DynamicFactorMQResults.get_coefficients_of_determination(method='individual', which=None)[source]

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

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.

rsquaredpd.DataFrame or pd.Series

The R-squared values from regressions of observed variables on one or more of the factors. If method=’individual’ or method=’cumulative’, this will be a Pandas DataFrame with observed variables as the index and factors as the columns . If method=’joint’, will be a Pandas Series with observed variables as the index.

Last update: Dec 14, 2023