statsmodels.tsa.statespace.sarimax.SARIMAXResults

class statsmodels.tsa.statespace.sarimax.SARIMAXResults(model, params, filter_results, cov_type=None, **kwargs)[source]

Class to hold results from fitting an SARIMAX model.

Parameters
modelSARIMAX instance

The fitted model instance

Attributes
specificationdictionary

Dictionary including all attributes from the SARIMAX model instance.

polynomial_ararray

Array containing autoregressive lag polynomial coefficients, ordered from lowest degree to highest. Initialized with ones, unless a coefficient is constrained to be zero (in which case it is zero).

polynomial_maarray

Array containing moving average lag polynomial coefficients, ordered from lowest degree to highest. Initialized with ones, unless a coefficient is constrained to be zero (in which case it is zero).

polynomial_seasonal_ararray

Array containing seasonal autoregressive lag polynomial coefficients, ordered from lowest degree to highest. Initialized with ones, unless a coefficient is constrained to be zero (in which case it is zero).

polynomial_seasonal_maarray

Array containing seasonal moving average lag polynomial coefficients, ordered from lowest degree to highest. Initialized with ones, unless a coefficient is constrained to be zero (in which case it is zero).

polynomial_trendarray

Array containing trend polynomial coefficients, ordered from lowest degree to highest. Initialized with ones, unless a coefficient is constrained to be zero (in which case it is zero).

model_orderslist of int

The orders of each of the polynomials in the model.

param_termslist of str

List of parameters actually included in the model, in sorted order.

Methods

append(endog[, exog, refit, fit_kwargs])

Recreate the results object with new data appended to the original data

apply(endog[, exog, refit, fit_kwargs])

Apply the fitted parameters to new data unrelated to the original data

conf_int([alpha, cols])

Construct confidence interval for the fitted parameters.

cov_params([r_matrix, column, scale, cov_p, …])

Compute the variance/covariance matrix.

extend(endog[, exog])

Recreate the results object for new data that extends the original data

f_test(r_matrix[, cov_p, scale, invcov])

Compute the F-test for a joint linear hypothesis.

forecast([steps])

Out-of-sample forecasts

get_forecast([steps])

Out-of-sample forecasts

get_prediction([start, end, dynamic, index, …])

In-sample prediction and out-of-sample forecasting

impulse_responses([steps, impulse, …])

Impulse response function

info_criteria(criteria[, method])

Information criteria

initialize(model, params, **kwargs)

Initialize (possibly re-initialize) a Results instance.

load(fname)

Load a pickled results instance

normalized_cov_params()

See specific model class docstring

plot_diagnostics([variable, lags, fig, figsize])

Diagnostic plots for standardized residuals of one endogenous variable

predict([start, end, dynamic])

In-sample prediction and out-of-sample forecasting

remove_data()

Remove data arrays, all nobs arrays from result and model.

save(fname[, remove_data])

Save a pickle of this instance.

simulate(nsimulations[, measurement_shocks, …])

Simulate a new time series following the state space model

summary([alpha, start])

Summarize the Model

t_test(r_matrix[, cov_p, scale, use_t])

Compute a t-test for a each linear hypothesis of the form Rb = q.

t_test_pairwise(term_name[, method, alpha, …])

Perform pairwise t_test with multiple testing corrected p-values.

test_heteroskedasticity(method[, …])

Test for heteroskedasticity of standardized residuals

test_normality(method)

Test for normality of standardized residuals.

test_serial_correlation(method[, lags])

Ljung-box test for no serial correlation of standardized residuals

wald_test(r_matrix[, cov_p, scale, invcov, …])

Compute a Wald-test for a joint linear hypothesis.

wald_test_terms([skip_single, …])

Compute a sequence of Wald tests for terms over multiple columns.

Properties

aic

(float) Akaike Information Criterion

arfreq

(array) Frequency of the roots of the reduced form autoregressive lag polynomial

arparams

(array) Autoregressive parameters actually estimated in the model.

arroots

(array) Roots of the reduced form autoregressive lag polynomial

bic

(float) Bayes Information Criterion

bse

The standard errors of the parameter estimates.

cov_params_approx

(array) The variance / covariance matrix.

cov_params_oim

(array) The variance / covariance matrix.

cov_params_opg

(array) The variance / covariance matrix.

cov_params_robust

(array) The QMLE variance / covariance matrix.

cov_params_robust_approx

(array) The QMLE variance / covariance matrix.

cov_params_robust_oim

(array) The QMLE variance / covariance matrix.

fittedvalues

(array) The predicted values of the model.

hqic

(float) Hannan-Quinn Information Criterion

llf

(float) The value of the log-likelihood function evaluated at params.

llf_obs

(float) The value of the log-likelihood function evaluated at params.

loglikelihood_burn

(float) The number of observations during which the likelihood is not evaluated.

mafreq

(array) Frequency of the roots of the reduced form moving average lag polynomial

maparams

(array) Moving average parameters actually estimated in the model.

maroots

(array) Roots of the reduced form moving average lag polynomial

pvalues

(array) The p-values associated with the z-statistics of the coefficients.

resid

(array) The model residuals.

seasonalarparams

(array) Seasonal autoregressive parameters actually estimated in the model.

seasonalmaparams

(array) Seasonal moving average parameters actually estimated in the model.

tvalues

Return the t-statistic for a given parameter estimate.

use_t

Flag indicating to use the Student’s distribution in inference.

zvalues

(array) The z-statistics for the coefficients.