- FamaMacBethResults.predict(exog=None, *, data=None, fitted=True, effects=False, idiosyncratic=False, missing=False)¶
In- and out-of-sample predictions
Exogenous values to use in out-of-sample prediction (nobs by nexog)
DataFrame to use for out-of-sample predictions when model was constructed using a formula.
Flag indicating whether to include the fitted values
Flag indicating whether to include estimated effects
Flag indicating whether to include the estimated idiosyncratic shock
Flag indicating to adjust for dropped observations. if True, the values returns will have the same size as the original input data before filtering missing values
DataFrame containing columns for all selected output
data can only be used when the model was created using the formula interface. exog can be used for both a model created using a formula or a model specified with dependent and exog arrays.
When using exog to generate out-of-sample predictions, the variable order must match the variables in the original model.
Idiosyncratic errors and effects are not available for out-of-sample predictions.
- Return type