statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQResults.coefficients_of_determination#

DynamicFactorMQResults.coefficients_of_determination[source]#

Individual coefficients of determination (\(R^2\))

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

Returns:

coefficients_of_determinationndarray: A k_endog x k_factors array, where coefficients_of_determination[i, j] represents the \(R^2\) value from a regression of factor j and a constant on endogenous variable i.