class statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults(model, params, filter_results, cov_type='opg', **kwargs)
[source]
Class to hold results from fitting an DynamicFactor model.
Parameters: | model (DynamicFactor instance) – The fitted model instance |
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specification
dictionary – Dictionary including all attributes from the DynamicFactor model instance.
coefficient_matrices_var
array – Array containing autoregressive lag polynomial coefficient matrices, ordered from lowest degree to highest.
See also
statsmodels.tsa.statespace.kalman_filter.FilterResults
, statsmodels.tsa.statespace.mlemodel.MLEResults
aic () | (float) Akaike Information Criterion |
bic () | (float) Bayes Information Criterion |
bse () | |
coefficients_of_determination () | Coefficients of determination (\(R^2\)) from regressions of individual estimated factors on endogenous variables. |
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) | |
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 () | |
plot_coefficients_of_determination ([…]) | Plot the coefficients of determination |
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, separate_params]) | 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. |
factors | Estimates of unobserved factors :returns: out – Has the following attributes: |
use_t |
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.html