statsmodels.tsa.statespace.dynamic_factor.DynamicFactor

class statsmodels.tsa.statespace.dynamic_factor.DynamicFactor(endog, k_factors, factor_order, exog=None, error_order=0, error_var=False, error_cov_type='diagonal', enforce_stationarity=True, **kwargs)[source]

Dynamic factor model

Parameters
endogarray_like

The observed time-series process \(y\)

exogarray_like, optional

Array of exogenous regressors for the observation equation, shaped nobs x k_exog.

k_factorsint

The number of unobserved factors.

factor_orderint

The order of the vector autoregression followed by the factors.

error_cov_type{‘scalar’, ‘diagonal’, ‘unstructured’}, optional

The structure of the covariance matrix of the observation error term, where “unstructured” puts no restrictions on the matrix, “diagonal” requires it to be any diagonal matrix (uncorrelated errors), and “scalar” requires it to be a scalar times the identity matrix. Default is “diagonal”.

error_orderint, optional

The order of the vector autoregression followed by the observation error component. Default is None, corresponding to white noise errors.

error_varbool, optional

Whether or not to model the errors jointly via a vector autoregression, rather than as individual autoregressions. Has no effect unless error_order is set. Default is False.

enforce_stationaritybool, optional

Whether or not to transform the AR parameters to enforce stationarity in the autoregressive component of the model. Default is True.

**kwargs

Keyword arguments may be used to provide default values for state space matrices or for Kalman filtering options. See Representation, and KalmanFilter for more details.

Notes

The dynamic factor model considered here is in the so-called static form, and is specified:

\[\begin{split}y_t & = \Lambda f_t + B x_t + u_t \\ f_t & = A_1 f_{t-1} + \dots + A_p f_{t-p} + \eta_t \\ u_t & = C_1 u_{t-1} + \dots + C_q u_{t-q} + \varepsilon_t\end{split}\]

where there are k_endog observed series and k_factors unobserved factors. Thus \(y_t\) is a k_endog x 1 vector and \(f_t\) is a k_factors x 1 vector.

\(x_t\) are optional exogenous vectors, shaped k_exog x 1.

\(\eta_t\) and \(\varepsilon_t\) are white noise error terms. In order to identify the factors, \(Var(\eta_t) = I\). Denote \(Var(\varepsilon_t) \equiv \Sigma\).

Options related to the unobserved factors:

  • k_factors: this is the dimension of the vector \(f_t\), above. To exclude factors completely, set k_factors = 0.

  • factor_order: this is the number of lags to include in the factor evolution equation, and corresponds to \(p\), above. To have static factors, set factor_order = 0.

Options related to the observation error term \(u_t\):

  • error_order: the number of lags to include in the error evolution equation; corresponds to \(q\), above. To have white noise errors, set error_order = 0 (this is the default).

  • error_cov_type: this controls the form of the covariance matrix \(\Sigma\). If it is “dscalar”, then \(\Sigma = \sigma^2 I\). If it is “diagonal”, then \(\Sigma = \text{diag}(\sigma_1^2, \dots, \sigma_n^2)\). If it is “unstructured”, then \(\Sigma\) is any valid variance / covariance matrix (i.e. symmetric and positive definite).

  • error_var: this controls whether or not the errors evolve jointly according to a VAR(q), or individually according to separate AR(q) processes. In terms of the formulation above, if error_var = False, then the matrices :math:C_i` are diagonal, otherwise they are general VAR matrices.

References

*

Lütkepohl, Helmut. 2007. New Introduction to Multiple Time Series Analysis. Berlin: Springer.

Attributes
exogarray_like, optional

Array of exogenous regressors for the observation equation, shaped nobs x k_exog.

k_factorsint

The number of unobserved factors.

factor_orderint

The order of the vector autoregression followed by the factors.

error_cov_type{‘diagonal’, ‘unstructured’}

The structure of the covariance matrix of the error term, where “unstructured” puts no restrictions on the matrix and “diagonal” requires it to be a diagonal matrix (uncorrelated errors).

error_orderint

The order of the vector autoregression followed by the observation error component.

error_varbool

Whether or not to model the errors jointly via a vector autoregression, rather than as individual autoregressions. Has no effect unless error_order is set.

enforce_stationaritybool, optional

Whether or not to transform the AR parameters to enforce stationarity in the autoregressive component of the model. Default is True.

Methods

clone(endog[, exog])

Clone state space model with new data and optionally new specification

filter(params[, transformed, ...])

Kalman filtering

fit([start_params, transformed, ...])

Fits the model by maximum likelihood via Kalman filter.

fit_constrained(constraints[, start_params])

Fit the model with some parameters subject to equality constraints.

fix_params(params)

Fix parameters to specific values (context manager)

from_formula(formula, data[, subset])

Not implemented for state space models

handle_params(params[, transformed, ...])

Ensure model parameters satisfy shape and other requirements

hessian(params, *args, **kwargs)

Hessian matrix of the likelihood function, evaluated at the given parameters

impulse_responses(params[, steps, impulse, ...])

Impulse response function

information(params)

Fisher information matrix of model.

initialize()

Initialize (possibly re-initialize) a Model instance.

initialize_approximate_diffuse([variance])

Initialize approximate diffuse

initialize_known(initial_state, ...)

Initialize known

initialize_statespace(**kwargs)

Initialize the state space representation

initialize_stationary()

Initialize stationary

loglike(params, *args, **kwargs)

Loglikelihood evaluation

loglikeobs(params[, transformed, ...])

Loglikelihood evaluation

observed_information_matrix(params[, ...])

Observed information matrix

opg_information_matrix(params[, ...])

Outer product of gradients information matrix

predict(params[, exog])

After a model has been fit predict returns the fitted values.

prepare_data()

Prepare data for use in the state space representation

score(params, *args, **kwargs)

Compute the score function at params.

score_obs(params[, method, transformed, ...])

Compute the score per observation, evaluated at params

set_conserve_memory([conserve_memory])

Set the memory conservation method

set_filter_method([filter_method])

Set the filtering method

set_inversion_method([inversion_method])

Set the inversion method

set_smoother_output([smoother_output])

Set the smoother output

set_stability_method([stability_method])

Set the numerical stability method

simulate(params, nsimulations[, ...])

Simulate a new time series following the state space model

simulation_smoother([simulation_output])

Retrieve a simulation smoother for the state space model.

smooth(params[, transformed, ...])

Kalman smoothing

transform_jacobian(unconstrained[, ...])

Jacobian matrix for the parameter transformation function

transform_params(unconstrained)

Transform unconstrained parameters used by the optimizer to constrained parameters used in likelihood evaluation

untransform_params(constrained)

Transform constrained parameters used in likelihood evaluation to unconstrained parameters used by the optimizer.

update(params[, transformed, ...])

Update the parameters of the model

Properties

endog_names

Names of endogenous variables.

exog_names

The names of the exogenous variables.

initial_variance

initialization

loglikelihood_burn

param_names

(list of str) List of human readable parameter names (for parameters actually included in the model).

start_params

(array) Starting parameters for maximum likelihood estimation.

state_names

(list of str) List of human readable names for unobserved states.

tolerance