statsmodels.multivariate.factor.FactorResults.factor_score_params

method

FactorResults.factor_score_params(method='bartlett')

Compute factor scoring coefficient matrix

The coefficient matrix is not cached.

Parameters

method‘bartlett’ or ‘regression’

Method to use for factor scoring. ‘regression’ can be abbreviated to reg

Returns

coeff_matrixndarray

matrix s to compute factors f from a standardized endog ys. f = ys dot s

See also

statsmodels.multivariate.factor.FactorResults.factor_scoring

Notes

The regression method follows the Stata definition. Method bartlett and regression are verified against Stats. Two unofficial methods, ‘ols’ and ‘gls’, produce similar factor scores but are not verified.