statsmodels.tsa.ar_model.AutoRegResults

class statsmodels.tsa.ar_model.AutoRegResults(model, params, cov_params, normalized_cov_params=None, scale=1.0)

Class to hold results from fitting an AutoReg model.

Parameters

modelAutoReg

Reference to the model that is fit.

paramsndarray

The fitted parameters from the AR Model.

cov_paramsndarray

The estimated covariance matrix of the model parameters.

normalized_cov_paramsndarray

The array inv(dot(x.T,x)) where x contains the regressors in the model.

scalefloat, optional

An estimate of the scale of the model.

Methods

conf_int([alpha, cols])	Construct confidence interval for the fitted parameters.
cov_params([r_matrix, column, scale, cov_p, …])	Compute the variance/covariance matrix.
diagnostic_summary()	Returns a summary containing standard model diagnostic tests
f_test(r_matrix[, cov_p, scale, invcov])	Compute the F-test for a joint linear hypothesis.
initialize(model, params, **kwargs)	Initialize (possibly re-initialize) a Results instance.
load(fname)	Load a pickled results instance
normalized_cov_params()	See specific model class docstring
plot_diagnostics([lags, fig, figsize])	Diagnostic plots for standardized residuals
plot_predict([start, end, dynamic, exog, …])	Plot in- and out-of-sample predictions
predict([start, end, dynamic, exog, exog_oos])	In-sample prediction and out-of-sample forecasting.
remove_data()	Remove data arrays, all nobs arrays from result and model.
save(fname[, remove_data])	Save a pickle of this instance.
scale()
sigma2()
summary([alpha])	Summarize the Model
t_test(r_matrix[, cov_p, scale, use_t])	Compute a t-test for a each linear hypothesis of the form Rb = q.
t_test_pairwise(term_name[, method, alpha, …])	Perform pairwise t_test with multiple testing corrected p-values.
test_heteroskedasticity([lags])	ARCH-LM test of residual heteroskedasticity
test_normality()	Test for normality of standardized residuals.
test_serial_correlation([lags, model_df])	Ljung-Box test for residual serial correlation
wald_test(r_matrix[, cov_p, scale, invcov, …])	Compute a Wald-test for a joint linear hypothesis.
wald_test_terms([skip_single, …])	Compute a sequence of Wald tests for terms over multiple columns.

Properties

aic	Akaike Information Criterion using Lutkephol’s definition.
ar_lags	The autoregressive lags included in the model
arfreq	Returns the frequency of the AR roots.
bic	Bayes Information Criterion
bse	The standard errors of the estimated parameters.
df_model	The degrees of freedom consumed by the model.
df_resid	The remaining degrees of freedom in the residuals.
fittedvalues	The in-sample predicted values of the fitted AR model.
fpe	Final prediction error using Lütkepohl’s definition.
hqic	Hannan-Quinn Information Criterion.
llf	Log-likelihood of model
nobs	The number of observations after adjusting for losses due to lags.
params	The estimated parameters.
pvalues	The two-tailed p values for the t-stats of the params.
resid	The residuals of the model.
roots	The roots of the AR process.
tvalues	Return the t-statistic for a given parameter estimate.
use_t	Flag indicating to use the Student’s distribution in inference.