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.

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_labelsbool, 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.

figFigure, 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().

figsizetuple, optional

If a figure is created, this argument allows specifying a size. The tuple is (width, height).


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

Last update: Dec 14, 2023