statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults

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

Class to hold results from fitting an DynamicFactor model.

Parameters
modelDynamicFactor instance

The fitted model instance

Attributes
specificationdictionary

Dictionary including all attributes from the DynamicFactor model instance.

coefficient_matrices_varndarray

Array containing autoregressive lag polynomial coefficient matrices, ordered from lowest degree to highest.

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, fit_kwargs])

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

f_test(r_matrix[, cov_p, invcov])

Compute the F-test for a joint linear hypothesis.

forecast([steps])

Out-of-sample forecasts

get_forecast([steps])

Out-of-sample forecasts and prediction intervals

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

news(comparison[, impact_date, ...])

Compute impacts from updated data (news and revisions)

normalized_cov_params()

See specific model class docstring

plot_coefficients_of_determination([...])

Plot the coefficients of determination

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

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, separate_params])

Summarize the Model

t_test(r_matrix[, cov_p, 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[, df_adjust, ...])

Ljung-Box test for no serial correlation of standardized residuals

wald_test(r_matrix[, cov_p, invcov, use_f, ...])

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

aicc

(float) Akaike Information Criterion with small sample correction

bic

(float) Bayes Information Criterion

bse

The standard errors of the parameter estimates.

coefficients_of_determination

Coefficients of determination (\(R^2\)) from regressions of individual estimated factors on endogenous variables.

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.

factors

Estimates of unobserved factors

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.

mae

(float) Mean absolute error

mse

(float) Mean squared error

pvalues

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

resid

(array) The model residuals.

sse

(float) Sum of squared errors

states

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.