statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQResults

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

Results from fitting a dynamic factor model

Attributes
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

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

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

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.

Although it can be difficult to interpret the estimated factor loadings and factors, it is often helpful to use the coefficients of determination from univariate regressions to assess the importance of each factor in explaining the variation in each endogenous variable.

In models with many variables and factors, this can sometimes lend interpretation to the factors (for example sometimes one factor will load primarily on real variables and another on nominal variables).

get_coefficients_of_determination plot_coefficients_of_determination

cov_params_approx

(array) The variance / covariance matrix. Computed using the numerical Hessian approximated by complex step or finite differences methods.

cov_params_oim

(array) The variance / covariance matrix. Computed using the method from Harvey (1989).

cov_params_opg

(array) The variance / covariance matrix. Computed using the outer product of gradients method.

cov_params_robust

(array) The QMLE variance / covariance matrix. Alias for cov_params_robust_oim

cov_params_robust_approx

(array) The QMLE variance / covariance matrix. Computed using the numerical Hessian as the evaluated hessian.

cov_params_robust_oim

(array) The QMLE variance / covariance matrix. Computed using the method from Harvey (1989) as the evaluated hessian.

factors

Estimates of unobserved factors.

fittedvalues

(array) The predicted values of the model. An (nobs x k_endog) array.

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. Note that the coefficients are assumed to have a Normal distribution.

resid

(array) The model residuals. An (nobs x k_endog) array.

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.

Methods

append(endog[, endog_quarterly, refit, ...])

Recreate the results object with new data appended to original data.

apply(endog[, k_endog_monthly, ...])

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[, endog_quarterly, fit_kwargs, ...])

Recreate the results object for new data that extends 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_coefficients_of_determination([method, ...])

Get coefficients of determination (R-squared) for variables / factors.

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([method, ...])

Plot coefficients of determination (R-squared) for variables / factors.

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, title, model_name, ...])

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

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

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.