compute factor scoring coefficient matrix

The coefficient matrix is not cached.

Parameters:method ('bartlett' or 'regression') – Method to use for factor scoring. ‘regression’ can be abbreviated to reg
Returns:coeff_matrix – matrix s to compute factors f from a standardized endog ys. f = ys dot s
Return type:ndarray


The regression method follows the Stata definition. Method bartlett and regression are verified against Stats. Two inofficial methods, ‘ols’ and ‘gls’, produce similar factor scores but are not verified.

See also

factor_scoring : compute factor scores using scoring matrix