{ "id": "m1d_final_bounded_benchmark_v1", "generated_at_utc": "2026-09-09T16:01:56.030549+00:00", "protocol": { "id": "m1d_final_bounded_benchmark_v1", "declared_before_fit": true, "research_only": true, "production_freeze": false, "score_authorized_m1": false, "l1_unchanged": "L1-US-v0.1", "responds_to_hub_comment": "60543abd-75c6-4cca-836d-baeaea4c2737", "hub_job": "b73c292a-16e2-4f11-9370-1337d0239791", "prior_study": "m1d_calibrated_miss_protocol_v1 (leaky train-before-t; audit only)", "target": "PAGO_R(t)", "forecast_origin": "t-12 (calendar month)", "information_set_at_origin": "PAGO and PEXP observed through origin month t-12 inclusive; PAGO(t-11)..PAGO(t) are NOT observed at origin and must not enter training", "headline_train_cutoff": { "name": "asof_t12", "rule": "For target month t, training uses only completed eligible pairs whose OUTCOME date u <= origin (t-12). Equivalently, train origins s with s+12 <= t-12. Training only on dates before t is NOT sufficient." }, "audit_train_cutoff": { "name": "leaky_before_t", "role": "audit contrast only \u2014 NOT headline", "rule": "Train on eligible outcome dates u < t (prior M1-D v1). Uses PAGO(t-11)..PAGO(t-1) unavailable at origin t-12." }, "eligibility": "Month t eligible iff PAGO_R(t), PEXP_R(t-12), and PAGO_R(t-12) are all non-null. No interpolation. Join A229RX YoY only for optional dependence diagnostics, never as a predictor.", "common_eval": "All models scored on the identical set of OOS months that satisfy eligibility AND min_train_n completed pairs under the given cutoff/scheme. Expanding and rolling share the same first-OOS rule (min_train_n=60); rolling uses at most the most recent 120 completed pairs.", "warmup": { "min_train_n": 60, "rolling_window": 120, "note": "min_train_n counts COMPLETED pairs available at the cutoff, not raw calendar months of PAGO. Rolling window=120 with min 60: until 120 pairs exist, rolling uses all available (>=60), matching expanding until the 120th pair." }, "models": [ { "id": "B0", "name": "historical_mean_pago", "rule": "mean of training-set realized PAGO (same completed pairs as linear fits)" }, { "id": "B1", "name": "persistence_pago_t12", "rule": "predicted = PAGO_R(t-12); no fit" }, { "id": "B2", "name": "linear_pexp_t12", "rule": "OLS PAGO(u) ~ a + b*PEXP(u-12) on training pairs; apply to PEXP(t-12)" }, { "id": "B3", "name": "linear_pago_pexp_t12", "rule": "OLS PAGO(u) ~ a + b*PEXP(u-12) + c*PAGO(u-12); apply to origin features" }, { "id": "B_PAGO_FITTED", "name": "linear_pago_t12_only", "role": "independent-review fairness check (not an extra candidate)", "rule": "OLS PAGO(u) ~ a + d*PAGO(u-12) on the SAME training pairs as B3. Raw B1 vs fitted B3 confounds expectations with intercept/slope calibration." } ], "no_extra_predictors": true, "no_nonlinear_tuning": true, "metrics_predeclared": [ "n", "eval_start", "eval_end", "MAE", "RMSE", "bias_pred_minus_actual", "calibration_intercept_c0", "calibration_slope_c1", "mae_improvement_vs_B1", "rmse_improvement_vs_B1" ], "uncertainty_predeclared": { "not_iid_n": "Do not treat monthly n as iid. Horizon is 12 months; errors overlap.", "primary": "calendar-year blocks: yearly MAE/RMSE/bias and mean/sd/se of yearly MAE (and of yearly MAE differential vs B1)", "secondary": "Newey-West HAC SE on monthly MAE differential vs B1, Bartlett kernel, lag=12" }, "era_splits_predeclared": { "decision_splits": [ { "id": "pre_2000", "label": "pre-2000 (OOS start, not 1979)", "start": null, "end": "1999-12-01" }, { "id": "2000_2019", "label": "2000-2019", "start": "2000-01-01", "end": "2019-12-01" }, { "id": "2020_plus", "label": "2020+", "start": "2020-01-01", "end": null } ], "descriptive_only": [ { "id": "phone_pre_2024_04", "start": null, "end_exclusive": "2024-04-01" }, { "id": "transition_2024_04_06", "start": "2024-04-01", "end": "2024-06-01" }, { "id": "web_2024_07_plus", "start": "2024-07-01", "end": null } ], "era_label_audit": "Prior M1-D v1 labeled an era '1979-01..1999-12' with n=192, but OOS evaluation started 1984-01 (expanding min_train=60), so that slice was actually 1984-01..1999-12. This final benchmark labels it pre-2000 with the true OOS start date. Prior files preserved." }, "decision_rule_predeclared": { "menu": [ "KEEP", "MODIFY", "RETIRE" ], "applies_to": "headline asof_t12, expanding scheme, common eligible months; rolling is robustness", "KEEP": "Material AND stable OOS improvement for B2 or B3 vs B1 AND (for B3) vs B_PAGO_FITTED. Material: overall MAE reduction >= 1.0 PAGO point vs B1, and for B3 also >= 0.5 vs B_PAGO_FITTED. Stable: MAE vs B1 improves in at least 2 of 3 decision eras AND year-block mean(yearly dMAE vs B1) > 0 with mean >= year-block SE. Research KEEP only \u2014 still not production.", "MODIFY": "Some improvement vs B1 but fails materiality, fairness (gain is mostly calibrated persistence), or stability across eras / year-blocks.", "RETIRE": "Little consistent improvement vs B1 and vs B_PAGO_FITTED (overall dMAE vs B1 < 1.0 and no stable era pattern).", "not_validation": "Predictive increment is not subjective-disappointment construct validation. Do not use residual/PAGO correlation as a KEEP criterion. score_authorized(M1) stays false regardless of menu pick. No freeze. L1 unchanged.", "phone_web": "Descriptive only; n too small for decision splits; no opportunistic era fitting." }, "data_caveat": "Latest-revised Michigan SCA relative scores in the local archive. NOT a true vintage/real-time backtest. Release timing is not reconstructed: SCA monthly PAGO and PEXP are contemporaneous in the same survey; we treat the origin-month values as known at origin. Preliminary vs final SCA revisions and exact publication clocks are NOT modeled.", "no_tuning": "no political/phase/outcome labels used in train or eval" }, "data_inputs": { "a2_gap_monthly_csv": "/workspace/srp-observatory/data/m1/a2_gap_monthly.csv", "a2_sha256": "ae14d30de08d016c07e2940fd428c9d2321f263a476f9788dab365d50ab49471", "a229rx_yoy_monthly_csv": "/workspace/srp-observatory/data/m1/a229rx_yoy_monthly.csv", "yoy_sha256": "484c96b6025e8caaab5a21ce645e771b28aa4717007881434707949c2c74cf04", "n_eligible_months": 571, "eligible_start": "1979-01-01", "eligible_end": "2026-07-01", "pago_lag12": "constructed by calendar lag from the same pago_r column in a2_gap_monthly.csv", "vintage_caveat": "Latest-revised Michigan SCA relative scores in the local archive. NOT a true vintage/real-time backtest. Release timing is not reconstructed: SCA monthly PAGO and PEXP are contemporaneous in the same survey; we treat the origin-month values as known at origin. Preliminary vs final SCA revisions and exact publication clocks are NOT modeled.", "prior_files_preserved": [ "/workspace/srp-observatory/data/m1/m1d_summary.json", "/workspace/srp-observatory/data/m1/m1d_protocol.json", "/workspace/srp-observatory/data/m1/m1d_oos_predictions_expanding.csv", "/workspace/srp-observatory/data/m1/m1d_oos_predictions_rolling.csv" ] }, "integrity_checksum_vs_prior_m1d_v1": { "compared_to": "m1d_calibrated_miss_v1 expanding linear vs intercept baseline", "reproduced_leaky_B2_MAE": 10.73349325987118, "prior_B2_MAE": 10.73349325987118, "match_B2": true, "reproduced_leaky_B0_MAE": 15.58271478011313, "prior_B0_MAE": 15.58271478011313, "match_B0": true, "n": 511, "eval_start": "1984-01-01", "eval_end": "2026-07-01", "note": "Checksum that this run reused the exact prior series/transforms for the leaky protocol." }, "common_eval_asof_t12": { "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "expanding_dates_equal_rolling": true, "warmup": "first OOS is first eligible target with >=60 completed pairs whose outcome date <= origin t-12", "rolling": "window=120 completed pairs, min_train_n=60" }, "headline_asof_t12": { "expanding": { "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "overall": { "B0": { "model": "B0", "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "MAE": 15.952387486648787, "RMSE": 19.537413069802085, "bias_pred_minus_actual": -0.4547107092950306, "calibration_intercept_c0": 250.54961708100834, "calibration_slope_c1": -1.3385312997928374, "mae_improvement_vs_B1": -6.500387486648787, "rmse_improvement_vs_B1": -6.926148264081764 }, "B1": { "model": "B1", "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "MAE": 9.452, "RMSE": 12.611264805720321, "bias_pred_minus_actual": 1.204, "calibration_intercept_c0": 21.16390909186333, "calibration_slope_c1": 0.7940415722085437, "mae_improvement_vs_B1": 0.0, "rmse_improvement_vs_B1": 0.0 }, "B2": { "model": "B2", "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "MAE": 11.218277251417899, "RMSE": 13.964556585450753, "bias_pred_minus_actual": 1.5289316360721452, "calibration_intercept_c0": -2.724113737726057, "calibration_slope_c1": 1.0109721272732848, "mae_improvement_vs_B1": -1.7662772514178986, "rmse_improvement_vs_B1": -1.3532917797304318, "mean_slope_b": 1.038668104323077, "frac_slope_b_positive": 1.0 }, "B3": { "model": "B3", "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "MAE": 9.786811329737084, "RMSE": 12.644367520175377, "bias_pred_minus_actual": 1.7012457616120649, "calibration_intercept_c0": -0.5661829843876518, "calibration_slope_c1": 0.9895962436606404, "mae_improvement_vs_B1": -0.33481132973708405, "rmse_improvement_vs_B1": -0.033102714455056415, "mae_improvement_vs_B_PAGO_FITTED": -0.07647835043941775, "rmse_improvement_vs_B_PAGO_FITTED": 0.04029701561967336 }, "B_PAGO_FITTED": { "model": "B_PAGO_FITTED", "n": 500, "eval_start": "1984-12-01", "eval_end": "2026-07-01", "MAE": 9.710332979297666, "RMSE": 12.68466453579505, "bias_pred_minus_actual": 0.7114178436177302, "calibration_intercept_c0": 0.4845763081001877, "calibration_slope_c1": 0.9889373927789209, "mae_improvement_vs_B1": -0.2583329792976663, "rmse_improvement_vs_B1": -0.07339973007472977 } }, "decision_eras": { "pre_2000": { "n": 181, "eval_start": "1984-12-01", "eval_end": "1999-12-01", "models": { "B0": { "model": "B0", "n": 181, "eval_start": "1984-12-01", "eval_end": "1999-12-01", "MAE": 13.928710673064609, "RMSE": 15.902175066084641, "bias_pred_minus_actual": -10.979086071909288, "calibration_intercept_c0": 125.58841778711431, "calibration_slope_c1": -0.10003844976242224, "mae_improvement_vs_B1": -7.298876418920963, "rmse_improvement_vs_B1": -7.398032429172307 }, "B1": { "model": "B1", "n": 181, "eval_start": "1984-12-01", "eval_end": "1999-12-01", "MAE": 6.629834254143646, "RMSE": 8.504142636912334, "bias_pred_minus_actual": -0.7734806629834254, "calibration_intercept_c0": 32.24269945193083, "calibration_slope_c1": 0.7249008161893514, "mae_improvement_vs_B1": 0.0, "rmse_improvement_vs_B1": 0.0 }, "B2": { "model": "B2", "n": 181, "eval_start": "1984-12-01", "eval_end": "1999-12-01", "MAE": 7.766810382876663, "RMSE": 9.651623842767728, "bias_pred_minus_actual": -1.2971454431566551, "calibration_intercept_c0": 25.36823009022038, "calibration_slope_c1": 0.7886064765904159, "mae_improvement_vs_B1": -1.136976128733017, "rmse_improvement_vs_B1": -1.147481205855394, "mean_slope_b": 1.0210897556428384, "frac_slope_b_positive": 1.0 }, "B3": { "model": "B3", "n": 181, "eval_start": "1984-12-01", "eval_end": "1999-12-01", "MAE": 7.215566155557413, "RMSE": 9.16530056697173, "bias_pred_minus_actual": -1.2945062105452931, "calibration_intercept_c0": 20.462826853927055, "calibration_slope_c1": 0.8316667079149748, "mae_improvement_vs_B1": -0.5857319014137667, "rmse_improvement_vs_B1": -0.6611579300593959, "mae_improvement_vs_B_PAGO_FITTED": 0.5539198562125103, "rmse_improvement_vs_B_PAGO_FITTED": 0.3874648620376693 }, "B_PAGO_FITTED": { "model": "B_PAGO_FITTED", "n": 181, "eval_start": "1984-12-01", "eval_end": "1999-12-01", "MAE": 7.769486011769923, "RMSE": 9.5527654290094, "bias_pred_minus_actual": -3.9466726151011233, "calibration_intercept_c0": 24.098932016140154, "calibration_slope_c1": 0.8188057244702492, "mae_improvement_vs_B1": -1.139651757626277, "rmse_improvement_vs_B1": -1.0486227920970652 } } }, "2000_2019": { "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "models": { "B0": { "model": "B0", "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "MAE": 16.10716590638605, "RMSE": 20.417089249741675, "bias_pred_minus_actual": 2.1119793074681246, "calibration_intercept_c0": 359.9282448405403, "calibration_slope_c1": -2.3310358467486805, "mae_improvement_vs_B1": -6.202999239719384, "rmse_improvement_vs_B1": -7.385237245261779 }, "B1": { "model": "B1", "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "MAE": 9.904166666666667, "RMSE": 13.031852004479896, "bias_pred_minus_actual": 0.0375, "calibration_intercept_c0": 23.30972030344651, "calibration_slope_c1": 0.7810086030864438, "mae_improvement_vs_B1": 0.0, "rmse_improvement_vs_B1": 0.0 }, "B2": { "model": "B2", "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "MAE": 13.631143414523102, "RMSE": 16.308157341360726, "bias_pred_minus_actual": 1.749222114013835, "calibration_intercept_c0": 5.970394358743306, "calibration_slope_c1": 0.9287360082343166, "mae_improvement_vs_B1": -3.726976747856435, "rmse_improvement_vs_B1": -3.2763053368808297, "mean_slope_b": 1.0277981221214123, "frac_slope_b_positive": 1.0 }, "B3": { "model": "B3", "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "MAE": 10.637808921163128, "RMSE": 13.563839123539859, "bias_pred_minus_actual": 1.4624794030280823, "calibration_intercept_c0": 1.8425779228533088, "calibration_slope_c1": 0.969408233659802, "mae_improvement_vs_B1": -0.7336422544964609, "rmse_improvement_vs_B1": -0.5319871190599628, "mae_improvement_vs_B_PAGO_FITTED": -1.0904858266381918, "rmse_improvement_vs_B_PAGO_FITTED": -0.7493249005209268 }, "B_PAGO_FITTED": { "model": "B_PAGO_FITTED", "n": 240, "eval_start": "2000-01-01", "eval_end": "2019-12-01", "MAE": 9.547323094524936, "RMSE": 12.814514223018932, "bias_pred_minus_actual": 0.7630829602022775, "calibration_intercept_c0": 2.089304833470649, "calibration_slope_c1": 0.9734261343690058, "mae_improvement_vs_B1": 0.3568435721417309, "rmse_improvement_vs_B1": 0.21733778146096405 } } }, "2020_plus": { "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "models": { "B0": { "model": "B0", "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "MAE": 20.118699923633518, "RMSE": 23.876877381210463, "bias_pred_minus_actual": 15.860559374376148, "calibration_intercept_c0": -1700.5095846302886, "calibration_slope_c1": 16.602288353858555, "mae_improvement_vs_B1": -5.574396126165164, "rmse_improvement_vs_B1": -5.8498231697120175 }, "B1": { "model": "B1", "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "MAE": 14.544303797468354, "RMSE": 18.027054211498445, "bias_pred_minus_actual": 9.278481012658228, "calibration_intercept_c0": 30.435249526216055, "calibration_slope_c1": 0.6083165152845109, "mae_improvement_vs_B1": 0.0, "rmse_improvement_vs_B1": 0.0 }, "B2": { "model": "B2", "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "MAE": 11.795842112945921, "RMSE": 14.588939697365594, "bias_pred_minus_actual": 7.3346308339760355, "calibration_intercept_c0": 4.154171532325009, "calibration_slope_c1": 0.8844749189203243, "mae_improvement_vs_B1": 2.7484616845224323, "rmse_improvement_vs_B1": 3.4381145141328506, "mean_slope_b": 1.1119652795069082, "frac_slope_b_positive": 1.0 }, "B3": { "model": "B3", "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "MAE": 13.092582906753158, "RMSE": 16.14054742636541, "bias_pred_minus_actual": 9.290296812506211, "calibration_intercept_c0": 13.582137918916345, "calibration_slope_c1": 0.7744429715377186, "mae_improvement_vs_B1": 1.4517208907151957, "rmse_improvement_vs_B1": 1.8865067851330366, "mae_improvement_vs_B_PAGO_FITTED": 1.559720622772062, "rmse_improvement_vs_B_PAGO_FITTED": 1.4778825812462237 }, "B_PAGO_FITTED": { "model": "B_PAGO_FITTED", "n": 79, "eval_start": "2020-01-01", "eval_end": "2026-07-01", "MAE": 14.65230352952522, "RMSE": 17.618430007611632, "bias_pred_minus_actual": 11.226794363210404, "calibration_intercept_c0": 10.332014409393011, "calibration_slope_c1": 0.7913812763883841, "mae_improvement_vs_B1": -0.1079997320568662, "rmse_improvement_vs_B1": 0.40862420388681286 } } } }, "descriptive_mode_eras": { "phone_pre_2024_04": { "n": 472, "eval_start": "1984-12-01", "eval_end": "2024-03-01", "role": "descriptive_only", "models": { "B0": { "model": "B0", "n": 472, "eval_start": "1984-12-01", "eval_end": "2024-03-01", "MAE": 15.068084327166336, "RMSE": 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monthly loss differential; still not a license to treat n as iid." }, "dMAE_monthly_FIT_minus_B3": { "n_months": 511, "mean": 0.05246286801557178, "se_nw_lag12": 0.35444851613960776, "t_stat_not_iid": 0.14801266087091774, "note": "HAC SE on monthly loss differential; still not a license to treat n as iid." }, "dMAE_monthly_B1_minus_B0": { "n_months": 511, "mean": -7.332251972591421, "se_nw_lag12": 1.5954943610040582, "t_stat_not_iid": -4.595598801099599, "note": "HAC SE on monthly loss differential; still not a license to treat n as iid." }, "dMAE_monthly_FIT_minus_B2": { "n_months": 511, "mean": -1.2211298172249017, "se_nw_lag12": 0.5577520321757327, "t_stat_not_iid": -2.1893776208423685, "note": "HAC SE on monthly loss differential; still not a license to treat n as iid." } } } }, "era_label_audit": "Prior M1-D v1 labeled an era '1979-01..1999-12' with n=192, but OOS evaluation started 1984-01 (expanding min_train=60), so that slice was actually 1984-01..1999-12. This final benchmark labels it pre-2000 with the true OOS start date. Prior files preserved.", "recommendation_status": { "menu": "RETIRE", "note": "Little consistent improvement vs raw persistence B1 (overall dMAE < 1.0 PAGO point) on the headline as-of t-12 protocol.", "still_research_only": true, "production_formula": false, "score_authorized_m1": false, "formula_freeze": false, "l1_unchanged": true, "not_construct_validation": true, "headline_dMAE": { "B1_minus_B0": -6.500387486648787, "B1_minus_B2": -1.7662772514178986, "B1_minus_B3": -0.33481132973708405, "B_PAGO_FITTED_minus_B2": -1.5079442721202323, "B_PAGO_FITTED_minus_B3": -0.07647835043941775 }, "era_sign_vs_B1": { "pre_2000": { "n": 181, "B2": false, "B3": false, "dMAE_B2": -1.136976128733017, "dMAE_B3": -0.5857319014137667 }, "2000_2019": { "n": 240, "B2": false, "B3": false, "dMAE_B2": -3.726976747856435, "dMAE_B3": -0.7336422544964609 }, "2020_plus": { "n": 79, "B2": true, "B3": true, "dMAE_B2": 2.7484616845224323, "dMAE_B3": 1.4517208907151957 } }, "year_block_ok": { "B2": false, "B3": false, "B3_vs_fitted": false }, "material_flags": { "B2": false, "B3": false, "B2_stable": false, "B3_stable": false } }, "gates": { "score_authorized_m1": false, "formula_freeze": false, "l1_unchanged": true } }