DynamicFactorMQ.clone(endog, k_endog_monthly=None, endog_quarterly=None, retain_standardization=False, **kwargs)[source]

Clone state space model with new data and optionally new specification.


The observed time-series process \(y\)

k_endog_monthlyint, optional

If specifying a monthly/quarterly mixed frequency model in which the provided endog dataset contains both the monthly and quarterly data, this variable should be used to indicate how many of the variables are monthly.

endog_quarterlyarray_like, optional

Observations of quarterly variables. If provided, must be a Pandas Series or DataFrame with a DatetimeIndex or PeriodIndex at the quarterly frequency.


Keyword arguments to pass to the new model class to change the model specification.

modelDynamicFactorMQ instance

Last update: May 14, 2024