 1.19275922733117
hac_se_CI_zscore: 2.90151092727594
t_CI_zscore: 0.411082107642096
p_CI_zscore: 0.681367321812708
coef_CI_monthly_change: -0.000419679910225845
hac_se_CI_monthly_change: 0.000227666489637852
t_CI_monthly_change: -1.84339781798115
p_CI_monthly_change: 0.0664641008360678
coef_GM2_x_CI_zscore: -0.768813812453278
high_leverage_months:
2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2017-02;2020-04;2021-03;2021-04;2021-10;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.205068093464973
full_r2: 0.1766515601512
test_rmse: 33.8149632913935
test_mae: 29.6841794416538
test_r2: -0.808984093405832
high_leverage_month_count: 13
max_cooks_distance: 0.818989295210686
coef_intercept: 5.20760064692923
hac_se_intercept: 7.50359983423904
t_intercept: 0.69401364171459
p_intercept: 0.488323219179513
coef_GM2_YoY_lag: 1.20079649220519
hac_se_GM2_YoY_lag: 1.18039572157309
t_GM2_YoY_lag: 1.01728299269411
p_GM2_YoY_lag: 0.31001021475016
regime: war_spr_2022_2023
coef_CI_zscore: -4.20684360799376
hac_se_CI_zscore: 1.04622709043864
t_CI_zscore: -4.02096604689334
p_CI_zscore: 7.69579874411175e-05
coef_CI_monthly_change: -0.000376993151032678
hac_se_CI_monthly_change: 0.000248174347167315
t_CI_monthly_change: -1.51906575089534
p_CI_monthly_change: 0.130019745826814
coef_GM2_x_war_spr_2022_2023: -0.215887823567037
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;2021-10;2023-03


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.215579199940954
full_r2: 0.213080285645665
test_rmse: 27.8150494578276
test_mae: 23.4549737531345
test_r2: -0.223986366665926
high_leverage_month_count: 16
max_cooks_distance: 1.97242814278425
coef_intercept: 0.1281067806093
hac_se_intercept: 6.13322430588927
t_intercept: 0.0208873463972757
p_intercept: 0.983352315776371
coef_GM2_YoY_lag: 1.9618379156817
hac_se_GM2_YoY_lag: 0.955214870564692
t_GM2_YoY_lag: 2.05381844037031
p_GM2_YoY_lag: 0.0410418415911724
regime: war_spr_2022_2023
coef_CI_zscore: 1.99313483416429
hac_se_CI_zscore: 3.38327473607473
t_CI_zscore: 0.589114094966088
p_CI_zscore: 0.556320973422524
coef_CI_monthly_change: -0.000427810052394895
hac_se_CI_monthly_change: 0.00023638212395119
t_CI_monthly_change: -1.8098240477915
p_CI_monthly_change: 0.0715335941731712
coef_GM2_x_CI_zscore: -0.921851934668784
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2015-08;2015-12;2016-01;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 13
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.017507203256955
full_r2: 0.0411001801993356
test_rmse: 23.468930484784
test_mae: 19.0104271432667
test_r2: 0.128628192416489
high_leverage_month_count: 19
max_cooks_distance: 0.0986401478398169
coef_intercept: -3.01199988979207
hac_se_intercept: 7.00615030204924
t_intercept: -0.429907975127379
p_intercept: 0.667631432421248
coef_GM2_YoY_lag: 1.45303547571626
hac_se_GM2_YoY_lag: 1.32976689367072
t_GM2_YoY_lag: 1.0926993916244
p_GM2_YoY_lag: 0.275573453358849
regime: normal_period
coef_GM2_x_normal_period: 0.381463544307105
hac_se_GM2_x_normal_period: 1.22336627564339
t_GM2_x_normal_period: 0.311814664096807
p_GM2_x_normal_period: 0.755440231693467
high_leverage_months:
2008-05;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-01;2010-02;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11;2022-03


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 13
n_obs: 254
n_train: 204
n_test: 50
train_r2: 0.198401422202325
full_r2: 0.186408787447959
test_rmse: 30.3077840278806
test_mae: 26.8327021680224
test_r2: -0.453199618293266
high_leverage_month_count: 17
max_cooks_distance: 1.57035095578661
coef_intercept: 5.87695084711984
hac_se_intercept: 7.08073678701097
t_intercept: 0.82999142940896
p_intercept: 0.407341867341471
coef_GM2_YoY_lag: 1.2157259216845
hac_se_GM2_YoY_lag: 1.18790206042902
t_GM2_YoY_lag: 1.02342268961587
p_GM2_YoY_lag: 0.307105279596953
regime: normal_period
coef_CI_zscore: -4.85644985107373
hac_se_CI_zscore: 1.4019869431674
t_CI_zscore: -3.46397651899805
p_CI_zscore: 0.000626891256855888
coef_CI_monthly_change: -0.000423210327986645
hac_se_CI_monthly_change: 0.000239327620714022
t_CI_monthly_change: -1.76833048656907
p_CI_monthly_change: 0.0782350460009793
coef_GM2_x_normal_period: -0.6938282080552
high_leverage_months:
2008-12;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-01;2010-02;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.308029287329798
full_r2: 0.285034404141971
test_rmse: 28.7674061416503
test_mae: 24.6500079486296
test_r2: -0.309237141096572
high_leverage_month_count: 15
max_cooks_distance: 0.710286335645458
coef_intercept: -0.228474033079272
hac_se_intercept: 6.01665340646799
t_intercept: -0.0379736071939359
p_intercept: 0.969739398269909
coef_GM2_YoY_lag: 2.31912309509082
hac_se_GM2_YoY_lag: 0.652035685847391
t_GM2_YoY_lag: 3.55674259159124
p_GM2_YoY_lag: 0.000449989759905511
coef_GM2_x_financial_crisis_2008_2009: 0.53532930110529
hac_se_GM2_x_financial_crisis_2008_2009: 1.39401029626204
t_GM2_x_financial_crisis_2008_2009: 0.384021052456172
p_GM2_x_financial_crisis_2008_2009: 0.701293219919858
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.02933265482928
hac_se_CI_zscore: 0.833386355906785
t_CI_zscore: -4.83489155572397
p_CI_zscore: 2.34378994945494e-06
coef_CI_monthly_change: -0.000293194524124463
high_leverage_months:
2008-03;2008-04;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: WTI_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0618141826758483
full_r2: 0.0665437460986983
test_rmse: 27.1084532882774
test_mae: 23.1764740053334
test_r2: -0.16258947102302
high_leverage_month_count: 14
max_cooks_distance: 0.092619231471934
coef_intercept: 2.96545818767725
hac_se_intercept: 7.58026381053176
t_intercept: 0.391207781391084
p_intercept: 0.695976863363589
coef_GM2_YoY_lag: 1.24228975276779
hac_se_GM2_YoY_lag: 1.09600446451971
t_GM2_YoY_lag: 1.13347143463707
p_GM2_YoY_lag: 0.258102120154546
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -3.46405187803388
hac_se_GM2_x_shale_regime_2014_2017: 1.68904605084777
t_GM2_x_shale_regime_2014_2017: -2.05089250011578
p_GM2_x_shale_regime_2014_2017: 0.0413199194147238
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2017-11;2021-04;2021-10;2021-11


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.106914822049323
full_r2: 0.116711818964729
test_rmse: 24.4861173175891
test_mae: 19.5435489556136
test_r2: 0.0514575766841419
high_leverage_month_count: 17
max_cooks_distance: 0.232620574713343
coef_intercept: -1.30927115053899
hac_se_intercept: 7.08241768855225
t_intercept: -0.184862176747249
p_intercept: 0.853487016008025
coef_GM2_YoY_lag: 0.987345459946273
hac_se_GM2_YoY_lag: 1.04068113195797
t_GM2_YoY_lag: 0.948749265866529
p_GM2_YoY_lag: 0.343664360864293
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 4.97260898273638
hac_se_GM2_x_covid_2020_2021: 1.72935965501794
t_GM2_x_covid_2020_2021: 2.87540475939043
p_GM2_x_covid_2020_2021: 0.00438286570782398
high_leverage_months:
2008-12;2009-01;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2010-02;2021-03;2021-04;2021-05;2021-06;2021-12;2022-03;2022-04


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0318577655314032
full_r2: 0.0401973573172862
test_rmse: 27.6260173720569
test_mae: 22.5344265686156
test_r2: -0.207406386279728
high_leverage_month_count: 16
max_cooks_distance: 0.0809268554442171
coef_intercept: 0.582671196447421
hac_se_intercept: 7.69081116622421
t_intercept: 0.0757619949123627
p_intercept: 0.939669044340309
coef_GM2_YoY_lag: 0.98249576194938
hac_se_GM2_YoY_lag: 1.18842196341753
t_GM2_YoY_lag: 0.826722992500098
p_GM2_YoY_lag: 0.409182430374133
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.29004767999565
hac_se_GM2_x_war_spr_2022_2023: 1.08214375617563
t_GM2_x_war_spr_2022_2023: 1.19212227824034
p_GM2_x_war_spr_2022_2023: 0.23434366010833
high_leverage_months:
2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2010-02;2021-04;2021-10;2021-11;2022-03;2022-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.205987846516372
full_r2: 0.169313830789284
test_rmse: 35.2980108338907
test_mae: 31.167161600622
test_r2: -0.971139548461396
high_leverage_month_count: 15
max_cooks_distance: 0.860105771543474
coef_intercept: 6.97181305120763
hac_se_intercept: 7.74667761600519
t_intercept: 0.899974595148166
p_intercept: 0.369010356110484
coef_GM2_YoY_lag: 0.964754904860506
hac_se_GM2_YoY_lag: 1.15844749759958
t_GM2_YoY_lag: 0.832799852267434
p_GM2_YoY_lag: 0.405762137787834
regime: war_spr_2022_2023
coef_CI_zscore: -4.2484693230605
hac_se_CI_zscore: 1.07268202447184
t_CI_zscore: -3.96060456513415
p_CI_zscore: 9.78459074878479e-05
coef_CI_monthly_change: -0.000376869801189117
hac_se_CI_monthly_change: 0.000254031997726826
t_CI_monthly_change: -1.48355248378744
p_CI_monthly_change: 0.13920256692948
coef_GM2_x_war_spr_2022_2023: -0.413728956289764
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;2021-11;2023-02;2023-03


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 14
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.0121370377631276
full_r2: 0.0311106090424121
test_rmse: 24.3824633680511
test_mae: 19.8100229157552
test_r2: 0.0594712657561801
high_leverage_month_count: 20
max_cooks_distance: 0.105747960613371
coef_intercept: -1.50106697958352
hac_se_intercept: 7.35296586464592
t_intercept: -0.204144423789707
p_intercept: 0.838406726945566
coef_GM2_YoY_lag: 1.21511341058074
hac_se_GM2_YoY_lag: 1.2689121525211
t_GM2_YoY_lag: 0.957602469301385
p_GM2_YoY_lag: 0.339188381027076
regime: normal_period
coef_GM2_x_normal_period: 0.433419651227633
hac_se_GM2_x_normal_period: 1.18973771241144
t_GM2_x_normal_period: 0.364298489243607
p_GM2_x_normal_period: 0.715943061105324
high_leverage_months:
2008-05;2008-06;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2010-02;2021-03;2021-04;2021-05;2021-10;2021-11;2022-03;2022-04


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 14
n_obs: 253
n_train: 203
n_test: 50
train_r2: 0.197151988783505
full_r2: 0.178883766922768
test_rmse: 31.5106903669315
test_mae: 28.1657551714182
test_r2: -0.570842865644279
high_leverage_month_count: 15
max_cooks_distance: 1.60014712461876
coef_intercept: 7.4762735451672
hac_se_intercept: 7.52096091430145
t_intercept: 0.99405828993882
p_intercept: 0.321167308411208
coef_GM2_YoY_lag: 0.9782909895372
hac_se_GM2_YoY_lag: 1.13766110384608
t_GM2_YoY_lag: 0.85991424531427
p_GM2_YoY_lag: 0.390670165319342
regime: normal_period
coef_CI_zscore: -4.89242974392847
hac_se_CI_zscore: 1.42411553826174
t_CI_zscore: -3.435416307514
p_CI_zscore: 0.000693878840363205
coef_CI_monthly_change: -0.000432343464976781
hac_se_CI_monthly_change: 0.000242156046225881
t_CI_monthly_change: -1.78539198882317
p_CI_monthly_change: 0.0754246856485752
coef_GM2_x_normal_period: -0.686439623560978
high_leverage_months:
2009-01;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2010-02;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2021-11


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 15
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0431941081031134
full_r2: 0.0595886174691033
test_rmse: 23.8599781190912
test_mae: 19.6352414128454
test_r2: 0.0993480583974634
high_leverage_month_count: 23
max_cooks_distance: 0.0731462418923366
coef_intercept: -3.26803072237997
hac_se_intercept: 6.57709762846508
t_intercept: -0.496880372922584
p_intercept: 0.619711821758539
coef_GM2_YoY_lag: 2.01917535793307
hac_se_GM2_YoY_lag: 0.772935601259325
t_GM2_YoY_lag: 2.61234617042258
p_GM2_YoY_lag: 0.00953892712495175
coef_GM2_x_financial_crisis_2008_2009: -2.0184551795164
hac_se_GM2_x_financial_crisis_2008_2009: 1.55481543460671
t_GM2_x_financial_crisis_2008_2009: -1.29819600101087
p_GM2_x_financial_crisis_2008_2009: 0.195421137473195
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;2009-09;2009-11;2009-12;2021-04;2021-05;2021-10;2021-11


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 15
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.308578648449295
full_r2: 0.28050010136695
test_rmse: 29.3238828650607
test_mae: 25.217567439851
test_r2: -0.360378813260505
high_leverage_month_count: 14
max_cooks_distance: 0.68224078458107
coef_intercept: 0.783388730729714
hac_se_intercept: 6.17830802525275
t_intercept: 0.126796645218683
p_intercept: 0.899204928207779
coef_GM2_YoY_lag: 2.1085806153843
hac_se_GM2_YoY_lag: 0.655302721445941
t_GM2_YoY_lag: 3.21771991230506
p_GM2_YoY_lag: 0.00146570234049159
coef_GM2_x_financial_crisis_2008_2009: 0.962506635827627
hac_se_GM2_x_financial_crisis_2008_2009: 1.318104055946
t_GM2_x_financial_crisis_2008_2009: 0.730220525068362
p_GM2_x_financial_crisis_2008_2009: 0.465950214817589
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.04812131219273
hac_se_CI_zscore: 0.840532669518309
t_CI_zscore: -4.81613797892307
p_CI_zscore: 2.55966670725805e-06
coef_CI_monthly_change: -0.000309869549315778
high_leverage_months:
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: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 15
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.107667917135035
full_r2: 0.116606424562208
test_rmse: 24.4600942119243
test_mae: 19.5263035881351
test_r2: 0.0534726697815407
high_leverage_month_count: 17
max_cooks_distance: 0.338226468974663
coef_intercept: -1.37182261592375
hac_se_intercept: 6.85467324334699
t_intercept: -0.200129541879361
p_intercept: 0.841542621549009
coef_GM2_YoY_lag: 0.960607947045095
hac_se_GM2_YoY_lag: 0.984945112095147
t_GM2_YoY_lag: 0.975290841336039
p_GM2_YoY_lag: 0.330362547973203
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 5.65526722861409
hac_se_GM2_x_covid_2020_2021: 2.03901314396438
t_GM2_x_covid_2020_2021: 2.77353152202774
p_GM2_x_covid_2020_2021: 0.00596486517729189
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;2021-06;2021-10;2021-12;2022-03;2022-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 15
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.0313185240560191
full_r2: 0.0333619814214589
test_rmse: 29.648603583114
test_mae: 24.2187253055775
test_r2: -0.390674189151611
high_leverage_month_count: 14
max_cooks_distance: 0.07164199259356
coef_intercept: 1.4185862368007
hac_se_intercept: 7.46518949682337
t_intercept: 0.190026822146222
p_intercept: 0.8494429354413
coef_GM2_YoY_lag: 0.84402217823249
hac_se_GM2_YoY_lag: 1.1151601879736
t_GM2_YoY_lag: 0.756861827865458
p_GM2_YoY_lag: 0.449848195724595
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.18925214608602
hac_se_GM2_x_war_spr_2022_2023: 1.08744626972358
t_GM2_x_war_spr_2022_2023: 1.09361922441311
p_GM2_x_war_spr_2022_2023: 0.27517886062787
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;2022-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 15
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.206967407609729
full_r2: 0.167766128334192
test_rmse: 36.5097763255939
test_mae: 32.744659432967
test_r2: -1.10879931596913
high_leverage_month_count: 13
max_cooks_distance: 0.877431604530639
coef_intercept: 7.68794631274302
hac_se_intercept: 7.58276649353919
t_intercept: 1.01387090309235
p_intercept: 0.311640502038905
coef_GM2_YoY_lag: 0.867591070621122
hac_se_GM2_YoY_lag: 1.10389585248064
t_GM2_YoY_lag: 0.78593561944408
p_GM2_YoY_lag: 0.432661569622952
regime: war_spr_2022_2023
coef_CI_zscore: -4.29385546451607
hac_se_CI_zscore: 1.09649263461626
t_CI_zscore: -3.91599116032255
p_CI_zscore: 0.00011665879462619
coef_CI_monthly_change: -0.000374732888034801
hac_se_CI_monthly_change: 0.000256600487292812
t_CI_monthly_change: -1.46037481061829
p_CI_monthly_change: 0.14546303784818
coef_GM2_x_war_spr_2022_2023: -0.603353194142912
high_leverage_months:
2009-02;2009-04;2009-05;2009-06;2009-07;2009-08;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10;2023-02


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 15
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 252
n_train: 202
n_test: 50
train_r2: 0.00897060761303647
full_r2: 0.0249769510324809
test_rmse: 24.8976768143707
test_mae: 20.3860044555664
test_r2: 0.0193036521220481
high_leverage_month_count: 20
max_cooks_distance: 0.0977813859588716
coef_intercept: -0.498059972772231
hac_se_intercept: 7.33704125266992
t_intercept: -0.0678829456752732
p_intercept: 0.945933292367206
coef_GM2_YoY_lag: 1.07585798828615
hac_se_GM2_YoY_lag: 1.21033893384379
t_GM2_YoY_lag: 0.888889845813219
p_GM2_YoY_lag: 0.374920186656983
regime: normal_period
coef_GM2_x_normal_period: 0.395001281091144
hac_se_GM2_x_normal_period: 1.16057192276936
t_GM2_x_normal_period: 0.340350540403039
p_GM2_x_normal_period: 0.733879516160492
high_leverage_months:
2008-05;2008-06;2008-12;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2010-01;2021-04;2021-05;2021-10;2021-11;2022-03;2022-04;2022-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 16
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.0366769277311203
full_r2: 0.0501234053812795
test_rmse: 24.3896238164874
test_mae: 20.1738402494957
test_r2: 0.0589187706053957
high_leverage_month_count: 19
max_cooks_distance: 0.0753228982028622
coef_intercept: -2.64916537559443
hac_se_intercept: 6.60024435414869
t_intercept: -0.401373833065629
p_intercept: 0.688490543719497
coef_GM2_YoY_lag: 1.86479400330899
hac_se_GM2_YoY_lag: 0.765143029185412
t_GM2_YoY_lag: 2.43718354892978
p_GM2_YoY_lag: 0.0155059870516725
coef_GM2_x_financial_crisis_2008_2009: -1.79014035597346
hac_se_GM2_x_financial_crisis_2008_2009: 1.55046888241717
t_GM2_x_financial_crisis_2008_2009: -1.15457999594461
p_GM2_x_financial_crisis_2008_2009: 0.249373781219017
regime: financial_crisis_2008_2009
high_leverage_months:
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


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 16
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.311409154966003
full_r2: 0.279195345930853
test_rmse: 29.6702382559148
test_mae: 25.5428936210022
test_r2: -0.392704487690054
high_leverage_month_count: 14
max_cooks_distance: 0.713914479160746
coef_intercept: 1.38528863496929
hac_se_intercept: 6.25940644198706
t_intercept: 0.221313098583438
p_intercept: 0.82503299248609
coef_GM2_YoY_lag: 1.96650102321275
hac_se_GM2_YoY_lag: 0.6716206589063
t_GM2_YoY_lag: 2.92799364810353
p_GM2_YoY_lag: 0.00373279918223512
coef_GM2_x_financial_crisis_2008_2009: 1.24979676199313
hac_se_GM2_x_financial_crisis_2008_2009: 1.25745937885012
t_GM2_x_financial_crisis_2008_2009: 0.993906270861811
p_GM2_x_financial_crisis_2008_2009: 0.321249101959776
regime: financial_crisis_2008_2009
coef_CI_zscore: -4.04655150319526
hac_se_CI_zscore: 0.865919494543824
t_CI_zscore: -4.67312669213785
p_CI_zscore: 4.89810935211388e-06
coef_CI_monthly_change: -0.000318211398292689
high_leverage_months:
2008-03;2008-05;2008-11;2009-04;2009-06;2009-07;2009-11;2009-12;2015-08;2017-02;2019-07;2020-04;2021-03;2021-04


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 16
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.121772067808548
full_r2: 0.130221023147079
test_rmse: 24.0147565608253
test_mae: 19.087974093065
test_r2: 0.0876251935620644
high_leverage_month_count: 16
max_cooks_distance: 0.456563918776139
coef_intercept: -2.56488263662713
hac_se_intercept: 6.52792145188
t_intercept: -0.392909543341466
p_intercept: 0.694723810715282
coef_GM2_YoY_lag: 1.06128864779528
hac_se_GM2_YoY_lag: 0.922761896934902
t_GM2_YoY_lag: 1.15012188010853
p_GM2_YoY_lag: 0.251201505977607
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 6.88283932150035
hac_se_GM2_x_covid_2020_2021: 2.59214946685413
t_GM2_x_covid_2020_2021: 2.65526328998823
p_GM2_x_covid_2020_2021: 0.00843789343656987
high_leverage_months:
2009-02;2009-03;2009-05;2009-06;2009-07;2009-08;2009-09;2020-04;2020-11;2020-12;2021-03;2021-04;2021-05;2021-12;2022-03;2022-05


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 16
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.0317373476752978
full_r2: 0.0295717959088925
test_rmse: 31.3057915727479
test_mae: 25.7628427413751
test_r2: -0.5504804208441
high_leverage_month_count: 13
max_cooks_distance: 0.0665551420539532
coef_intercept: 1.41894162411965
hac_se_intercept: 7.18607490332908
t_intercept: 0.197457115770154
p_intercept: 0.843631578184572
coef_GM2_YoY_lag: 0.835290855854555
hac_se_GM2_YoY_lag: 1.05324536281814
t_GM2_YoY_lag: 0.793063881733679
p_GM2_YoY_lag: 0.428498663780463
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 1.013149199677
hac_se_GM2_x_war_spr_2022_2023: 1.09733563648838
t_GM2_x_war_spr_2022_2023: 0.923281050927323
p_GM2_x_war_spr_2022_2023: 0.356758163760959
high_leverage_months:
2009-02;2009-03;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2021-04;2021-10;2022-03;2022-04;2022-05


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 16
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.00936379931499987
full_r2: 0.0237818301063438
test_rmse: 24.9959769737037
test_mae: 20.5567941072235
test_r2: 0.0115444611968384
high_leverage_month_count: 21
max_cooks_distance: 0.0944849963793653
coef_intercept: -0.341532129463467
hac_se_intercept: 7.20581512693588
t_intercept: -0.047396737696863
p_intercept: 0.962235174528614
coef_GM2_YoY_lag: 1.02258675353384
hac_se_GM2_YoY_lag: 1.1415389623307
t_GM2_YoY_lag: 0.895796628304312
p_GM2_YoY_lag: 0.371230045493234
regime: normal_period
coef_GM2_x_normal_period: 0.416530669585555
hac_se_GM2_x_normal_period: 1.14016803290464
t_GM2_x_normal_period: 0.365323932582481
p_GM2_x_normal_period: 0.715180993464835
high_leverage_months:
2008-06;2009-01;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2010-01;2010-02;2021-04;2021-05;2021-10;2021-11;2022-03;2022-04;2022-05;2022-06


target: WTI_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 16
n_obs: 251
n_train: 201
n_test: 50
train_r2: 0.196046731294045
full_r2: 0.173306309465903
test_rmse: 31.8453146679687
test_mae: 28.5894920296498
test_r2: -0.604382796979679
high_leverage_month_count: 13
max_cooks_distance: 1.57854409161092
coef_intercept: 7.90656564253594
hac_se_intercept: 7.34158083045902
t_intercept: 1.07695683329303
p_intercept: 0.282558840075537
coef_GM2_YoY_lag: 0.87335288948083
hac_se_GM2_YoY_lag: 1.02723743320651
t_GM2_YoY_lag: 0.85019573980542
p_GM2_YoY_lag: 0.396046354627383
regime: normal_period
coef_CI_zscore: -4.89003999198606
hac_se_CI_zscore: 1.43047096615907
t_CI_zscore: -3.41848251916376
p_CI_zscore: 0.00073733444183488
coef_CI_monthly_change: -0.000436472489915629
hac_se_CI_monthly_change: 0.000244550646775149
t_CI_monthly_change: -1.78479384811009
p_CI_monthly_change: 0.0755319795140559
coef_GM2_x_normal_period: -0.597855583751806
high_leverage_months:
2009-05;2009-06;2009-07;2009-08;2009-09;2010-01;2010-02;2015-08;2017-02;2020-04;2021-03;2021-04;2021-10


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 17
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.030861134257972
full_r2: 0.0441768003732002
test_rmse: 24.4622345361321
test_mae: 20.1793727219524
test_r2: 0.0533070151462437
high_leverage_month_count: 20
max_cooks_distance: 0.120948897209423
coef_intercept: -2.47049860081906
hac_se_intercept: 6.73666875515029
t_intercept: -0.366724072477265
p_intercept: 0.714138807241957
coef_GM2_YoY_lag: 1.770769627177
hac_se_GM2_YoY_lag: 0.762892676940746
t_GM2_YoY_lag: 2.32112547505097
p_GM2_YoY_lag: 0.0210947483931949
coef_GM2_x_financial_crisis_2008_2009: -1.57046671551112
hac_se_GM2_x_financial_crisis_2008_2009: 1.55237936259382
t_GM2_x_financial_crisis_2008_2009: -1.01165137424081
p_GM2_x_financial_crisis_2008_2009: 0.31269474665931
regime: financial_crisis_2008_2009
high_leverage_months:
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;2010-01;2021-04


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 17
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.136645512909986
full_r2: 0.145547681224014
test_rmse: 23.4885597554798
test_mae: 18.4976905872566
test_r2: 0.12716996268557
high_leverage_month_count: 16
max_cooks_distance: 0.604821596799803
coef_intercept: -4.28766785409354
hac_se_intercept: 6.37710536426053
t_intercept: -0.672353302820288
p_intercept: 0.501987262844653
coef_GM2_YoY_lag: 1.23012194493406
hac_se_GM2_YoY_lag: 0.872097575129587
t_GM2_YoY_lag: 1.41053246794233
p_GM2_YoY_lag: 0.159640644247091
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 8.26171247041958
hac_se_GM2_x_covid_2020_2021: 3.18473133686547
t_GM2_x_covid_2020_2021: 2.59416308521367
p_GM2_x_covid_2020_2021: 0.0100487171283217
high_leverage_months:
2009-04;2009-06;2009-07;2009-08;2009-09;2009-12;2010-01;2020-03;2020-04;2020-05;2020-12;2021-01;2021-03;2021-04;2021-05;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 17
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.0325863153389784
full_r2: 0.0278361327273375
test_rmse: 33.375328027436
test_mae: 27.5206965331564
test_r2: -0.762251922934478
high_leverage_month_count: 13
max_cooks_distance: 0.0653992350199389
coef_intercept: 0.88756971547077
hac_se_intercept: 7.07382001905558
t_intercept: 0.125472476410174
p_intercept: 0.900251577701995
coef_GM2_YoY_lag: 0.909460256281556
hac_se_GM2_YoY_lag: 1.00837918976658
t_GM2_YoY_lag: 0.901903039562013
p_GM2_YoY_lag: 0.367986997721924
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 0.805572163194227
hac_se_GM2_x_war_spr_2022_2023: 1.10842668163578
t_GM2_x_war_spr_2022_2023: 0.726770815373545
p_GM2_x_war_spr_2022_2023: 0.468054572096568
high_leverage_months:
2009-03;2009-04;2009-06;2009-07;2009-08;2009-09;2009-12;2010-01;2010-02;2021-04;2022-03;2022-04;2022-05


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 17
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 250
n_train: 200
n_test: 50
train_r2: 0.0102222392662998
full_r2: 0.0252279908464873
test_rmse: 24.8036874897925
test_mae: 20.4131745194802
test_r2: 0.0266939806776018
high_leverage_month_count: 19
max_cooks_distance: 0.0945415891299579
coef_intercept: -0.665255490653896
hac_se_intercept: 7.17634425221077
t_intercept: -0.0927011675128259
p_intercept: 0.926216113793419
coef_GM2_YoY_lag: 1.02043387265786
hac_se_GM2_YoY_lag: 1.07514194683984
t_GM2_YoY_lag: 0.94911548717564
p_GM2_YoY_lag: 0.343489580214354
regime: normal_period
coef_GM2_x_normal_period: 0.462061378577189
hac_se_GM2_x_normal_period: 1.11644779555289
t_GM2_x_normal_period: 0.413867428837876
p_GM2_x_normal_period: 0.679330334686581
high_leverage_months:
2008-05;2009-02;2009-03;2009-04;2009-05;2009-06;2009-07;2009-08;2009-09;2009-12;2010-01;2010-02;2021-04;2021-05;2021-10;2021-11;2022-03;2022-04;2022-05


target: WTI_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 18
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.0295679692114047
full_r2: 0.0388160821217605
test_rmse: 24.1192468046855
test_mae: 19.9563687335215
test_r2: -0.0587949676121675
high_leverage_month_count: 21
max_cooks_distance: 0.138317516915827
coef_intercept: -2.0684957006964
hac_se_intercept: 7.12117835783171
t_intercept: -0.290470986226812
p_intercept: 0.771700663563776
coef_GM2_YoY_lag: 1.65211523675907
hac_se_GM2_YoY_lag: 0.782722325868157
t_GM2_YoY_lag: 2.11072967022709
p_GM2_YoY_lag: 0.035805040574697
coef_GM2_x_financial_crisis_2008_2009: -1.38514838191418
hac_se_GM2_x_financial_crisis_2008_2009: 1.56322739639801
t_GM2_x_financial_crisis_2008_2009: -0.886082463182157
p_GM2_x_financial_crisis_2008_2009: 0.376438451547352
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-03;2008-04;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;2010-01;2010-02;2021-04


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 18
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.128744973729941
full_r2: 0.138372773711778
test_rmse: 22.2904956401165
test_mae: 17.4591589657589
test_r2: 0.0956764596665033
high_leverage_month_count: 19
max_cooks_distance: 0.543540277057071
coef_intercept: -5.22586603914942
hac_se_intercept: 6.40061777251503
t_intercept: -0.816462757952815
p_intercept: 0.415025438058488
coef_GM2_YoY_lag: 1.33375365223693
hac_se_GM2_YoY_lag: 0.842644980124864
t_GM2_YoY_lag: 1.58281801196904
p_GM2_YoY_lag: 0.114747706843976
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 8.74580705670869
hac_se_GM2_x_covid_2020_2021: 3.51857592117826
t_GM2_x_covid_2020_2021: 2.48560987531001
p_GM2_x_covid_2020_2021: 0.0135981072107707
high_leverage_months:
2009-04;2009-05;2009-07;2009-08;2009-09;2009-12;2010-01;2010-02;2017-02;2020-01;2020-03;2020-04;2020-05;2021-01;2021-03;2021-04;2021-05;2021-10;2021-12


target: WTI_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 18
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.305038507065021
full_r2: 0.270294310350684
test_rmse: 30.7758642992075
test_mae: 27.3919581782813
test_r2: -0.723871549087178
high_leverage_month_count: 14
max_cooks_distance: 0.69007441729559
coef_intercept: 4.25677693069253
hac_se_intercept: 6.14450322362574
t_intercept: 0.692778044989079
p_intercept: 0.489110394409764
coef_GM2_YoY_lag: 0.942290103951739
hac_se_GM2_YoY_lag: 0.808046131424499
t_GM2_YoY_lag: 1.16613404520678
p_GM2_YoY_lag: 0.244703495971353
regime: covid_2020_2021
coef_CI_zscore: -3.85076912571625
hac_se_CI_zscore: 0.86858334934032
t_CI_zscore: -4.43339044967978
p_CI_zscore: 1.40532938244231e-05
coef_CI_monthly_change: -0.000353516024067635
hac_se_CI_monthly_change: 0.000241061631964084
t_CI_monthly_change: -1.46649643573435
p_CI_monthly_change: 0.143805988917452
coef_GM2_x_covid_2020_2021: 6.95742412223195
high_leverage_months:
2009-07;2009-12;2010-01;2015-08;2017-02;2020-01;2020-03;2020-04;2020-05;2021-03;2021-04;2021-05;2021-11;2021-12


target: WTI_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 18
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.0418021418611421
full_r2: 0.0256384406263525
test_rmse: 36.3033485044599
test_mae: 30.0454125158995
test_r2: -1.39871005155862
high_leverage_month_count: 13
max_cooks_distance: 0.0711555913891651
coef_intercept: 0.511632705221389
hac_se_intercept: 7.28023123462524
t_intercept: 0.0702769855424415
p_intercept: 0.944030295689694
coef_GM2_YoY_lag: 0.965040626642337
hac_se_GM2_YoY_lag: 0.98742810777363
t_GM2_YoY_lag: 0.977327482421206
p_GM2_YoY_lag: 0.329367163878519
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 0.609738175031316
hac_se_GM2_x_war_spr_2022_2023: 1.12637488289902
t_GM2_x_war_spr_2022_2023: 0.541327922247337
p_GM2_x_war_spr_2022_2023: 0.588771468630447
high_leverage_months:
2009-04;2009-05;2009-07;2009-08;2009-09;2009-12;2010-01;2010-02;2021-04;2022-03;2022-04;2022-05;2022-06


target: WTI_YoY
family: normal_period
model: regime_gm2
lag_months: 18
formula: WTI_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 249
n_train: 200
n_test: 49
train_r2: 0.0121243266746462
full_r2: 0.0268696388344042
test_rmse: 23.5639909862672
test_mae: 19.6632584680513
test_r2: -0.010606486159656
high_leverage_month_count: 17
max_cooks_distance: 0.0958980591359195
coef_intercept: -0.821488634373975
hac_se_intercept: 7.38268545612588
t_intercept: -0.111272332981806
p_intercept: 0.91149112696147
coef_GM2_YoY_lag: 0.953691967097714
hac_se_GM2_YoY_lag: 1.02215986928352
t_GM2_YoY_lag: 0.933016444645005
p_GM2_YoY_lag: 0.351726317646417
regime: normal_period
coef_GM2_x_normal_period: 0.593364767492036
hac_se_GM2_x_normal_period: 1.08782616306323
t_GM2_x_normal_period: 0.545459180556175
p_GM2_x_normal_period: 0.585931978827746
high_leverage_months:
2008-05;2008-06;2009-04;2009-05;2009-07;2009-08;2009-09;2009-12;2010-01;2010-02;2021-03;2021-04;2021-05;2022-03;2022-04;2022-05;2022-06


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 0
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.169512275790697
full_r2: 0.131398594366338
test_rmse: 34.6628114328435
test_mae: 28.3050244621197
test_r2: -0.280591205959779
high_leverage_month_count: 25
max_cooks_distance: 0.24671470245423
coef_intercept: -10.5262330224986
hac_se_intercept: 8.24794487219522
t_intercept: -1.27622494883347
p_intercept: 0.203001869037496
coef_GM2_YoY_lag: 3.13456527804624
hac_se_GM2_YoY_lag: 1.2276568682991
t_GM2_YoY_lag: 2.55329103676106
p_GM2_YoY_lag: 0.0112360372188243
coef_GM2_x_financial_crisis_2008_2009: -0.834637536613804
hac_se_GM2_x_financial_crisis_2008_2009: 1.42297248222724
t_GM2_x_financial_crisis_2008_2009: -0.58654509980926
p_GM2_x_financial_crisis_2008_2009: 0.558012360203723
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-05;2008-06;2008-07;2008-08;2008-12;2009-01;2009-02;2009-06;2009-07;2009-08;2009-09;2009-12;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_ci
lag_months: 0
n_obs: 458
n_train: 367
n_test: 91
train_r2: 0.147892352648954
full_r2: 0.120398155225709
test_rmse: 45.9533557179255
test_mae: 34.8043138193898
test_r2: 0.052343672625782
high_leverage_month_count: 21
max_cooks_distance: 0.170162587694479
coef_intercept: 12.7009099281863
hac_se_intercept: 3.66267941665466
t_intercept: 3.46765536465836
p_intercept: 0.000575145804747823
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.35793986103836
hac_se_CI_zscore: 0.831133394831943
t_CI_zscore: -4.04019364631274
p_CI_zscore: 6.2732649228181e-05
coef_CI_monthly_change: -0.000441010679145482
hac_se_CI_monthly_change: 0.000215390614374669
t_CI_monthly_change: -2.04749255405507
p_CI_monthly_change: 0.041185972907767
coef_CI_zscore_x_financial_crisis_2008_2009: -23.5004908158742
hac_se_CI_zscore_x_financial_crisis_2008_2009: 7.63096784928468
t_CI_zscore_x_financial_crisis_2008_2009: -3.0796212590618
p_CI_zscore_x_financial_crisis_2008_2009: 0.00219866909599808
coef_CI_monthly_change_x_financial_crisis_2008_2009: 3.55531310214374e-05
formula:
Brent_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_financial_crisis_2008_2009 + CI_monthly_change_x_financial_crisis_2008_2009

high_leverage_months:
1990-08;1990-09;1990-10;1996-04;1999-12;2000-02;2008-01;2008-02;2008-03;2008-06;2008-11;2009-06;2009-07;2009-10;2009-11;2009-12;2015-08;2017-02;2020-04;2021-03;2021-04


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.333727690114743
full_r2: 0.289754375003018
test_rmse: 32.1175413534548
test_mae: 27.915280257614
test_r2: -0.0994298647801688
high_leverage_month_count: 15
max_cooks_distance: 0.906063126560275
coef_intercept: 1.20668780789531
hac_se_intercept: 7.70939929517884
t_intercept: 0.156521638287684
p_intercept: 0.875743331837598
coef_GM2_YoY_lag: 2.27385293948133
hac_se_GM2_YoY_lag: 1.11691426509144
t_GM2_YoY_lag: 2.03583480894584
p_GM2_YoY_lag: 0.0427807121744166
coef_GM2_x_financial_crisis_2008_2009: 0.349111500898048
hac_se_GM2_x_financial_crisis_2008_2009: 0.963802126881696
t_GM2_x_financial_crisis_2008_2009: 0.362223210720203
p_GM2_x_financial_crisis_2008_2009: 0.717479475270463
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.77331842014581
hac_se_CI_zscore: 1.16084492838205
t_CI_zscore: -3.25049309161813
p_CI_zscore: 0.00130401256931512
coef_CI_monthly_change: -0.000219065492067294
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_financial_crisis_2008_2009 + CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-05;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.400830967440966
full_r2: 0.324723580772633
test_rmse: 35.7597164073635
test_mae: 30.7775664139048
test_r2: -0.362922238515017
high_leverage_month_count: 15
max_cooks_distance: 0.22206787938207
coef_intercept: -0.988229092127616
hac_se_intercept: 6.68568455665591
t_intercept: -0.147812700966244
p_intercept: 0.882605149385509
coef_GM2_YoY_lag: 3.03093986463423
hac_se_GM2_YoY_lag: 0.788480406063907
t_GM2_YoY_lag: 3.84402686651996
p_GM2_YoY_lag: 0.000152230023361843
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.25516019901002
hac_se_CI_zscore: 0.757036284011107
t_CI_zscore: -2.97893277593142
p_CI_zscore: 0.00316600604142225
coef_CI_monthly_change: -0.000191042695906862
hac_se_CI_monthly_change: 0.000242967733655979
t_CI_monthly_change: -0.786288339740461
p_CI_monthly_change: 0.43241461935997
coef_GM2_x_CI_zscore: -0.964121219350972
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-06;2008-07;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-05;2020-09;2020-10;2020-11;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_ci
lag_months: 0
n_obs: 458
n_train: 367
n_test: 91
train_r2: 0.10349853655532
full_r2: 0.0877203204984335
test_rmse: 46.2253141992608
test_mae: 34.6417906133432
test_r2: 0.0410937522337577
high_leverage_month_count: 13
max_cooks_distance: 0.91241549979876
coef_intercept: 11.9280844514737
hac_se_intercept: 3.70965856697485
t_intercept: 3.21541301877838
p_intercept: 0.00139574635346484
regime: shale_regime_2014_2017
coef_CI_zscore: -3.08462379939342
hac_se_CI_zscore: 2.12620785760579
t_CI_zscore: -1.45076305139181
p_CI_zscore: 0.147537927465714
coef_CI_monthly_change: -0.000499280057474349
hac_se_CI_monthly_change: 0.000244514196913126
t_CI_monthly_change: -2.04192666020018
p_CI_monthly_change: 0.0417374769096217
coef_CI_zscore_x_shale_regime_2014_2017: -0.751180559394667
hac_se_CI_zscore_x_shale_regime_2014_2017: 2.23981111624464
t_CI_zscore_x_shale_regime_2014_2017: -0.335376744023901
p_CI_zscore_x_shale_regime_2014_2017: 0.737496165525872
coef_CI_monthly_change_x_shale_regime_2014_2017: 0.000101998560335659
formula:
Brent_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_shale_regime_2014_2017 + CI_monthly_change_x_shale_regime_2014_2017

high_leverage_months:
1990-08;1990-09;1990-10;1996-04;1999-12;2000-02;2000-03;2015-02;2015-08;2017-02;2020-04;2021-03;2021-04


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.30044886597247
full_r2: 0.245811119649713
test_rmse: 36.5860869702329
test_mae: 32.1157431797748
test_r2: -0.4266415578525
high_leverage_month_count: 12
high_leverage_months: 2005-11;2005-12;2015-08;2017-01;2017-02;2020-04;2020-09;2020-11;2021-01;2021-03;2021-04;2021-05
max_cooks_distance: 0.624803948543151
coef_intercept: 1.21159225608468
hac_se_intercept: 7.01360084373573
t_intercept: 0.172748960637934
p_intercept: 0.862983156994492
coef_GM2_YoY_lag: 2.51617651708047
hac_se_GM2_YoY_lag: 0.852428763548189
t_GM2_YoY_lag: 2.95177336180799
p_GM2_YoY_lag: 0.00344813849059378
regime: shale_regime_2014_2017
coef_CI_zscore: -9.38930158150105
hac_se_CI_zscore: 4.37993722091816
t_CI_zscore: -2.14370688617605
p_CI_zscore: 0.0329841799563686
coef_CI_monthly_change: -0.000238439705528393
hac_se_CI_monthly_change: 0.000253085080854918
t_CI_monthly_change: -0.942132601111636
p_CI_monthly_change: 0.346999312543824
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_shale_regime_2014_2017 + CI_zscore_x_shale_regime_2014_2017


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.384852276162599
full_r2: 0.303117999115612
test_rmse: 36.8083379554655
test_mae: 31.4589342984788
test_r2: -0.444027159030528
high_leverage_month_count: 7
high_leverage_months: 2015-08;2017-01;2017-02;2020-04;2021-03;2021-04;2021-05
max_cooks_distance: 0.207148240164168
coef_intercept: -1.97019581035044
hac_se_intercept: 6.71279508360085
t_intercept: -0.293498577837355
p_intercept: 0.769375223186789
coef_GM2_YoY_lag: 3.17043737230697
hac_se_GM2_YoY_lag: 0.761074778311827
t_GM2_YoY_lag: 4.16573701120336
p_GM2_YoY_lag: 4.22687321341986e-05
regime: shale_regime_2014_2017
coef_CI_zscore: -2.23452427130844
hac_se_CI_zscore: 0.733361965685431
t_CI_zscore: -3.04695958593921
p_CI_zscore: 0.0025497056856405
coef_CI_monthly_change: -0.000209505848017155
hac_se_CI_monthly_change: 0.000244013177008582
t_CI_monthly_change: -0.858584157566978
p_CI_monthly_change: 0.391360814388394
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_shale_regime_2014_2017


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 0
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.161300040030487
full_r2: 0.126794330672922
test_rmse: 34.2238540408891
test_mae: 27.8880744262875
test_r2: -0.24836267754803
high_leverage_month_count: 20
max_cooks_distance: 0.755210448981807
coef_intercept: -9.75534254673791
hac_se_intercept: 6.98536305135451
t_intercept: -1.39654051980108
p_intercept: 0.163729230734682
coef_GM2_YoY_lag: 2.95425837880077
hac_se_GM2_YoY_lag: 0.765198232458872
t_GM2_YoY_lag: 3.86077522592756
p_GM2_YoY_lag: 0.000142326780773638
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: -0.388422815100064
hac_se_GM2_x_covid_2020_2021: 2.11658694794392
t_GM2_x_covid_2020_2021: -0.183513753345868
p_GM2_x_covid_2020_2021: 0.854536329437383
high_leverage_months:
2008-12;2020-04;2020-05;2020-06;2020-07;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-07;2021-09;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_ci
lag_months: 0
n_obs: 458
n_train: 367
n_test: 91
train_r2: 0.097361380933363
full_r2: 0.126139985504318
test_rmse: 45.7793668319166
test_mae: 34.2213164600529
test_r2: 0.059506132391328
high_leverage_month_count: 17
max_cooks_distance: 0.575761989508785
coef_intercept: 12.2704302756372
hac_se_intercept: 3.60867027951986
t_intercept: 3.40026362210898
p_intercept: 0.00073280455061675
regime: covid_2020_2021
coef_CI_zscore: -3.33459463091748
hac_se_CI_zscore: 0.82887165459452
t_CI_zscore: -4.0230530413647
p_CI_zscore: 6.73086390374777e-05
coef_CI_monthly_change: -0.000357589012108139
hac_se_CI_monthly_change: 0.000197174703241614
t_CI_monthly_change: -1.81356434790702
p_CI_monthly_change: 0.0704063963117725
coef_CI_zscore_x_covid_2020_2021: -21.5346221154541
hac_se_CI_zscore_x_covid_2020_2021: 5.32496535888714
t_CI_zscore_x_covid_2020_2021: -4.04408679945941
p_CI_zscore_x_covid_2020_2021: 6.17352912255509e-05
coef_CI_monthly_change_x_covid_2020_2021: -0.000616873306956478
formula:
Brent_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_covid_2020_2021 + CI_monthly_change_x_covid_2020_2021

high_leverage_months:
1990-08;1990-09;1990-10;1996-04;1999-12;2000-02;2015-08;2017-02;2020-03;2020-04;2020-12;2021-03;2021-04;2021-05;2021-06;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.406806653924076
full_r2: 0.354849288179787
test_rmse: 32.0017304310915
test_mae: 27.2457418738965
test_r2: -0.091515409166212
high_leverage_month_count: 10
high_leverage_months: 2015-08;2017-02;2020-03;2020-04;2021-01;2021-02;2021-03;2021-04;2021-05;2021-12
max_cooks_distance: 0.674289253649901
coef_intercept: -4.33583444554576
hac_se_intercept: 6.56473632804119
t_intercept: -0.660473510112706
p_intercept: 0.509534742139143
coef_GM2_YoY_lag: 2.67900349846595
hac_se_GM2_YoY_lag: 0.696724346497547
t_GM2_YoY_lag: 3.84514121249441
p_GM2_YoY_lag: 0.000151577139103631
regime: covid_2020_2021
coef_CI_zscore: -3.21371453866914
hac_se_CI_zscore: 0.981470364507078
t_CI_zscore: -3.27438775014176
p_CI_zscore: 0.00120261029975377
coef_CI_monthly_change: -0.000156011028558112
hac_se_CI_monthly_change: 0.000225835264773825
t_CI_monthly_change: -0.690817834470439
p_CI_monthly_change: 0.490296301871019
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_covid_2020_2021 + CI_zscore_x_covid_2020_2021


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.41579959091906
full_r2: 0.341871490819146
test_rmse: 34.9339322681737
test_mae: 30.1261834025738
test_r2: -0.30070225662607
high_leverage_month_count: 7
high_leverage_months: 2015-08;2017-02;2020-04;2020-12;2021-03;2021-04;2021-05
max_cooks_distance: 0.340188569052266
coef_intercept: -5.14589885165177
hac_se_intercept: 6.87424710904002
t_intercept: -0.74857635607609
p_intercept: 0.454789220722129
coef_GM2_YoY_lag: 3.45000452462761
hac_se_GM2_YoY_lag: 0.756682790464624
t_GM2_YoY_lag: 4.55938018956294
p_GM2_YoY_lag: 7.90571351649838e-06
regime: covid_2020_2021
coef_CI_zscore: -2.34157724931692
hac_se_CI_zscore: 0.72633257611852
t_CI_zscore: -3.22383619612682
p_CI_zscore: 0.00142647142194474
coef_CI_monthly_change: -0.000201233335042517
hac_se_CI_monthly_change: 0.000231286689845041
t_CI_monthly_change: -0.870060162897139
p_CI_monthly_change: 0.385070074212378
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_covid_2020_2021


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 0
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.157397127286186
full_r2: 0.134753575414751
test_rmse: 33.7908413385043
test_mae: 27.4319540138624
test_r2: -0.216973037195634
high_leverage_month_count: 16
max_cooks_distance: 0.185695680171741
coef_intercept: -9.78643329324634
hac_se_intercept: 7.52898439577495
t_intercept: -1.29983445027967
p_intercept: 0.194795802127018
coef_GM2_YoY_lag: 2.82346368071577
hac_se_GM2_YoY_lag: 0.983929436853565
t_GM2_YoY_lag: 2.8695794382824
p_GM2_YoY_lag: 0.00444403585917907
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 3.91705674596774
hac_se_GM2_x_war_spr_2022_2023: 3.64834117381246
t_GM2_x_war_spr_2022_2023: 1.07365417853026
p_GM2_x_war_spr_2022_2023: 0.283961796230903
high_leverage_months:
2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-01;2022-02;2022-03;2022-04;2022-06;2022-09;2022-10;2022-11


target: Brent_YoY
family: war_spr_2022_2023
model: regime_ci
lag_months: 0
n_obs: 458
n_train: 367
n_test: 91
train_r2: 0.097361380933363
full_r2: 0.10695734368203
test_rmse: 45.7793668319166
test_mae: 34.2213164600529
test_r2: 0.059506132391328
high_leverage_month_count: 16
max_cooks_distance: 0.177559405608608
coef_intercept: 11.0099894403177
hac_se_intercept: 3.69589596314799
t_intercept: 2.9789771005729
p_intercept: 0.00304748286357204
regime: war_spr_2022_2023
coef_CI_zscore: -3.35637641170996
hac_se_CI_zscore: 0.82845448565177
t_CI_zscore: -4.05137091999616
p_CI_zscore: 5.99095449909104e-05
coef_CI_monthly_change: -0.00051400192079365
hac_se_CI_monthly_change: 0.00022344871836131
t_CI_monthly_change: -2.30031268276296
p_CI_monthly_change: 0.0218841167725643
coef_CI_zscore_x_war_spr_2022_2023: -23.1999595699601
hac_se_CI_zscore_x_war_spr_2022_2023: 4.85576322434588
t_CI_zscore_x_war_spr_2022_2023: -4.77781936599377
p_CI_zscore_x_war_spr_2022_2023: 2.39789470990459e-06
coef_CI_monthly_change_x_war_spr_2022_2023: 0.00102658077939177
formula:
Brent_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_war_spr_2022_2023 + CI_monthly_change_x_war_spr_2022_2023

high_leverage_months:
1990-08;1990-09;1990-10;1996-04;1999-12;2000-02;2015-08;2017-02;2020-04;2021-03;2021-04;2022-03;2022-12;2023-01;2023-10;2023-11


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.25022948136679
full_r2: 0.253052296816333
test_rmse: 31.7773272981051
test_mae: 27.622115866274
test_r2: -0.0762611907450326
high_leverage_month_count: 13
max_cooks_distance: 0.808486976861002
coef_intercept: -4.1299964458121
hac_se_intercept: 6.39582065814672
t_intercept: -0.645733623026389
p_intercept: 0.519021360240963
coef_GM2_YoY_lag: 2.57215024732033
hac_se_GM2_YoY_lag: 0.876426691816377
t_GM2_YoY_lag: 2.93481505223169
p_GM2_YoY_lag: 0.00363578612191295
regime: war_spr_2022_2023
coef_CI_zscore: -3.49876204532223
hac_se_CI_zscore: 1.09298026120108
t_CI_zscore: -3.20112098042595
p_CI_zscore: 0.00153914873904903
coef_CI_monthly_change: -0.000206466870286803
hac_se_CI_monthly_change: 0.000255951561866475
t_CI_monthly_change: -0.806663842100379
p_CI_monthly_change: 0.420597432682245
coef_GM2_x_war_spr_2022_2023: -2.00062012799568
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_war_spr_2022_2023 + CI_zscore_x_war_spr_2022_2023

high_leverage_months:
2015-08;2017-02;2020-04;2020-09;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-03;2022-11;2023-02


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.375232830584161
full_r2: 0.306047211530044
test_rmse: 36.2892568514337
test_mae: 31.1675117062894
test_r2: -0.403586217990345
high_leverage_month_count: 7
high_leverage_months: 2015-08;2017-02;2020-04;2021-03;2021-04;2021-05;2022-11
max_cooks_distance: 0.128044240780667
coef_intercept: -2.18319069973363
hac_se_intercept: 6.67097804284396
t_intercept: -0.327266959314244
p_intercept: 0.743729317300463
coef_GM2_YoY_lag: 3.07714316499187
hac_se_GM2_YoY_lag: 0.774155246315375
t_GM2_YoY_lag: 3.97483990406015
p_GM2_YoY_lag: 9.13002183975387e-05
regime: war_spr_2022_2023
coef_CI_zscore: -2.005401458538
hac_se_CI_zscore: 0.730706147646894
t_CI_zscore: -2.74447048926032
p_CI_zscore: 0.00648317649933028
coef_CI_monthly_change: -0.000220780869893744
hac_se_CI_monthly_change: 0.000246807595678
t_CI_monthly_change: -0.894546495974896
p_CI_monthly_change: 0.371856904817947
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_war_spr_2022_2023


target: Brent_YoY
family: normal_period
model: regime_ci
lag_months: 0
n_obs: 458
n_train: 367
n_test: 91
train_r2: 0.11490934938427
full_r2: 0.108678425116706
test_rmse: 45.1655803721107
test_mae: 33.6344274249395
test_r2: 0.0845563950250751
high_leverage_month_count: 17
max_cooks_distance: 1.807261748649
coef_intercept: 12.613155973321
hac_se_intercept: 3.66130379930157
t_intercept: 3.44499027251634
p_intercept: 0.000624241161144568
regime: normal_period
coef_CI_zscore: -4.84164914527997
hac_se_CI_zscore: 1.33243209126011
t_CI_zscore: -3.63369298671059
p_CI_zscore: 0.000311385430975752
coef_CI_monthly_change: -0.000644185187305801
hac_se_CI_monthly_change: 0.000344850406033634
t_CI_monthly_change: -1.86801342273314
p_CI_monthly_change: 0.0624055854204555
coef_CI_zscore_x_normal_period: 4.26199724655993
hac_se_CI_zscore_x_normal_period: 2.21136100871319
t_CI_zscore_x_normal_period: 1.92731861951388
p_CI_zscore_x_normal_period: 0.054564918924938
coef_CI_monthly_change_x_normal_period: 0.000295421592662493
formula:
Brent_YoY_t = alpha + CI_zscore + CI_monthly_change + CI_zscore_x_normal_period + CI_monthly_change_x_normal_period

high_leverage_months:
1990-08;1990-09;1990-10;1999-12;2000-01;2000-02;2000-03;2000-06;2015-08;2017-02;2020-04;2020-05;2021-03;2021-04;2021-05;2021-06;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.277190165405817
full_r2: 0.247780585504665
test_rmse: 32.0130692996284
test_mae: 27.2983146796141
test_r2: -0.0922890387291382
high_leverage_month_count: 12
high_leverage_months: 2015-08;2017-02;2020-04;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10
max_cooks_distance: 1.83196448370118
coef_intercept: -2.91144741471074
hac_se_intercept: 6.86361922334466
t_intercept: -0.424185450849062
p_intercept: 0.671781326171121
coef_GM2_YoY_lag: 2.16310939593528
hac_se_GM2_YoY_lag: 1.06750737057917
t_GM2_YoY_lag: 2.02631799606375
p_GM2_YoY_lag: 0.0437531047986084
regime: normal_period
coef_CI_zscore: -4.36237437892788
hac_se_CI_zscore: 1.64392054877886
t_CI_zscore: -2.6536406410689
p_CI_zscore: 0.00845336972006949
coef_CI_monthly_change: -0.000281747709092617
hac_se_CI_monthly_change: 0.000243162730099765
t_CI_monthly_change: -1.1586796585851
p_CI_monthly_change: 0.247649900110019
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_normal_period + CI_zscore_x_normal_period


target: Brent_YoY
family: normal_period
model: regime_gm2_ci_interaction
lag_months: 0
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.418129388013501
full_r2: 0.365812448537673
test_rmse: 32.5835908908529
test_mae: 28.3438296155161
test_r2: -0.131568461339719
high_leverage_month_count: 7
high_leverage_months: 2015-03;2015-08;2017-02;2020-04;2021-03;2021-04;2021-05
max_cooks_distance: 0.186507398887838
coef_intercept: -3.66575810263425
hac_se_intercept: 6.54482840226765
t_intercept: -0.56009995638146
p_intercept: 0.575893514659245
coef_GM2_YoY_lag: 3.13794709235726
hac_se_GM2_YoY_lag: 0.74988613130329
t_GM2_YoY_lag: 4.18456477772641
p_GM2_YoY_lag: 3.91171383451461e-05
regime: normal_period
coef_CI_zscore: -1.95885780288664
hac_se_CI_zscore: 0.833035113349281
t_CI_zscore: -2.35147087019046
p_CI_zscore: 0.019446122628799
coef_CI_monthly_change: -0.000203839801103278
hac_se_CI_monthly_change: 0.000236565328232953
t_CI_monthly_change: -0.861663890587345
p_CI_monthly_change: 0.389666483624997
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_normal_period


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 1
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.236317846473236
full_r2: 0.192923705539183
test_rmse: 34.1598558138796
test_mae: 27.4937162475813
test_r2: -0.310502240901398
high_leverage_month_count: 24
max_cooks_distance: 0.302507441781388
coef_intercept: -15.3479289922049
hac_se_intercept: 7.95020568906242
t_intercept: -1.93050715823868
p_intercept: 0.05461903994441
coef_GM2_YoY_lag: 3.83958284790748
hac_se_GM2_YoY_lag: 1.18547900836887
t_GM2_YoY_lag: 3.23884507511478
p_GM2_YoY_lag: 0.00135442634459659
coef_GM2_x_financial_crisis_2008_2009: -1.17346748768827
hac_se_GM2_x_financial_crisis_2008_2009: 1.35845813002691
t_GM2_x_financial_crisis_2008_2009: -0.863823081293659
p_GM2_x_financial_crisis_2008_2009: 0.388472199685627
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-05;2008-06;2008-07;2008-11;2008-12;2009-01;2009-02;2009-03;2009-07;2009-09;2009-12;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2022-06


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 1
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.370445029179898
full_r2: 0.330452026431117
test_rmse: 30.475502723882
test_mae: 26.6264869147279
test_r2: -0.0430556191594225
high_leverage_month_count: 15
max_cooks_distance: 0.783579953690429
coef_intercept: -3.99722008535814
hac_se_intercept: 7.63836591000821
t_intercept: -0.523308274629887
p_intercept: 0.601205453372641
coef_GM2_YoY_lag: 2.95713094483746
hac_se_GM2_YoY_lag: 1.11103987698946
t_GM2_YoY_lag: 2.66158848667995
p_GM2_YoY_lag: 0.00826162316306167
coef_GM2_x_financial_crisis_2008_2009: -0.00642221015036226
hac_se_GM2_x_financial_crisis_2008_2009: 1.00441832072294
t_GM2_x_financial_crisis_2008_2009: -0.0063939595862208
p_GM2_x_financial_crisis_2008_2009: 0.994903296280145
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.42317403794666
hac_se_CI_zscore: 1.12489511555482
t_CI_zscore: -3.04310507763053
p_CI_zscore: 0.00258143916396292
coef_CI_monthly_change: -0.00018170114132543
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_financial_crisis_2008_2009 + CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-11;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 1
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.414965857095656
full_r2: 0.352484880383945
test_rmse: 33.3541514632038
test_mae: 29.1896604589163
test_r2: -0.24941151226012
high_leverage_month_count: 16
max_cooks_distance: 0.305782378762252
coef_intercept: -4.76469267214916
hac_se_intercept: 6.66433579954068
t_intercept: -0.714953870193269
p_intercept: 0.475279017175458
coef_GM2_YoY_lag: 3.40420854041888
hac_se_GM2_YoY_lag: 0.809985649623746
t_GM2_YoY_lag: 4.20280105209296
p_GM2_YoY_lag: 3.62792954557989e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.1791044773492
hac_se_CI_zscore: 0.701033958935381
t_CI_zscore: -3.10841500554192
p_CI_zscore: 0.00208988779907826
coef_CI_monthly_change: -0.000144311968996114
hac_se_CI_monthly_change: 0.000228478623711968
t_CI_monthly_change: -0.631621316040668
p_CI_monthly_change: 0.528189285572733
coef_GM2_x_CI_zscore: -0.917684619568745
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-06;2008-07;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci
lag_months: 1
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.329489657962471
full_r2: 0.283906488229701
test_rmse: 34.0544312650956
test_mae: 29.5140715464647
test_r2: -0.302425748187385
high_leverage_month_count: 13
max_cooks_distance: 0.509948510072709
coef_intercept: -3.0701722985473
hac_se_intercept: 6.8506989891963
t_intercept: -0.448154604864267
p_intercept: 0.654414837909429
coef_GM2_YoY_lag: 3.00763499653623
hac_se_GM2_YoY_lag: 0.828178241891377
t_GM2_YoY_lag: 3.63162764294249
p_GM2_YoY_lag: 0.000339197228694799
regime: shale_regime_2014_2017
coef_CI_zscore: -8.89790042471467
hac_se_CI_zscore: 4.29988613373973
t_CI_zscore: -2.06933396558944
p_CI_zscore: 0.0395027834507564
coef_CI_monthly_change: -0.000199589324958449
hac_se_CI_monthly_change: 0.000239992885790936
t_CI_monthly_change: -0.831646839449717
p_CI_monthly_change: 0.406371452253924
coef_GM2_x_shale_regime_2014_2017: -1.45656307171867
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_shale_regime_2014_2017 + CI_zscore_x_shale_regime_2014_2017

high_leverage_months:
2005-08;2005-12;2015-08;2017-01;2017-02;2020-04;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 1
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.217304782450717
full_r2: 0.181504957281986
test_rmse: 33.2314368878889
test_mae: 26.6044622180711
test_r2: -0.240234905946997
high_leverage_month_count: 20
max_cooks_distance: 0.875666211612108
coef_intercept: -13.668266552365
hac_se_intercept: 6.59060539683121
t_intercept: -2.07390152032722
p_intercept: 0.0390616428423158
coef_GM2_YoY_lag: 3.44180972931114
hac_se_GM2_YoY_lag: 0.717686791553928
t_GM2_YoY_lag: 4.79569886169839
p_GM2_YoY_lag: 2.7171709597873e-06
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: -0.162149200926036
hac_se_GM2_x_covid_2020_2021: 2.03315896368764
t_GM2_x_covid_2020_2021: -0.0797523478596768
p_GM2_x_covid_2020_2021: 0.936494874587383
high_leverage_months:
2009-01;2020-04;2020-05;2020-06;2020-07;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-07;2021-09;2021-10;2021-11


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 1
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.222376190114065
full_r2: 0.196956925854555
test_rmse: 32.0419030229926
test_mae: 25.9788527125523
test_r2: -0.15303453028558
high_leverage_month_count: 16
max_cooks_distance: 0.232346377608718
coef_intercept: -14.1618994396486
hac_se_intercept: 7.2061455287494
t_intercept: -1.96525304452272
p_intercept: 0.0504372811843186
coef_GM2_YoY_lag: 3.38382925653427
hac_se_GM2_YoY_lag: 0.939968445671608
t_GM2_YoY_lag: 3.59993920233836
p_GM2_YoY_lag: 0.000380326656197916
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 4.74072592620942
hac_se_GM2_x_war_spr_2022_2023: 3.19182571037244
t_GM2_x_war_spr_2022_2023: 1.48527092529004
p_GM2_x_war_spr_2022_2023: 0.138669699032047
high_leverage_months:
2009-01;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-03;2022-04;2022-05;2022-06;2022-10;2022-11;2022-12


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 1
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 266
n_train: 213
n_test: 53
train_r2: 0.249066577213516
full_r2: 0.194267793825943
test_rmse: 35.7407535842642
test_mae: 28.8939048381522
test_r2: -0.434607578137132
high_leverage_month_count: 14
max_cooks_distance: 0.371018484862465
coef_intercept: -15.3737673680178
hac_se_intercept: 7.09195484639156
t_intercept: -2.16777569809826
p_intercept: 0.0310729361365487
coef_GM2_YoY_lag: 3.08223557912909
hac_se_GM2_YoY_lag: 1.11777116860493
t_GM2_YoY_lag: 2.75748352229909
p_GM2_YoY_lag: 0.00623302865953779
regime: normal_period
coef_GM2_x_normal_period: 1.05581440141379
hac_se_GM2_x_normal_period: 1.04774177970228
t_GM2_x_normal_period: 1.00770478171999
p_GM2_x_normal_period: 0.314522424371178
high_leverage_months:
2008-06;2009-01;2009-02;2009-12;2020-09;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2022-06


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 2
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.301022694769502
full_r2: 0.259065496176629
test_rmse: 33.2070311896206
test_mae: 26.7501179509857
test_r2: -0.238413878222335
high_leverage_month_count: 23
max_cooks_distance: 0.416587183589895
coef_intercept: -19.7098176085629
hac_se_intercept: 7.56868246189589
t_intercept: -2.60412795857019
p_intercept: 0.00973658299350122
coef_GM2_YoY_lag: 4.49578457664758
hac_se_GM2_YoY_lag: 1.12071791934299
t_GM2_YoY_lag: 4.01152198876518
p_GM2_YoY_lag: 7.87600735465688e-05
coef_GM2_x_financial_crisis_2008_2009: -1.62721365166053
hac_se_GM2_x_financial_crisis_2008_2009: 1.36369364794239
t_GM2_x_financial_crisis_2008_2009: -1.19323988501064
p_GM2_x_financial_crisis_2008_2009: 0.233854837007287
regime: financial_crisis_2008_2009
high_leverage_months:
2008-01;2008-02;2008-03;2008-04;2008-05;2008-06;2008-07;2008-10;2008-11;2008-12;2009-02;2009-03;2009-04;2009-12;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-04;2021-05;2022-12


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.405407523951467
full_r2: 0.373607313112868
test_rmse: 28.7303075890785
test_mae: 25.2274559694508
test_r2: 0.0729860676349029
high_leverage_month_count: 17
max_cooks_distance: 0.72320128959627
coef_intercept: -8.93727309427412
hac_se_intercept: 7.53262355469285
t_intercept: -1.18647547290561
p_intercept: 0.236521785864169
coef_GM2_YoY_lag: 3.63160914591095
hac_se_GM2_YoY_lag: 1.09153468943852
t_GM2_YoY_lag: 3.32706709282783
p_GM2_YoY_lag: 0.00100489368718049
coef_GM2_x_financial_crisis_2008_2009: -0.551965021939561
hac_se_GM2_x_financial_crisis_2008_2009: 1.06927595033312
t_GM2_x_financial_crisis_2008_2009: -0.516204466926992
p_GM2_x_financial_crisis_2008_2009: 0.606152032974921
regime: financial_crisis_2008_2009
coef_CI_zscore: -3.07344911646202
hac_se_CI_zscore: 1.08680841605752
t_CI_zscore: -2.82795851693087
p_CI_zscore: 0.00505065470909272
coef_CI_monthly_change: -0.000155881339878761
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_financial_crisis_2008_2009 + CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.428193371964994
full_r2: 0.387495503504579
test_rmse: 29.9367156563975
test_mae: 26.5820452229375
test_r2: -0.00650054607367356
high_leverage_month_count: 20
max_cooks_distance: 0.207382362525204
coef_intercept: -7.61175746176275
hac_se_intercept: 6.71695243898095
t_intercept: -1.13321592357702
p_intercept: 0.258171488853785
coef_GM2_YoY_lag: 3.69004251876056
hac_se_GM2_YoY_lag: 0.870013110787523
t_GM2_YoY_lag: 4.24136426567226
p_GM2_YoY_lag: 3.09496934756126e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.25160870151271
hac_se_CI_zscore: 0.582310059928999
t_CI_zscore: -3.86668350154769
p_CI_zscore: 0.000139586676626724
coef_CI_monthly_change: -0.000101009846889877
hac_se_CI_monthly_change: 0.000226393590640954
t_CI_monthly_change: -0.446169198535626
p_CI_monthly_change: 0.65584780647242
coef_GM2_x_CI_zscore: -0.844396620149597
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_CI_zscore + GM2_x_CI_zscore_x_financial_crisis_2008_2009

high_leverage_months:
2008-06;2008-07;2008-09;2008-10;2008-12;2009-02;2009-03;2009-11;2009-12;2015-08;2017-02;2020-04;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 2
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.267876946653428
full_r2: 0.236784311991172
test_rmse: 31.8944006078139
test_mae: 25.4837092102209
test_r2: -0.142443154768681
high_leverage_month_count: 20
max_cooks_distance: 1.13100727802811
coef_intercept: -16.8973123493369
hac_se_intercept: 6.34444995281913
t_intercept: -2.66332187581188
p_intercept: 0.00821659269531927
coef_GM2_YoY_lag: 3.821208212612
hac_se_GM2_YoY_lag: 0.73761777615651
t_GM2_YoY_lag: 5.18047196818262
p_GM2_YoY_lag: 4.4200127269356e-07
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.124576684504842
hac_se_GM2_x_covid_2020_2021: 1.92559922611754
t_GM2_x_covid_2020_2021: 0.0646950221080105
p_GM2_x_covid_2020_2021: 0.948466160253527
high_leverage_months:
2008-10;2008-11;2009-02;2020-04;2020-05;2020-07;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-09;2021-10;2021-11


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 2
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.273473860171637
full_r2: 0.261781968853666
test_rmse: 28.9902551842554
test_mae: 23.4352941953848
test_r2: 0.0561352076136875
high_leverage_month_count: 15
max_cooks_distance: 0.338944977992629
coef_intercept: -17.8841111856064
hac_se_intercept: 6.99566906499802
t_intercept: -2.55645471783212
p_intercept: 0.0111390545041707
coef_GM2_YoY_lag: 3.84629474235176
hac_se_GM2_YoY_lag: 0.931350982931053
t_GM2_YoY_lag: 4.12980156014555
p_GM2_YoY_lag: 4.88614850706615e-05
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.56254842117066
hac_se_GM2_x_war_spr_2022_2023: 2.55245368067921
t_GM2_x_war_spr_2022_2023: 2.17929456008403
p_GM2_x_war_spr_2022_2023: 0.0302006962405983
high_leverage_months:
2009-02;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2022-03;2022-05;2022-06;2022-11;2022-12;2023-01


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 2
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.323457699348697
full_r2: 0.334116349635658
test_rmse: 26.6302179613389
test_mae: 23.9547788922938
test_r2: 0.203556169945883
high_leverage_month_count: 13
max_cooks_distance: 0.577514004211162
coef_intercept: -12.2653262128224
hac_se_intercept: 6.48589969038542
t_intercept: -1.89107553282149
p_intercept: 0.0597301939444972
coef_GM2_YoY_lag: 3.51989512505159
hac_se_GM2_YoY_lag: 0.892884661934691
t_GM2_YoY_lag: 3.94216103726626
p_GM2_YoY_lag: 0.000103966240903031
regime: war_spr_2022_2023
coef_CI_zscore: -2.80147588814104
hac_se_CI_zscore: 0.961413047003293
t_CI_zscore: -2.91391498885228
p_CI_zscore: 0.00388110782602435
coef_CI_monthly_change: -0.000172928337216049
hac_se_CI_monthly_change: 0.00023412295099709
t_CI_monthly_change: -0.73862189281135
p_CI_monthly_change: 0.460805416613379
coef_GM2_x_war_spr_2022_2023: -0.323442005114294
formula:
Brent_YoY_t = alpha + GM2_YoY_lag + CI_zscore + CI_monthly_change + GM2_x_war_spr_2022_2023 + CI_zscore_x_war_spr_2022_2023

high_leverage_months:
2009-02;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-03;2023-01;2023-02


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 2
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 265
n_train: 212
n_test: 53
train_r2: 0.298166465284917
full_r2: 0.248426873387276
test_rmse: 34.4755851068323
test_mae: 27.7588354538708
test_r2: -0.334839351465944
high_leverage_month_count: 16
max_cooks_distance: 0.509257933371013
coef_intercept: -18.8848374909496
hac_se_intercept: 6.84493618268492
t_intercept: -2.75895011829636
p_intercept: 0.00620750011014493
coef_GM2_YoY_lag: 3.57397925261469
hac_se_GM2_YoY_lag: 1.11232266667027
t_GM2_YoY_lag: 3.21307778732349
p_GM2_YoY_lag: 0.00147754130262601
regime: normal_period
coef_GM2_x_normal_period: 1.00586441111179
hac_se_GM2_x_normal_period: 1.02796431717771
t_GM2_x_normal_period: 0.978501290660952
p_GM2_x_normal_period: 0.32872909323469
high_leverage_months:
2008-10;2008-11;2008-12;2009-02;2009-03;2009-12;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.33554182558661
full_r2: 0.305717659009526
test_rmse: 30.9034113204247
test_mae: 24.5479184186429
test_r2: -0.114877636758732
high_leverage_month_count: 23
max_cooks_distance: 0.366297629268912
coef_intercept: -22.3433829347566
hac_se_intercept: 6.73998253933129
t_intercept: -3.31505056643268
p_intercept: 0.0010461997716511
coef_GM2_YoY_lag: 4.92885103851526
hac_se_GM2_YoY_lag: 0.975741873249985
t_GM2_YoY_lag: 5.05138825507029
p_GM2_YoY_lag: 8.24924421660711e-07
coef_GM2_x_financial_crisis_2008_2009: -2.08612872188703
hac_se_GM2_x_financial_crisis_2008_2009: 1.41183089043395
t_GM2_x_financial_crisis_2008_2009: -1.47760524013314
p_GM2_x_financial_crisis_2008_2009: 0.140719133143692
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;2009-03;2009-04;2009-05;2009-12;2020-10;2020-11;2020-12;2021-01;2021-02;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.428136943697015
full_r2: 0.406286062648748
test_rmse: 26.8178735656275
test_mae: 23.4521050309387
test_r2: 0.160418158106501
high_leverage_month_count: 18
max_cooks_distance: 0.621360943633286
coef_intercept: -12.135155991072
hac_se_intercept: 6.76650650433368
t_intercept: -1.79341525546453
p_intercept: 0.0740776415348305
coef_GM2_YoY_lag: 4.09291108811822
hac_se_GM2_YoY_lag: 0.967178841328733
t_GM2_YoY_lag: 4.23180379183573
p_GM2_YoY_lag: 3.22453004453216e-05
coef_GM2_x_financial_crisis_2008_2009: -1.04177852369099
hac_se_GM2_x_financial_crisis_2008_2009: 1.12286957109771
t_GM2_x_financial_crisis_2008_2009: -0.927782309277964
p_GM2_x_financial_crisis_2008_2009: 0.35438763650919
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.81373997360394
hac_se_CI_zscore: 1.02124167577054
t_CI_zscore: -2.75521459842593
p_CI_zscore: 0.00628324482605103
coef_CI_monthly_change: -0.000172803070071836
high_leverage_months:
2008-03;2008-05;2008-09;2008-10;2008-11;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.43389412519455
full_r2: 0.410404337445875
test_rmse: 27.1987173716488
test_mae: 24.4051378820965
test_r2: 0.136402835343367
high_leverage_month_count: 20
max_cooks_distance: 0.197778536922326
coef_intercept: -9.42123424084999
hac_se_intercept: 6.46859046539692
t_intercept: -1.45645860427367
p_intercept: 0.146481764995169
coef_GM2_YoY_lag: 3.84127598000853
hac_se_GM2_YoY_lag: 0.890413850348683
t_GM2_YoY_lag: 4.31403439929005
p_GM2_YoY_lag: 2.28496932188627e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.18271033878074
hac_se_CI_zscore: 0.52819123295034
t_CI_zscore: -4.13242439975515
p_CI_zscore: 4.85554213323081e-05
coef_CI_monthly_change: -0.000120191898142163
hac_se_CI_monthly_change: 0.000228827489247223
t_CI_monthly_change: -0.525251133670873
p_CI_monthly_change: 0.599859713795851
coef_GM2_x_CI_zscore: -0.737997444084275
high_leverage_months:
2008-06;2008-07;2008-09;2008-10;2008-11;2008-12;2009-01;2009-03;2009-11;2009-12;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_shale_regime_2014_2017
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.287640077489935
full_r2: 0.271766149483366
test_rmse: 29.1702570457242
test_mae: 22.9440092681275
test_r2: 0.00666698172765501
high_leverage_month_count: 13
max_cooks_distance: 0.284661107120951
coef_intercept: -17.9503686876521
hac_se_intercept: 6.38156262948288
t_intercept: -2.8128484714263
p_intercept: 0.00528371740420397
coef_GM2_YoY_lag: 4.09318565147481
hac_se_GM2_YoY_lag: 0.878854328676265
t_GM2_YoY_lag: 4.65741081077679
p_GM2_YoY_lag: 5.10494394334593e-06
regime: shale_regime_2014_2017
coef_GM2_x_shale_regime_2014_2017: -0.972260300706152
hac_se_GM2_x_shale_regime_2014_2017: 1.4184236017128
t_GM2_x_shale_regime_2014_2017: -0.685451299267801
p_GM2_x_shale_regime_2014_2017: 0.493667528327256
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2016-07;2016-12;2017-01;2017-02;2020-11;2020-12;2021-01;2021-04;2021-05


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.412963000816955
full_r2: 0.388949875129559
test_rmse: 27.7711082499738
test_mae: 24.8010349229539
test_r2: 0.0996719477698818
high_leverage_month_count: 13
max_cooks_distance: 0.174681659951816
coef_intercept: -10.4257732322722
hac_se_intercept: 6.35441163245088
t_intercept: -1.6407141739181
p_intercept: 0.102075282383407
coef_GM2_YoY_lag: 3.96986436338357
hac_se_GM2_YoY_lag: 0.831185960852339
t_GM2_YoY_lag: 4.77614462991252
p_GM2_YoY_lag: 2.99956903648813e-06
regime: shale_regime_2014_2017
coef_CI_zscore: -2.0418908694376
hac_se_CI_zscore: 0.514706208421801
t_CI_zscore: -3.96709974744325
p_CI_zscore: 9.43206630470428e-05
coef_CI_monthly_change: -0.000149430982301801
hac_se_CI_monthly_change: 0.000231541119207887
t_CI_monthly_change: -0.645375572222385
p_CI_monthly_change: 0.519257347073266
coef_GM2_x_CI_zscore: -1.14099194618058
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2009-03;2015-08;2017-01;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.287349801801423
full_r2: 0.269824184968374
test_rmse: 29.3931404923498
test_mae: 23.0042014032211
test_r2: -0.00857068387741577
high_leverage_month_count: 18
max_cooks_distance: 1.00158152065135
coef_intercept: -18.5252745314103
hac_se_intercept: 6.13958747311834
t_intercept: -3.0173484151047
p_intercept: 0.00280199143451765
coef_GM2_YoY_lag: 4.00622979918564
hac_se_GM2_YoY_lag: 0.815736838991085
t_GM2_YoY_lag: 4.91117920350465
p_GM2_YoY_lag: 1.59858238868438e-06
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.332217619044658
hac_se_GM2_x_covid_2020_2021: 1.76071468746905
t_GM2_x_covid_2020_2021: 0.188683391698292
p_GM2_x_covid_2020_2021: 0.850487598574369
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2020-04;2020-08;2020-09;2020-10;2020-11;2020-12;2021-01;2021-02;2021-03;2021-04;2021-05;2021-09;2021-10;2021-11


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.445685542403882
full_r2: 0.42288690631753
test_rmse: 26.6345379994763
test_mae: 22.9629998505756
test_r2: 0.171858220342051
high_leverage_month_count: 16
max_cooks_distance: 0.576317413952655
coef_intercept: -10.3570271418574
hac_se_intercept: 5.82432694799593
t_intercept: -1.77823587761005
p_intercept: 0.0765427704011379
coef_GM2_YoY_lag: 3.39022018717487
hac_se_GM2_YoY_lag: 0.78161914721793
t_GM2_YoY_lag: 4.33743236618743
p_GM2_YoY_lag: 2.06969870675255e-05
regime: covid_2020_2021
coef_CI_zscore: -2.6271406910783
hac_se_CI_zscore: 0.850483939850433
t_CI_zscore: -3.08899506267021
p_CI_zscore: 0.00222792206503031
coef_CI_monthly_change: -0.000186984030831727
hac_se_CI_monthly_change: 0.000210742065547152
t_CI_monthly_change: -0.887264867345105
p_CI_monthly_change: 0.375762665620958
coef_GM2_x_covid_2020_2021: 1.34228573812381
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2015-08;2017-02;2020-03;2020-04;2020-11;2021-01;2021-02;2021-03;2021-04;2021-05;2021-08;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.439594381172153
full_r2: 0.416519057714476
test_rmse: 26.7677593826948
test_mae: 23.8809373774547
test_r2: 0.163553055843101
high_leverage_month_count: 14
max_cooks_distance: 0.196631032073305
coef_intercept: -11.7061044869667
hac_se_intercept: 6.38240637251732
t_intercept: -1.8341208321321
p_intercept: 0.067787727885515
coef_GM2_YoY_lag: 4.02070636467547
hac_se_GM2_YoY_lag: 0.816013333201882
t_GM2_YoY_lag: 4.92725572129929
p_GM2_YoY_lag: 1.49225532064534e-06
regime: covid_2020_2021
coef_CI_zscore: -2.10086449481515
hac_se_CI_zscore: 0.503392036985369
t_CI_zscore: -4.17341622524755
p_CI_zscore: 4.10498573979456e-05
coef_CI_monthly_change: -0.000162511731617521
hac_se_CI_monthly_change: 0.000226209275188044
t_CI_monthly_change: -0.718413210432805
p_CI_monthly_change: 0.473152625526229
coef_GM2_x_CI_zscore: -0.599545581614046
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-03;2009-04;2015-08;2017-02;2020-04;2020-12;2021-03;2021-04;2021-05


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.295736718115983
full_r2: 0.301658248175965
test_rmse: 25.8397739252336
test_mae: 20.6803488326902
test_r2: 0.220543687253728
high_leverage_month_count: 16
max_cooks_distance: 0.303901637831303
coef_intercept: -19.7209777535502
hac_se_intercept: 6.51680735808327
t_intercept: -3.02617166197016
p_intercept: 0.00272422130187011
coef_GM2_YoY_lag: 4.07033053028815
hac_se_GM2_YoY_lag: 0.909354041399518
t_GM2_YoY_lag: 4.47606800539844
p_GM2_YoY_lag: 1.1367144129748e-05
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.7498142862694
hac_se_GM2_x_war_spr_2022_2023: 1.8014339695004
t_GM2_x_war_spr_2022_2023: 3.19179852474083
p_GM2_x_war_spr_2022_2023: 0.00158704656908881
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2022-01;2022-03;2022-06;2022-12;2023-01;2023-02


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.342012154419947
full_r2: 0.353303510269549
test_rmse: 23.4239887050435
test_mae: 20.1807792254218
test_r2: 0.359475038059784
high_leverage_month_count: 13
max_cooks_distance: 0.505979853704346
coef_intercept: -13.4587757876229
hac_se_intercept: 6.37616985119323
t_intercept: -2.11079317234691
p_intercept: 0.035752438050533
coef_GM2_YoY_lag: 3.67356014769753
hac_se_GM2_YoY_lag: 0.900236174132317
t_GM2_YoY_lag: 4.08066266748084
p_GM2_YoY_lag: 5.99124256064343e-05
regime: war_spr_2022_2023
coef_CI_zscore: -2.65780102178974
hac_se_CI_zscore: 0.919925127091764
t_CI_zscore: -2.88914928347709
p_CI_zscore: 0.00419103817926714
coef_CI_monthly_change: -0.000212183127137333
hac_se_CI_monthly_change: 0.000234916364684305
t_CI_monthly_change: -0.903228378416623
p_CI_monthly_change: 0.367247231936228
coef_GM2_x_war_spr_2022_2023: 0.67814002767634
high_leverage_months:
2008-10;2008-11;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2022-03;2023-01;2023-02


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2_ci_interaction
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.406706160513858
full_r2: 0.397832522543823
test_rmse: 26.5476156506231
test_mae: 23.5675952449985
test_r2: 0.177254714774375
high_leverage_month_count: 15
max_cooks_distance: 0.179325910670689
coef_intercept: -11.7316666346787
hac_se_intercept: 6.27806207105797
t_intercept: -1.86867643261476
p_intercept: 0.0628010197709568
coef_GM2_YoY_lag: 3.94779169532446
hac_se_GM2_YoY_lag: 0.832453290590984
t_GM2_YoY_lag: 4.74235820789633
p_GM2_YoY_lag: 3.49836994328889e-06
regime: war_spr_2022_2023
coef_CI_zscore: -1.9059740096918
hac_se_CI_zscore: 0.489469002386732
t_CI_zscore: -3.8939626419609
p_CI_zscore: 0.000125665542856979
coef_CI_monthly_change: -0.000171012724217601
hac_se_CI_monthly_change: 0.000234030913248055
t_CI_monthly_change: -0.730727072950144
p_CI_monthly_change: 0.465608933609685
coef_GM2_x_CI_zscore: -0.86564567828598
high_leverage_months:
2008-09;2008-10;2008-11;2009-03;2009-04;2015-08;2017-02;2020-04;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2
lag_months: 3
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_normal_period
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.316252948049889
full_r2: 0.281749691799179
test_rmse: 31.9234558479715
test_mae: 25.3136935324056
test_r2: -0.189690950918889
high_leverage_month_count: 14
max_cooks_distance: 0.45640675180383
coef_intercept: -20.8524652994466
hac_se_intercept: 6.37547687003944
t_intercept: -3.2707302880259
p_intercept: 0.00121706533701138
coef_GM2_YoY_lag: 3.81574105322687
hac_se_GM2_YoY_lag: 1.09743135301367
t_GM2_YoY_lag: 3.47697470347316
p_GM2_YoY_lag: 0.00059383900994936
regime: normal_period
coef_GM2_x_normal_period: 1.05114584262928
hac_se_GM2_x_normal_period: 1.0235391004658
t_GM2_x_normal_period: 1.02697184909782
p_GM2_x_normal_period: 0.305384539021051
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-03;2009-04;2020-10;2020-11;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: normal_period
model: regime_gm2_ci
lag_months: 3
n_obs: 264
n_train: 212
n_test: 52
train_r2: 0.371513438073994
full_r2: 0.355502547073401
test_rmse: 28.1782778603589
test_mae: 22.901739066061
test_r2: 0.0730778634419974
high_leverage_month_count: 13
max_cooks_distance: 1.37839951063467
coef_intercept: -13.7693432217345
hac_se_intercept: 6.15671747918542
t_intercept: -2.23647475595328
p_intercept: 0.026175683944673
coef_GM2_YoY_lag: 3.43030065420651
hac_se_GM2_YoY_lag: 1.05877366687793
t_GM2_YoY_lag: 3.23988096938758
p_GM2_YoY_lag: 0.00135279603587435
regime: normal_period
coef_CI_zscore: -3.45038077858324
hac_se_CI_zscore: 1.44387664728451
t_CI_zscore: -2.38966450844146
p_CI_zscore: 0.0175822535155736
coef_CI_monthly_change: -0.00027782405137966
hac_se_CI_monthly_change: 0.000221877507770109
t_CI_monthly_change: -1.25215058602298
p_CI_monthly_change: 0.211648911720722
coef_GM2_x_normal_period: 0.40173245368572
high_leverage_months:
2008-10;2008-11;2008-12;2009-03;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_financial_crisis_2008_2009
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.344831931231412
full_r2: 0.325436012274074
test_rmse: 29.1332665350833
test_mae: 24.3107049036243
test_r2: 0.00918465568862559
high_leverage_month_count: 23
max_cooks_distance: 0.366323912728514
coef_intercept: -23.2455053135447
hac_se_intercept: 6.0168412864879
t_intercept: -3.86340676224043
p_intercept: 0.000141246209996337
coef_GM2_YoY_lag: 5.1139567210291
hac_se_GM2_YoY_lag: 0.85163351588148
t_GM2_YoY_lag: 6.0048795939365
p_GM2_YoY_lag: 6.41847419657893e-09
coef_GM2_x_financial_crisis_2008_2009: -2.48767949561606
hac_se_GM2_x_financial_crisis_2008_2009: 1.50610062613189
t_GM2_x_financial_crisis_2008_2009: -1.65173525092088
p_GM2_x_financial_crisis_2008_2009: 0.0997957173636941
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;2009-04;2009-05;2009-12;2020-11;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: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.433363983515594
full_r2: 0.419554270392686
test_rmse: 25.4402331104002
test_mae: 21.622656417276
test_r2: 0.24446161703195
high_leverage_month_count: 17
max_cooks_distance: 0.609037039029088
coef_intercept: -13.5281237744223
hac_se_intercept: 6.07729323501406
t_intercept: -2.22601135921508
p_intercept: 0.0268809877304672
coef_GM2_YoY_lag: 4.30445952260948
hac_se_GM2_YoY_lag: 0.861927206421688
t_GM2_YoY_lag: 4.99399426139424
p_GM2_YoY_lag: 1.09299937700591e-06
coef_GM2_x_financial_crisis_2008_2009: -1.39744299924566
hac_se_GM2_x_financial_crisis_2008_2009: 1.20285206910686
t_GM2_x_financial_crisis_2008_2009: -1.16177461479805
p_GM2_x_financial_crisis_2008_2009: 0.246404840877954
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.61971152120059
hac_se_CI_zscore: 0.959803215393547
t_CI_zscore: -2.72942565641065
p_CI_zscore: 0.00678284364476456
coef_CI_monthly_change: -0.000212963519662601
high_leverage_months:
2008-02;2008-03;2008-05;2008-09;2008-10;2008-11;2008-12;2009-11;2009-12;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: financial_crisis_2008_2009
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.436957236390159
full_r2: 0.423055820159022
test_rmse: 25.7631064820034
test_mae: 22.3882220736207
test_r2: 0.22516216955581
high_leverage_month_count: 18
max_cooks_distance: 0.186334466592499
coef_intercept: -9.560127624568
hac_se_intercept: 6.35061734139006
t_intercept: -1.50538555712686
p_intercept: 0.133453004549021
coef_GM2_YoY_lag: 3.83911172508527
hac_se_GM2_YoY_lag: 0.907436014820291
t_GM2_YoY_lag: 4.23072443939264
p_GM2_YoY_lag: 3.24300880532036e-05
regime: financial_crisis_2008_2009
coef_CI_zscore: -2.38246550292902
hac_se_CI_zscore: 0.501587530385272
t_CI_zscore: -4.74984994363602
p_CI_zscore: 3.38762285090333e-06
coef_CI_monthly_change: -0.000137597714514825
hac_se_CI_monthly_change: 0.000231882293346134
t_CI_monthly_change: -0.593394659545788
p_CI_monthly_change: 0.553438925095699
coef_GM2_x_CI_zscore: -0.646545679237151
high_leverage_months:
2008-07;2008-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-11;2009-12;2015-08;2017-02;2020-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10


target: Brent_YoY
family: shale_regime_2014_2017
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.403274327337889
full_r2: 0.390334001287315
test_rmse: 26.5542127709362
test_mae: 22.8583577510562
test_r2: 0.176845757216235
high_leverage_month_count: 16
max_cooks_distance: 0.176682557472207
coef_intercept: -10.1070887725586
hac_se_intercept: 6.361551583724
t_intercept: -1.58877730370331
p_intercept: 0.113340112297181
coef_GM2_YoY_lag: 3.90427903396832
hac_se_GM2_YoY_lag: 0.875287513862323
t_GM2_YoY_lag: 4.46056749597645
p_GM2_YoY_lag: 1.22300192060276e-05
regime: shale_regime_2014_2017
coef_CI_zscore: -2.18746437077018
hac_se_CI_zscore: 0.561761092812607
t_CI_zscore: -3.89394067826601
p_CI_zscore: 0.0001257905292531
coef_CI_monthly_change: -0.000178111884830745
hac_se_CI_monthly_change: 0.000233506305673152
t_CI_monthly_change: -0.762771199335643
p_CI_monthly_change: 0.446299403674858
coef_GM2_x_CI_zscore: -1.11307964096606
high_leverage_months:
2005-08;2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2015-08;2017-01;2017-02;2020-04;2021-01;2021-03;2021-04;2021-05


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_covid_2020_2021
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.28380898751705
full_r2: 0.276656136568971
test_rmse: 27.7039166163012
test_mae: 21.9401983065976
test_r2: 0.104023328312781
high_leverage_month_count: 17
max_cooks_distance: 0.979421913021068
coef_intercept: -18.3838446634776
hac_se_intercept: 6.22067342741378
t_intercept: -2.95528207323377
p_intercept: 0.00341043831385734
coef_GM2_YoY_lag: 3.92961446570984
hac_se_GM2_YoY_lag: 0.940028566185611
t_GM2_YoY_lag: 4.18031388307185
p_GM2_YoY_lag: 3.98084604187332e-05
regime: covid_2020_2021
coef_GM2_x_covid_2020_2021: 0.660721918712889
hac_se_GM2_x_covid_2020_2021: 1.62489616659317
t_GM2_x_covid_2020_2021: 0.406624086078181
p_GM2_x_covid_2020_2021: 0.684618614607294
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-04;2020-04;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
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.422040589033215
full_r2: 0.408621706407592
test_rmse: 25.5407970852654
test_mae: 21.471740598718
test_r2: 0.238476599906524
high_leverage_month_count: 18
max_cooks_distance: 0.564415647668329
coef_intercept: -9.41974188905585
hac_se_intercept: 6.01498028168969
t_intercept: -1.56604701061625
p_intercept: 0.118568057157985
coef_GM2_YoY_lag: 3.24052116932672
hac_se_GM2_YoY_lag: 0.903491279792068
t_GM2_YoY_lag: 3.58666568433566
p_GM2_YoY_lag: 0.000400840849391404
regime: covid_2020_2021
coef_CI_zscore: -2.62017734605649
hac_se_CI_zscore: 0.851800583969304
t_CI_zscore: -3.07604549159468
p_CI_zscore: 0.00232426142193543
coef_CI_monthly_change: -0.000241515625341471
hac_se_CI_monthly_change: 0.000218340807543965
t_CI_monthly_change: -1.10614057013983
p_CI_monthly_change: 0.269700029268338
coef_GM2_x_covid_2020_2021: 1.33286271240477
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-04;2015-08;2017-02;2020-03;2020-04;2021-01;2021-02;2021-03;2021-04;2021-05;2021-06;2021-07;2021-08;2021-12


target: Brent_YoY
family: covid_2020_2021
model: regime_gm2_ci_interaction
lag_months: 4
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.419476723556274
full_r2: 0.407926292191021
test_rmse: 25.5336468529747
test_mae: 22.1842509515262
test_r2: 0.238902922311773
high_leverage_month_count: 16
max_cooks_distance: 0.200093589746923
coef_intercept: -10.2465058289297
hac_se_intercept: 6.40207183043923
t_intercept: -1.60049841681122
p_intercept: 0.110716564636223
coef_GM2_YoY_lag: 3.83013021959277
hac_se_GM2_YoY_lag: 0.876259318662089
t_GM2_YoY_lag: 4.37100084189778
p_GM2_YoY_lag: 1.79696171669352e-05
regime: covid_2020_2021
coef_CI_zscore: -2.32622347330698
hac_se_CI_zscore: 0.500103675629588
t_CI_zscore: -4.6514824558697
p_CI_zscore: 5.2783874446849e-06
coef_CI_monthly_change: -0.000182853297099328
hac_se_CI_monthly_change: 0.000227684849113335
t_CI_monthly_change: -0.803098220243493
p_CI_monthly_change: 0.422660066753905
coef_GM2_x_CI_zscore: -0.642902358730658
high_leverage_months:
2008-09;2008-10;2008-11;2008-12;2009-01;2009-02;2009-04;2009-05;2015-08;2017-01;2017-02;2020-04;2020-12;2021-03;2021-04;2021-05


target: Brent_YoY
family: war_spr_2022_2023
model: regime_gm2
lag_months: 4
formula: Brent_YoY_t = alpha + GM2_YoY_lag + GM2_x_war_spr_2022_2023
n_obs: 263
n_train: 211
n_test: 52
train_r2: 0.287191095233753
full_r2: 0.308913203962972
test_rmse: 23.6295912277883
test_mae: 19.6365792925511
test_r2: 0.348181358280751
high_leverage_month_count: 17
max_cooks_distance: 0.310160125908456
coef_intercept: -19.8537123367611
hac_se_intercept: 6.2934200699097
t_intercept: -3.154677761252
p_intercept: 0.00179562198191774
coef_GM2_YoY_lag: 4.06778152568633
hac_se_GM2_YoY_lag: 0.946763607424279
t_GM2_YoY_lag: 4.29651234351196
p_GM2_YoY_lag: 2.45373503413582e-05
regime: war_spr_2022_2023
coef_GM2_x_war_spr_2022_2023: 5.403441683975
hac_se_GM2_x_war_spr_2022_2023: 1.34220385032635
t_GM2_x_war_spr_2022_2023: 4.02579808027013
p_GM2_x_war_spr_2022_2023: 7.45418440453172e-05
high_leverage_months:
2008-10;2008-11;2008-12;2009-01;2009-04;2020-12;2021-01;2021-03;2021-04;2021-05;2021-10;2022-01;2022-02;2022-03;2022-06;2023-01;2023-02


