statsmodels.tsa.statespace.structural.UnobservedComponentsResults

class statsmodels.tsa.statespace.structural.UnobservedComponentsResults(model, params, filter_results, cov_type='opg', **kwargs)[source]

Class to hold results from fitting an unobserved components model.

Parameters
modelUnobservedComponents instance

The fitted model instance

Attributes
specificationdictionary

Dictionary including all attributes from the unobserved components model instance.

Methods

aic()

(float) Akaike Information Criterion

bic()

(float) Bayes Information Criterion

bse()

The standard errors of the parameter estimates.

conf_int([alpha, cols, method])

Returns the confidence interval of the fitted parameters.

cov_params([r_matrix, column, scale, cov_p, …])

Returns the variance/covariance matrix.

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.

f_test(r_matrix[, cov_p, scale, invcov])

Compute the F-test for a joint linear hypothesis.

fittedvalues()

(array) The predicted values of the model.

forecast([steps])

Out-of-sample forecasts

get_forecast([steps])

Out-of-sample forecasts

get_prediction([start, end, dynamic, index, …])

In-sample prediction and out-of-sample forecasting

hqic()

(float) Hannan-Quinn Information Criterion

impulse_responses([steps, impulse, …])

Impulse response function

info_criteria(criteria[, method])

Information criteria

initialize(model, params, **kwd)

Initialize (possibly re-initialize) a Results instance.

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.

load(fname)

load a pickle, (class method)

loglikelihood_burn()

(float) The number of observations during which the likelihood is not evaluated.

normalized_cov_params()

See specific model class docstring

plot_components([which, alpha, observed, …])

Plot the estimated components of the model.

plot_diagnostics([variable, lags, fig, figsize])

Diagnostic plots for standardized residuals of one endogenous variable

predict([start, end, dynamic])

In-sample prediction and out-of-sample forecasting

pvalues()

(array) The p-values associated with the z-statistics of the coefficients.

remove_data()

remove data arrays, all nobs arrays from result and model

resid()

(array) The model residuals.

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])

Summarize the Model

t_test(r_matrix[, cov_p, scale, 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[, lags])

Ljung-box test for no serial correlation of standardized residuals

tvalues()

Return the t-statistic for a given parameter estimate.

wald_test(r_matrix[, cov_p, scale, invcov, …])

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

zvalues()

(array) The z-statistics for the coefficients.