![\"Data](\"data/D4Sci_logo_ball.png\"){kind=logo}
Advanced Time Series Analysis
\n", "statsmodels for Time Series
\n", "Bruno Gonçalves
\n",
" www.data4sci.com
\n",
" @bgoncalves, @data4sci
Bruno Gonçalves
\n",
" www.data4sci.com
\n",
" @bgoncalves, @data4sci
| Dep. Variable: | y | R-squared: | 0.667 | \n", "
|---|---|---|---|
| Model: | OLS | Adj. R-squared: | 0.629 | \n", "
| Method: | Least Squares | F-statistic: | 17.99 | \n", "
| Date: | Mon, 07 Mar 2022 | Prob (F-statistic): | 0.00217 | \n", "
| Time: | 15:09:23 | Log-Likelihood: | -16.841 | \n", "
| No. Observations: | 11 | AIC: | 37.68 | \n", "
| Df Residuals: | 9 | BIC: | 38.48 | \n", "
| Df Model: | 1 | \n", " | |
| Covariance Type: | nonrobust | \n", " |
| coef | std err | t | P>|t| | [0.025 | 0.975] | \n", "|
|---|---|---|---|---|---|---|
| const | 3.0001 | 1.125 | 2.667 | 0.026 | 0.456 | 5.544 | \n", "
| x1 | 0.5001 | 0.118 | 4.241 | 0.002 | 0.233 | 0.767 | \n", "
| Omnibus: | 0.082 | Durbin-Watson: | 3.212 | \n", "
|---|---|---|---|
| Prob(Omnibus): | 0.960 | Jarque-Bera (JB): | 0.289 | \n", "
| Skew: | -0.122 | Prob(JB): | 0.865 | \n", "
| Kurtosis: | 2.244 | Cond. No. | 29.1 | \n", "
| \n", " | YEAR | \n", "SUNACTIVITY | \n", "
|---|---|---|
| 0 | \n", "1700.0 | \n", "5.0 | \n", "
| 1 | \n", "1701.0 | \n", "11.0 | \n", "
| 2 | \n", "1702.0 | \n", "16.0 | \n", "
| 3 | \n", "1703.0 | \n", "23.0 | \n", "
| 4 | \n", "1704.0 | \n", "36.0 | \n", "
| ... | \n", "... | \n", "... | \n", "
| 304 | \n", "2004.0 | \n", "40.4 | \n", "
| 305 | \n", "2005.0 | \n", "29.8 | \n", "
| 306 | \n", "2006.0 | \n", "15.2 | \n", "
| 307 | \n", "2007.0 | \n", "7.5 | \n", "
| 308 | \n", "2008.0 | \n", "2.9 | \n", "
309 rows × 2 columns
\n", "| \n", " | GDP | \n", "
|---|---|
| DATE | \n", "\n", " |
| 1947-01-01 | \n", "2033.061 | \n", "
| 1947-04-01 | \n", "2027.639 | \n", "
| 1947-07-01 | \n", "2023.452 | \n", "
| 1947-10-01 | \n", "2055.103 | \n", "
| 1948-01-01 | \n", "2086.017 | \n", "
| ... | \n", "... | \n", "
| 2018-04-01 | \n", "18598.135 | \n", "
| 2018-07-01 | \n", "18732.720 | \n", "
| 2018-10-01 | \n", "18783.548 | \n", "
| 2019-01-01 | \n", "18927.281 | \n", "
| 2019-04-01 | \n", "19021.860 | \n", "
290 rows × 1 columns
\n", "| Dep. Variable: | y | R-squared: | 0.374 | \n", "
|---|---|---|---|
| Model: | OLS | Adj. R-squared: | 0.346 | \n", "
| Method: | Least Squares | F-statistic: | 13.16 | \n", "
| Date: | Mon, 07 Mar 2022 | Prob (F-statistic): | 3.89e-21 | \n", "
| Time: | 15:18:03 | Log-Likelihood: | -1524.9 | \n", "
| No. Observations: | 277 | AIC: | 3076. | \n", "
| Df Residuals: | 264 | BIC: | 3123. | \n", "
| Df Model: | 12 | \n", " | |
| Covariance Type: | nonrobust | \n", " |
| coef | std err | t | P>|t| | [0.025 | 0.975] | \n", "|
|---|---|---|---|---|---|---|
| x1 | -0.4325 | 0.105 | -4.110 | 0.000 | -0.640 | -0.225 | \n", "
| x2 | -0.2529 | 0.109 | -2.326 | 0.021 | -0.467 | -0.039 | \n", "
| x3 | -0.0278 | 0.109 | -0.256 | 0.798 | -0.242 | 0.186 | \n", "
| x4 | -0.0055 | 0.106 | -0.052 | 0.959 | -0.215 | 0.204 | \n", "
| x5 | -0.0105 | 0.100 | -0.105 | 0.917 | -0.208 | 0.187 | \n", "
| x6 | -0.0613 | 0.097 | -0.634 | 0.527 | -0.252 | 0.129 | \n", "
| x7 | 0.0228 | 0.093 | 0.244 | 0.807 | -0.161 | 0.206 | \n", "
| x8 | 0.0006 | 0.088 | 0.007 | 0.995 | -0.173 | 0.174 | \n", "
| x9 | -0.1256 | 0.083 | -1.507 | 0.133 | -0.290 | 0.039 | \n", "
| x10 | 0.0551 | 0.079 | 0.698 | 0.486 | -0.100 | 0.211 | \n", "
| x11 | 0.1870 | 0.074 | 2.539 | 0.012 | 0.042 | 0.332 | \n", "
| x12 | 0.1049 | 0.061 | 1.707 | 0.089 | -0.016 | 0.226 | \n", "
| const | 26.4032 | 7.156 | 3.689 | 0.000 | 12.312 | 40.494 | \n", "
| Omnibus: | 32.007 | Durbin-Watson: | 1.997 | \n", "
|---|---|---|---|
| Prob(Omnibus): | 0.000 | Jarque-Bera (JB): | 106.856 | \n", "
| Skew: | -0.420 | Prob(JB): | 6.26e-24 | \n", "
| Kurtosis: | 5.925 | Cond. No. | 213. | \n", "
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