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
The set of parameters estimated for each of the time periods
The average coefficient of determination, adjusted for sample size.
The average coefficient of determination
Between Coefficient of determination using squared correlation
Overall coefficient of determination using squared correlation
Within coefficient of determination using squared correlation
Estimated covariance of parameters
Model degree of freedom
Residual degree of freedom
Statistics on observations per entity
Estimated effects
Joint test of significance for non-constant regressors
Joint test of significance for non-constant regressors
Fitted values
Idiosyncratic error
Log-likelihood of model
Residual sum of squares
Model name
Number of observations used to estimate the model
Estimated parameters
Parameter p-vals.
Residual sum of squares
Model residuals
Model Coefficient of determination
Between Coefficient of determination
Overall coefficient of determination
Within coefficient of determination
Residual variance estimator
Estimated parameter standard errors
Model estimation summary.
Statistics on observations per time interval
Total sum of squares
Parameter t-statistics
Weighted model residuals