statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQResults.get_coefficients_of_determination¶
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DynamicFactorMQResults.get_coefficients_of_determination(method='individual', which=None)[source]¶ Get coefficients of determination (R-squared) for variables / factors.
- Parameters
- 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.
- method{‘individual’, ‘joint’, ‘cumulative’},
- Returns
- rsquared
pd.DataFrameorpd.Series The R-squared values from regressions of observed variables on one or more of the factors. If method=’individual’ or method=’cumulative’, this will be a Pandas DataFrame with observed variables as the index and factors as the columns . If method=’joint’, will be a Pandas Series with observed variables as the index.
- rsquared