linearmodels.panel.results.FamaMacBethResults

class linearmodels.panel.results.FamaMacBethResults(res: AttrDict)[source]

Results container for Fama MacBeth panel data models

Methods

conf_int([level])

Confidence interval construction

predict([exog, data, fitted, effects, ...])

In- and out-of-sample predictions

wald_test([restriction, value, formula])

Test linear equality constraints using a Wald test

Properties

all_params

The set of parameters estimated for each of the time periods

avg_adj_rsquared

The average coefficient of determination, adjusted for sample size.

avg_rsquared

The average coefficient of determination

corr_squared_between

Between Coefficient of determination using squared correlation

corr_squared_overall

Overall coefficient of determination using squared correlation

corr_squared_within

Within coefficient of determination using squared correlation

cov

Estimated covariance of parameters

df_model

Model degree of freedom

df_resid

Residual degree of freedom

entity_info

Statistics on observations per entity

estimated_effects

Estimated effects

f_statistic

Joint test of significance for non-constant regressors

f_statistic_robust

Joint test of significance for non-constant regressors

fitted_values

Fitted values

idiosyncratic

Idiosyncratic error

loglik

Log-likelihood of model

model_ss

Residual sum of squares

name

Model name

nobs

Number of observations used to estimate the model

params

Estimated parameters

pvalues

Parameter p-vals.

resid_ss

Residual sum of squares

resids

Model residuals

rsquared

Model Coefficient of determination

rsquared_between

Between Coefficient of determination

rsquared_overall

Overall coefficient of determination

rsquared_within

Within coefficient of determination

s2

Residual variance estimator

std_errors

Estimated parameter standard errors

summary

Model estimation summary.

time_info

Statistics on observations per time interval

total_ss

Total sum of squares

tstats

Parameter t-statistics

wresids

Weighted model residuals