statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQResults.plot_coefficients_of_determination¶

DynamicFactorMQResults.plot_coefficients_of_determination(method='individual', which=None, endog_labels=None, fig=None, figsize=None)[source]¶

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

Parameters:¶

method : {'individual', 'joint', 'cumulative'}, optional¶: The type of R-squared values to generate. “individual” plots the R-squared of each variable on each factor; “joint” plots the R-squared of each variable on each factor that it loads on; “cumulative” plots the successive R-squared values as each additional factor is added to the regression, for each variable. Default is ‘individual’.
which : {None, 'filtered', 'smoothed'}, optional¶: Whether to compute R-squared values based on filtered or smoothed estimates of the factors. Default is ‘smoothed’ if smoothed results are available and ‘filtered’ otherwise.
endog_labels : bool, optional¶: Whether or not to label the endogenous variables along the x-axis of the plots. Default is to include labels if there are 5 or fewer endogenous variables.
fig : Figure, optional¶: If given, subplots are created in this figure instead of in a new figure. Note that the grid will be created in the provided figure using fig.add_subplot().
figsize : tuple, optional¶: If a figure is created, this argument allows specifying a size. The tuple is (width, height).

Notes

The endogenous variables are arranged along the x-axis according to their position in the model’s endog array.