statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.coefficients_of_determination

DynamicFactorResults.coefficients_of_determination() [source]

Coefficients of determination (\(R^2\)) from regressions of individual estimated factors on endogenous variables.

Returns:	coefficients_of_determination – A `k_endog` x `k_factors` array, where `coefficients_of_determination[i, j]` represents the \(R^2\) value from a regression of factor `j` and a constant on endogenous variable `i`.
Return type:	array

Notes

Although it can be difficult to interpret the estimated factor loadings and factors, it is often helpful to use the cofficients of determination from univariate regressions to assess the importance of each factor in explaining the variation in each endogenous variable.

In models with many variables and factors, this can sometimes lend interpretation to the factors (for example sometimes one factor will load primarily on real variables and another on nominal variables).