6.2.2.2.1.1.2. statsmodels.sandbox.datarich.factormodels.FactorModelUnivariate.calc_factors

FactorModelUnivariate.calc_factors(x=None, keepdim=0, addconst=True)

get factor decomposition of exogenous variables

This uses principal component analysis to obtain the factors. The number of factors kept is the maximum that will be considered in the regression.