1{2 "task_id": "F3-conf-02",3 "model_name": "ar1_covid_excl",4 "model_description": "AR(1) with intercept estimated by OLS on the full origin vintage (1947Q2 to last published quarter), excluding equations whose dependent value or lag is 2020Q2 or 2020Q3, re-estimated at each origin; h=2 forecast iterated.",5 "n_origins": 8,6 "first_origin": "2024-01-31",7 "last_origin": "2025-12-31",8 "rmse_naive_h1": 2.0102860492974624,9 "mae_naive_h1": 1.6874999999999996,10 "rmse_naive_h2": 2.265226258014859,11 "mae_naive_h2": 1.8124999999999998,12 "rmse_model_h1": 1.6109716554376818,13 "mae_model_h1": 1.3032083749999999,14 "rmse_model_h2": 1.588391434330263,15 "mae_model_h2": 1.2056655,16 "rel_improvement_rmse_h1": 0.19863560909619282,17 "rel_improvement_rmse_h2": 0.29879347428973524,18 "mean_abs_revision_h1_targets": 0.5625000000000001,19 "feasibility": "complete",20 "feasibility_reason": null,21 "data_issues": [22 {23 "issue": "2020Q2 (-28) and 2020Q3 (+35) COVID outliers in every vintage would dominate OLS AR estimates",24 "handling": "AR(1) equations whose dependent value or lag is 2020Q2 or 2020Q3 are excluded from estimation (equivalent to impulse dummies for 2020Q2-Q4); naive unaffected"25 },26 {27 "issue": "2025Q3 advance estimate delayed by the Oct-Nov 2025 federal shutdown; 8th origin is 2025-12-31, and the h=1 target 2025Q4 first release is dated 2026-02-28",28 "handling": "used as provided; origin spacing is irregular for the last origin"29 },30 {31 "issue": "Past values differ across vintages (e.g. 2023Q4: 3.3 in 2024-01-31 vintage, 3.4 in 2024-04-30, 3.2 in 2024-10-31) and annual revisions alter whole history",32 "handling": "each origin uses only its own vintage file; actuals are first releases"33 }34 ],35 "n_input_rows": {36 "first_release.csv": 13,37 "current_vintage.csv": 318,38 "vintages/A191RL1Q225SBEA_vintage_2024-01-31.csv": 307,39 "vintages/A191RL1Q225SBEA_vintage_2024-04-30.csv": 308,40 "vintages/A191RL1Q225SBEA_vintage_2024-07-31.csv": 309,41 "vintages/A191RL1Q225SBEA_vintage_2024-10-31.csv": 310,42 "vintages/A191RL1Q225SBEA_vintage_2025-01-31.csv": 311,43 "vintages/A191RL1Q225SBEA_vintage_2025-04-30.csv": 312,44 "vintages/A191RL1Q225SBEA_vintage_2025-07-31.csv": 313,45 "vintages/A191RL1Q225SBEA_vintage_2025-12-31.csv": 31446 },47 "n_analysed": 314,48 "random_seed": null,49 "diebold_mariano_hln": {50 "h1": {51 "stat": 1.0536060012519628,52 "p_two_sided": 0.3270669218263444,53 "mean_loss_diff_naive_minus_model": 1.446020325376374854 },55 "h2": {56 "stat": 1.2286618481253917,57 "p_two_sided": 0.2588986109564343,58 "mean_loss_diff_naive_minus_model": 2.608262651346249759 }60 },61 "robustness": {62 "h1": {63 "n_origins_model_abs_error_smaller": 5,64 "loo_rel_improvement_rmse": {65 "2024-01-31": 0.21611752787537597,66 "2024-04-30": 0.18077510810179076,67 "2024-07-31": 0.19986024990140383,68 "2024-10-31": 0.20682217229119482,69 "2025-01-31": 0.35495897597334447,70 "2025-04-30": 0.04265491033865232,71 "2025-07-31": 0.20475591220279832,72 "2025-12-31": 0.18304817579344773 }74 },75 "h2": {76 "n_origins_model_abs_error_smaller": 5,77 "loo_rel_improvement_rmse": {78 "2024-01-31": 0.2996020301007819,79 "2024-04-30": 0.28679563265404906,80 "2024-07-31": 0.30909113960884127,81 "2024-10-31": 0.4876069381279523,82 "2025-01-31": 0.29470677921482347,83 "2025-04-30": 0.054922928245607516,84 "2025-07-31": 0.33421373337088855,85 "2025-12-31": 0.282856670705815986 }87 }88 },89 "ar_fits": [90 {91 "origin": "2024-01-31",92 "const": 2.0610954184779753,93 "phi": 0.35559566946497484,94 "n_eq": 30395 },96 {97 "origin": "2024-04-30",98 "const": 2.0560226684857326,99 "phi": 0.3555671107284691,100 "n_eq": 304101 },102 {103 "origin": "2024-07-31",104 "const": 2.0565335027088723,105 "phi": 0.3554554803195453,106 "n_eq": 305107 },108 {109 "origin": "2024-10-31",110 "const": 2.066320001301406,111 "phi": 0.35528790103188207,112 "n_eq": 306113 },114 {115 "origin": "2025-01-31",116 "const": 2.064435653454866,117 "phi": 0.3552987560549239,118 "n_eq": 307119 },120 {121 "origin": "2025-04-30",122 "const": 2.052321791824073,123 "phi": 0.35591532401143494,124 "n_eq": 308125 },126 {127 "origin": "2025-07-31",128 "const": 2.05830516834095,129 "phi": 0.3549876436722734,130 "n_eq": 309131 },132 {133 "origin": "2025-12-31",134 "const": 2.067306502190792,135 "phi": 0.3541829123595062,136 "n_eq": 310137 }138 ],139 "revisions_h1_targets": {140 "2024-01-01": {141 "first": 1.6,142 "current": 1.4143 },144 "2024-04-01": {145 "first": 2.8,146 "current": 3.6147 },148 "2024-07-01": {149 "first": 2.8,150 "current": 3.2151 },152 "2024-10-01": {153 "first": 2.3,154 "current": 2.4155 },156 "2025-01-01": {157 "first": -0.3,158 "current": 0.1159 },160 "2025-04-01": {161 "first": 3.0,162 "current": 4.0163 },164 "2025-07-01": {165 "first": 4.3,166 "current": 3.9167 },168 "2025-10-01": {169 "first": 1.4,170 "current": 0.2171 }172 }173}