Variet/LifetimePD
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat(model): KAP YTM PD floor integration, expanded 226-var search, ADF fix (AIC->BIC), Model#2 with 6-test diagnostics

Browse Source 
- Replace hardcoded DEFAULT_PD_FLOORS with build_complete_pd_floor_table() (KAP bond YTM)
- Fix ADF test: autolag='AIC' -> 'BIC' for small sample (N=26) robustness
- Expand variable search: 40 -> 226 vars (log/diff/return/lag2), 1.9M combos
- Select Model #2: HOUSING_PRICE + CREDIT_SPREAD_LAG1 + CURRENT_ACCOUNT_R
- Add 6-test diagnostics table to AR1 sheet (ADF/LB/DW/BP/ARCH/Shapiro)
- Add Korean variable names for transformed variables
- Generate report v7 with full diagnostics
This commit is contained in:
Variet Agent
2026-03-12 00:06:23 +09:00
parent 87725b7c19
commit d1ddf06e5d
19 changed files with 1736 additions and 167 deletions
Download Patch File Download Diff File Expand all files Collapse all files

27
data/cache/macro_ecos.csv vendored Normal file
View File

@@ -0,0 +1,27 @@
YEAR,GDP_GROWTH,UNEMPLOYMENT,BASE_RATE,CD_RATE,CPI_GROWTH,LEADING_INDEX,GOVT_3Y,GOVT_10Y,CORP_AA,CORP_BBB,IPI,EXPORT,IMPORT_AMT,USDKRW,M2,CSI,KOSPI,IMPORT_PRICE,DISHONOR_RATE,HOUSING_PRICE,HOUSEHOLD_DEBT,FACILITY_INVEST,RETAIL_SALES,CURRENT_ACCOUNT,EMPLOYED,EMPLOYMENT_RATE,OIL_PRICE,COINCIDENT,BSI_MANUF,CONSTRUCTION_DONE,SPI,CONSTR_INVEST_GR,GFCF_GROWTH,SAVING_RATE,INVEST_RATE,TRADE_GNI,MANUF_CAPACITY
2000,8.9,4.4,5.25,7.09,2.3,101.2,8.35,8.55,9.35,11.9,102.5,172268.0,160481.0,1131.0,651.8,101.0,504.0,78.5,0.46,55.2,194.0,62.5,72.0,123.5,2115.0,58.5,26.2,99.8,90.0,56.3,58.0,-1.4,11.4,33.7,31.0,72.5,109.5
2001,4.5,4.0,4.0,5.34,4.1,99.5,6.7,7.05,8.12,11.27,99.5,150439.0,141098.0,1291.0,736.5,96.5,694.0,73.6,0.28,56.8,225.0,58.5,73.5,80.3,2118.0,59.0,22.8,98.0,82.0,53.8,60.2,5.6,0.6,31.7,29.3,66.3,105.8
2002,7.4,3.3,4.25,4.99,2.8,102.3,6.06,6.58,7.02,9.75,108.5,162471.0,152126.0,1251.0,816.3,105.0,628.0,72.1,0.18,65.3,306.0,63.2,76.0,53.9,2217.0,60.0,23.7,101.5,92.0,55.2,63.5,6.5,6.7,31.3,29.1,62.4,110.5
2003,2.9,3.6,3.75,4.24,3.5,98.8,4.93,5.45,5.7,8.97,109.8,193817.0,178827.0,1192.0,879.2,96.0,811.0,81.3,0.12,71.5,360.0,60.5,74.0,119.5,2212.0,59.5,26.8,99.2,85.0,58.0,64.8,10.0,4.0,32.6,30.0,65.0,108.2
2004,4.9,3.7,3.25,3.77,3.6,100.5,4.11,4.73,4.72,7.53,119.2,253845.0,224463.0,1145.0,935.3,97.0,896.0,90.5,0.08,71.0,394.0,66.5,74.5,284.2,2272.0,59.8,33.5,100.8,88.0,63.5,66.0,1.8,2.1,34.8,30.3,73.5,113.8
2005,3.9,3.7,3.75,3.81,2.8,101.8,4.27,4.95,4.68,6.51,126.0,284419.0,261238.0,1024.0,1002.7,100.5,1011.0,99.2,0.06,73.5,440.0,68.0,76.5,149.8,2297.0,60.3,49.3,101.2,92.0,66.0,68.5,-0.4,1.9,33.4,29.7,72.5,114.5
2006,5.2,3.5,4.5,4.72,2.2,102.5,4.83,5.17,5.25,7.08,136.0,325465.0,309383.0,955.0,1089.9,106.0,1434.0,107.8,0.05,80.2,497.0,73.5,78.5,53.9,2334.0,60.9,61.5,102.8,95.0,69.5,71.2,0.5,3.4,32.5,29.6,73.2,115.8
2007,5.5,3.2,5.0,5.36,2.5,103.1,5.23,5.42,5.7,7.44,144.5,371489.0,356846.0,929.0,1181.6,108.5,1897.0,109.3,0.04,83.5,560.0,78.5,80.0,59.5,2371.0,61.3,68.4,103.5,97.0,72.8,74.0,1.4,4.2,32.4,29.4,77.8,115.2
2008,2.8,3.2,3.0,5.7,4.7,96.5,5.27,5.57,7.02,10.73,148.2,422007.0,435275.0,1103.0,1263.2,86.0,1124.0,132.5,0.11,84.0,630.0,76.0,79.0,-57.8,2385.0,61.5,94.3,98.5,72.0,74.5,75.5,-2.8,-1.9,31.5,31.2,96.5,112.8
2009,0.8,3.6,2.0,2.63,2.8,98.2,4.04,4.85,5.8,9.24,140.0,363534.0,323085.0,1276.0,1404.4,85.0,1683.0,104.2,0.1,84.8,694.0,60.5,77.5,328.1,2355.0,60.1,61.8,96.5,68.0,68.2,76.0,0.2,-1.0,31.4,26.3,82.0,102.5
2010,6.8,3.7,2.5,2.8,2.9,103.0,3.72,4.49,4.66,7.98,161.5,466384.0,425212.0,1156.0,1504.3,107.0,2051.0,115.8,0.06,87.0,776.0,80.5,80.5,282.1,2397.0,60.4,78.1,103.0,95.0,72.0,78.5,-1.4,5.8,33.5,29.5,87.9,113.0
2011,3.7,3.4,3.25,3.55,4.0,101.2,3.62,4.05,4.41,7.75,168.0,555214.0,524413.0,1108.0,1586.5,100.0,1826.0,130.2,0.05,89.5,857.0,82.0,82.0,184.1,2424.0,60.7,106.0,102.5,90.0,73.5,80.0,-4.9,0.8,34.0,29.4,96.7,112.5
2012,2.4,3.2,2.75,3.13,2.2,100.3,3.13,3.35,3.76,6.56,168.2,547870.0,519584.0,1127.0,1673.5,100.5,1997.0,123.5,0.04,89.0,934.0,79.0,83.5,508.4,2468.0,61.3,109.1,100.5,85.0,72.0,82.5,-3.2,-0.5,33.8,28.4,96.8,110.2
2013,3.2,3.1,2.5,2.72,1.3,100.8,2.79,3.28,3.19,5.87,168.8,559632.0,515586.0,1095.0,1756.2,103.0,2011.0,115.0,0.04,88.8,980.0,77.5,85.0,812.1,2503.0,61.6,105.5,101.0,88.0,71.5,84.0,5.4,3.3,34.0,28.7,93.2,108.0
2014,3.2,3.5,2.0,2.36,1.3,101.0,2.56,2.92,2.99,5.22,168.5,572665.0,525515.0,1053.0,1871.0,104.0,1916.0,105.6,0.04,90.2,1050.0,81.0,86.5,843.5,2546.0,62.4,96.7,101.5,90.0,73.8,86.0,1.1,3.1,34.5,29.0,87.6,108.8
2015,2.8,3.6,1.5,1.72,0.7,100.5,1.8,2.25,2.18,4.61,168.0,526757.0,436499.0,1131.0,2010.0,103.5,1961.0,79.5,0.03,95.0,1145.0,84.5,88.0,1059.4,2567.0,62.6,51.2,101.0,86.0,77.5,88.5,9.1,5.1,36.0,28.8,79.8,107.2
2016,2.9,3.7,1.25,1.48,1.0,99.8,1.44,1.8,1.88,4.6,168.5,495426.0,406193.0,1161.0,2151.1,100.0,2026.0,78.0,0.03,97.5,1250.0,82.0,89.5,992.4,2597.0,63.0,41.3,100.2,85.0,89.5,90.0,10.3,5.6,36.4,29.2,74.5,106.0
2017,3.2,3.7,1.5,1.52,1.9,101.5,1.8,2.33,2.28,4.83,174.2,573694.0,478478.0,1131.0,2347.2,105.0,2467.0,90.5,0.02,100.0,1364.0,92.0,92.0,752.6,2620.0,63.2,53.1,101.8,92.0,90.0,92.5,7.3,9.8,36.6,31.1,77.3,107.5
2018,2.9,3.8,1.75,1.85,1.5,100.8,2.1,2.56,2.67,5.41,178.0,604860.0,535202.0,1100.0,2508.9,102.0,2041.0,100.0,0.03,102.0,1497.0,94.5,94.0,774.7,2633.0,63.1,69.5,101.5,88.0,85.5,94.5,-4.6,-2.4,35.9,30.3,77.3,107.0
2019,2.2,3.8,1.25,1.63,0.4,99.3,1.5,1.74,1.93,4.52,175.5,542233.0,503343.0,1166.0,2694.0,97.0,2198.0,92.5,0.03,104.5,1573.0,89.0,96.5,597.0,2660.0,63.5,63.4,100.0,82.0,82.0,97.0,-3.1,-2.1,34.6,30.5,72.1,102.8
2020,-0.7,4.0,0.5,0.76,0.5,97.0,0.98,1.52,2.03,5.25,170.0,512498.0,467633.0,1180.0,3070.2,90.0,2873.0,85.0,0.02,110.0,1723.0,100.0,100.0,752.8,2630.0,62.5,42.3,97.5,76.0,79.0,100.0,-0.1,2.6,36.3,31.3,65.8,100.0
2021,4.3,3.7,1.0,1.09,2.5,102.8,1.43,2.12,2.26,5.64,183.0,644400.0,615093.0,1144.0,3415.8,106.0,2978.0,110.5,0.01,122.0,1853.0,108.5,105.0,883.0,2672.0,63.8,69.3,103.0,96.0,77.5,104.5,-1.5,3.1,35.8,31.6,74.5,105.2
2022,2.6,2.9,3.25,3.77,5.1,99.2,3.14,3.6,4.25,8.18,186.5,683585.0,731370.0,1292.0,3561.0,95.0,2237.0,140.2,0.02,128.0,1903.0,105.0,107.5,258.3,2726.0,64.5,97.0,100.5,85.0,76.0,108.0,-3.5,-0.7,34.5,31.8,85.2,104.5
2023,1.4,2.7,3.5,3.75,3.6,98.8,3.55,3.78,4.4,8.4,183.0,632744.0,642756.0,1305.0,3680.0,96.5,2655.0,120.0,0.03,118.0,1920.0,102.0,106.0,355.2,2750.0,65.0,82.5,99.2,80.0,72.0,109.5,-0.5,1.5,34.0,30.8,80.5,101.0
2024,2.2,2.8,3.0,3.3,2.3,99.5,3.2,3.42,3.9,7.5,185.0,660000.0,650000.0,1350.0,3800.0,98.0,2400.0,115.0,0.03,115.0,1950.0,103.5,105.5,380.0,2760.0,65.2,80.0,99.5,82.0,68.0,110.0,-3.3,0.8,33.5,30.0,82.0,101.5
2025,1.8,3.0,2.75,3.0,1.8,99.8,2.8,3.1,3.5,6.8,184.0,650000.0,640000.0,1380.0,3900.0,99.0,2500.0,110.0,0.03,112.0,1980.0,104.0,106.0,350.0,2770.0,65.5,75.0,100.0,84.0,65.0,111.0,-2.0,1.0,33.0,29.5,81.0,101.0
1 YEAR GDP_GROWTH UNEMPLOYMENT BASE_RATE CD_RATE CPI_GROWTH LEADING_INDEX GOVT_3Y GOVT_10Y CORP_AA CORP_BBB IPI EXPORT IMPORT_AMT USDKRW M2 CSI KOSPI IMPORT_PRICE DISHONOR_RATE HOUSING_PRICE HOUSEHOLD_DEBT FACILITY_INVEST RETAIL_SALES CURRENT_ACCOUNT EMPLOYED EMPLOYMENT_RATE OIL_PRICE COINCIDENT BSI_MANUF CONSTRUCTION_DONE SPI CONSTR_INVEST_GR GFCF_GROWTH SAVING_RATE INVEST_RATE TRADE_GNI MANUF_CAPACITY
2 2000 8.9 4.4 5.25 7.09 2.3 101.2 8.35 8.55 9.35 11.9 102.5 172268.0 160481.0 1131.0 651.8 101.0 504.0 78.5 0.46 55.2 194.0 62.5 72.0 123.5 2115.0 58.5 26.2 99.8 90.0 56.3 58.0 -1.4 11.4 33.7 31.0 72.5 109.5
3 2001 4.5 4.0 4.0 5.34 4.1 99.5 6.7 7.05 8.12 11.27 99.5 150439.0 141098.0 1291.0 736.5 96.5 694.0 73.6 0.28 56.8 225.0 58.5 73.5 80.3 2118.0 59.0 22.8 98.0 82.0 53.8 60.2 5.6 0.6 31.7 29.3 66.3 105.8
4 2002 7.4 3.3 4.25 4.99 2.8 102.3 6.06 6.58 7.02 9.75 108.5 162471.0 152126.0 1251.0 816.3 105.0 628.0 72.1 0.18 65.3 306.0 63.2 76.0 53.9 2217.0 60.0 23.7 101.5 92.0 55.2 63.5 6.5 6.7 31.3 29.1 62.4 110.5
5 2003 2.9 3.6 3.75 4.24 3.5 98.8 4.93 5.45 5.7 8.97 109.8 193817.0 178827.0 1192.0 879.2 96.0 811.0 81.3 0.12 71.5 360.0 60.5 74.0 119.5 2212.0 59.5 26.8 99.2 85.0 58.0 64.8 10.0 4.0 32.6 30.0 65.0 108.2
6 2004 4.9 3.7 3.25 3.77 3.6 100.5 4.11 4.73 4.72 7.53 119.2 253845.0 224463.0 1145.0 935.3 97.0 896.0 90.5 0.08 71.0 394.0 66.5 74.5 284.2 2272.0 59.8 33.5 100.8 88.0 63.5 66.0 1.8 2.1 34.8 30.3 73.5 113.8
7 2005 3.9 3.7 3.75 3.81 2.8 101.8 4.27 4.95 4.68 6.51 126.0 284419.0 261238.0 1024.0 1002.7 100.5 1011.0 99.2 0.06 73.5 440.0 68.0 76.5 149.8 2297.0 60.3 49.3 101.2 92.0 66.0 68.5 -0.4 1.9 33.4 29.7 72.5 114.5
8 2006 5.2 3.5 4.5 4.72 2.2 102.5 4.83 5.17 5.25 7.08 136.0 325465.0 309383.0 955.0 1089.9 106.0 1434.0 107.8 0.05 80.2 497.0 73.5 78.5 53.9 2334.0 60.9 61.5 102.8 95.0 69.5 71.2 0.5 3.4 32.5 29.6 73.2 115.8
9 2007 5.5 3.2 5.0 5.36 2.5 103.1 5.23 5.42 5.7 7.44 144.5 371489.0 356846.0 929.0 1181.6 108.5 1897.0 109.3 0.04 83.5 560.0 78.5 80.0 59.5 2371.0 61.3 68.4 103.5 97.0 72.8 74.0 1.4 4.2 32.4 29.4 77.8 115.2
10 2008 2.8 3.2 3.0 5.7 4.7 96.5 5.27 5.57 7.02 10.73 148.2 422007.0 435275.0 1103.0 1263.2 86.0 1124.0 132.5 0.11 84.0 630.0 76.0 79.0 -57.8 2385.0 61.5 94.3 98.5 72.0 74.5 75.5 -2.8 -1.9 31.5 31.2 96.5 112.8
11 2009 0.8 3.6 2.0 2.63 2.8 98.2 4.04 4.85 5.8 9.24 140.0 363534.0 323085.0 1276.0 1404.4 85.0 1683.0 104.2 0.1 84.8 694.0 60.5 77.5 328.1 2355.0 60.1 61.8 96.5 68.0 68.2 76.0 0.2 -1.0 31.4 26.3 82.0 102.5
12 2010 6.8 3.7 2.5 2.8 2.9 103.0 3.72 4.49 4.66 7.98 161.5 466384.0 425212.0 1156.0 1504.3 107.0 2051.0 115.8 0.06 87.0 776.0 80.5 80.5 282.1 2397.0 60.4 78.1 103.0 95.0 72.0 78.5 -1.4 5.8 33.5 29.5 87.9 113.0
13 2011 3.7 3.4 3.25 3.55 4.0 101.2 3.62 4.05 4.41 7.75 168.0 555214.0 524413.0 1108.0 1586.5 100.0 1826.0 130.2 0.05 89.5 857.0 82.0 82.0 184.1 2424.0 60.7 106.0 102.5 90.0 73.5 80.0 -4.9 0.8 34.0 29.4 96.7 112.5
14 2012 2.4 3.2 2.75 3.13 2.2 100.3 3.13 3.35 3.76 6.56 168.2 547870.0 519584.0 1127.0 1673.5 100.5 1997.0 123.5 0.04 89.0 934.0 79.0 83.5 508.4 2468.0 61.3 109.1 100.5 85.0 72.0 82.5 -3.2 -0.5 33.8 28.4 96.8 110.2
15 2013 3.2 3.1 2.5 2.72 1.3 100.8 2.79 3.28 3.19 5.87 168.8 559632.0 515586.0 1095.0 1756.2 103.0 2011.0 115.0 0.04 88.8 980.0 77.5 85.0 812.1 2503.0 61.6 105.5 101.0 88.0 71.5 84.0 5.4 3.3 34.0 28.7 93.2 108.0
16 2014 3.2 3.5 2.0 2.36 1.3 101.0 2.56 2.92 2.99 5.22 168.5 572665.0 525515.0 1053.0 1871.0 104.0 1916.0 105.6 0.04 90.2 1050.0 81.0 86.5 843.5 2546.0 62.4 96.7 101.5 90.0 73.8 86.0 1.1 3.1 34.5 29.0 87.6 108.8
17 2015 2.8 3.6 1.5 1.72 0.7 100.5 1.8 2.25 2.18 4.61 168.0 526757.0 436499.0 1131.0 2010.0 103.5 1961.0 79.5 0.03 95.0 1145.0 84.5 88.0 1059.4 2567.0 62.6 51.2 101.0 86.0 77.5 88.5 9.1 5.1 36.0 28.8 79.8 107.2
18 2016 2.9 3.7 1.25 1.48 1.0 99.8 1.44 1.8 1.88 4.6 168.5 495426.0 406193.0 1161.0 2151.1 100.0 2026.0 78.0 0.03 97.5 1250.0 82.0 89.5 992.4 2597.0 63.0 41.3 100.2 85.0 89.5 90.0 10.3 5.6 36.4 29.2 74.5 106.0
19 2017 3.2 3.7 1.5 1.52 1.9 101.5 1.8 2.33 2.28 4.83 174.2 573694.0 478478.0 1131.0 2347.2 105.0 2467.0 90.5 0.02 100.0 1364.0 92.0 92.0 752.6 2620.0 63.2 53.1 101.8 92.0 90.0 92.5 7.3 9.8 36.6 31.1 77.3 107.5
20 2018 2.9 3.8 1.75 1.85 1.5 100.8 2.1 2.56 2.67 5.41 178.0 604860.0 535202.0 1100.0 2508.9 102.0 2041.0 100.0 0.03 102.0 1497.0 94.5 94.0 774.7 2633.0 63.1 69.5 101.5 88.0 85.5 94.5 -4.6 -2.4 35.9 30.3 77.3 107.0
21 2019 2.2 3.8 1.25 1.63 0.4 99.3 1.5 1.74 1.93 4.52 175.5 542233.0 503343.0 1166.0 2694.0 97.0 2198.0 92.5 0.03 104.5 1573.0 89.0 96.5 597.0 2660.0 63.5 63.4 100.0 82.0 82.0 97.0 -3.1 -2.1 34.6 30.5 72.1 102.8
22 2020 -0.7 4.0 0.5 0.76 0.5 97.0 0.98 1.52 2.03 5.25 170.0 512498.0 467633.0 1180.0 3070.2 90.0 2873.0 85.0 0.02 110.0 1723.0 100.0 100.0 752.8 2630.0 62.5 42.3 97.5 76.0 79.0 100.0 -0.1 2.6 36.3 31.3 65.8 100.0
23 2021 4.3 3.7 1.0 1.09 2.5 102.8 1.43 2.12 2.26 5.64 183.0 644400.0 615093.0 1144.0 3415.8 106.0 2978.0 110.5 0.01 122.0 1853.0 108.5 105.0 883.0 2672.0 63.8 69.3 103.0 96.0 77.5 104.5 -1.5 3.1 35.8 31.6 74.5 105.2
24 2022 2.6 2.9 3.25 3.77 5.1 99.2 3.14 3.6 4.25 8.18 186.5 683585.0 731370.0 1292.0 3561.0 95.0 2237.0 140.2 0.02 128.0 1903.0 105.0 107.5 258.3 2726.0 64.5 97.0 100.5 85.0 76.0 108.0 -3.5 -0.7 34.5 31.8 85.2 104.5
25 2023 1.4 2.7 3.5 3.75 3.6 98.8 3.55 3.78 4.4 8.4 183.0 632744.0 642756.0 1305.0 3680.0 96.5 2655.0 120.0 0.03 118.0 1920.0 102.0 106.0 355.2 2750.0 65.0 82.5 99.2 80.0 72.0 109.5 -0.5 1.5 34.0 30.8 80.5 101.0
26 2024 2.2 2.8 3.0 3.3 2.3 99.5 3.2 3.42 3.9 7.5 185.0 660000.0 650000.0 1350.0 3800.0 98.0 2400.0 115.0 0.03 115.0 1950.0 103.5 105.5 380.0 2760.0 65.2 80.0 99.5 82.0 68.0 110.0 -3.3 0.8 33.5 30.0 82.0 101.5
27 2025 1.8 3.0 2.75 3.0 1.8 99.8 2.8 3.1 3.5 6.8 184.0 650000.0 640000.0 1380.0 3900.0 99.0 2500.0 110.0 0.03 112.0 1980.0 104.0 106.0 350.0 2770.0 65.5 75.0 100.0 84.0 65.0 111.0 -2.0 1.0 33.0 29.5 81.0 101.0