statsmodels.tsa.ar_model.AutoReg¶

class statsmodels.tsa.ar_model.AutoReg(endog, lags, trend='c', seasonal=False, exog=None, hold_back=None, period=None, missing='none', *, deterministic=None, old_names=None)[source]¶

Autoregressive AR-X(p) model.

Estimate an AR-X model using Conditional Maximum Likelihood (OLS).

Parameters

endogarray_like

A 1-d endogenous response variable. The dependent variable.

lags{int, list[int]}

The number of lags to include in the model if an integer or the list of lag indices to include. For example, [1, 4] will only include lags 1 and 4 while lags=4 will include lags 1, 2, 3, and 4.

trend{‘n’, ‘c’, ‘t’, ‘ct’}

The trend to include in the model:

‘n’ - No trend.
‘c’ - Constant only.
‘t’ - Time trend only.
‘ct’ - Constant and time trend.

seasonalbool

Flag indicating whether to include seasonal dummies in the model. If seasonal is True and trend includes ‘c’, then the first period is excluded from the seasonal terms.

exogarray_like, optional

Exogenous variables to include in the model. Must have the same number of observations as endog and should be aligned so that endog[i] is regressed on exog[i].

hold_back{None, int}

Initial observations to exclude from the estimation sample. If None, then hold_back is equal to the maximum lag in the model. Set to a non-zero value to produce comparable models with different lag length. For example, to compare the fit of a model with lags=3 and lags=1, set hold_back=3 which ensures that both models are estimated using observations 3,…,nobs. hold_back must be >= the maximum lag in the model.

period{None, int}

The period of the data. Only used if seasonal is True. This parameter can be omitted if using a pandas object for endog that contains a recognized frequency.

missingstr

Available options are ‘none’, ‘drop’, and ‘raise’. If ‘none’, no nan checking is done. If ‘drop’, any observations with nans are dropped. If ‘raise’, an error is raised. Default is ‘none’.

deterministicDeterministicProcess

A deterministic process. If provided, trend and seasonal are ignored. A warning is raised if trend is not “n” and seasonal is not False.

old_namesbool

Flag indicating whether to use the v0.11 names or the v0.12+ names. After v0.12 is released, the default names will change to the new names.

See also

statsmodels.tsa.statespace.sarimax.SARIMAX: Estimation of SARIMAX models using exact likelihood and the Kalman Filter.

Examples

>>> import statsmodels.api as sm
>>> from statsmodels.tsa.ar_model import AutoReg
>>> data = sm.datasets.sunspots.load_pandas().data['SUNACTIVITY']
>>> out = 'AIC: {0:0.3f}, HQIC: {1:0.3f}, BIC: {2:0.3f}'

Start by fitting an unrestricted Seasonal AR model

>>> res = AutoReg(data, lags = [1, 11, 12]).fit()
>>> print(out.format(res.aic, res.hqic, res.bic))
AIC: 5.945, HQIC: 5.970, BIC: 6.007

An alternative used seasonal dummies

>>> res = AutoReg(data, lags=1, seasonal=True, period=11).fit()
>>> print(out.format(res.aic, res.hqic, res.bic))
AIC: 6.017, HQIC: 6.080, BIC: 6.175

Finally, both the seasonal AR structure and dummies can be included

>>> res = AutoReg(data, lags=[1, 11, 12], seasonal=True, period=11).fit()
>>> print(out.format(res.aic, res.hqic, res.bic))
AIC: 5.884, HQIC: 5.959, BIC: 6.071

Attributes

ar_lags: The autoregressive lags included in the model
df_model: The model degrees of freedom.
endog_names: Names of endogenous variables.
exog_names: Names of exogenous variables included in model
hold_back: The number of initial obs.
seasonal: Flag indicating that the model contains a seasonal component.

Methods

`fit`([cov_type, cov_kwds, use_t])	Estimate the model parameters.
`from_formula`(formula, data[, subset, drop_cols])	Create a Model from a formula and dataframe.
`hessian`(params)	The Hessian matrix of the model.
`information`(params)	Fisher information matrix of model.
`initialize`()	Initialize the model (no-op).
`loglike`(params)	Log-likelihood of model.
`predict`(params[, start, end, dynamic, exog, …])	In-sample prediction and out-of-sample forecasting.
`score`(params)	Score vector of model.

Methods

`fit`([cov_type, cov_kwds, use_t])	Estimate the model parameters.
`from_formula`(formula, data[, subset, drop_cols])	Create a Model from a formula and dataframe.
`hessian`(params)	The Hessian matrix of the model.
`information`(params)	Fisher information matrix of model.
`initialize`()	Initialize the model (no-op).
`loglike`(params)	Log-likelihood of model.
`predict`(params[, start, end, dynamic, exog, …])	In-sample prediction and out-of-sample forecasting.
`score`(params)	Score vector of model.

Properties

`ar_lags`	The autoregressive lags included in the model
`df_model`	The model degrees of freedom.
`endog_names`	Names of endogenous variables.
`exog_names`	Names of exogenous variables included in model
`hold_back`	The number of initial obs.
`seasonal`	Flag indicating that the model contains a seasonal component.