statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQ.construct_endog

classmethod DynamicFactorMQ.construct_endog(endog_monthly, endog_quarterly)[source]

Construct a combined dataset from separate monthly and quarterly data.

Parameters:

  • endog_monthly (array_like) – Monthly dataset. If a quarterly dataset is given, then this must be a Pandas object with a PeriodIndex or DatetimeIndex at a monthly frequency.

  • endog_quarterly (array_like or None) – Quarterly dataset. If not None, then this must be a Pandas object with a PeriodIndex or DatetimeIndex at a quarterly frequency.

Returns:

  • endog (array_like) – If both endog_monthly and endog_quarterly were given, this is a Pandas DataFrame with a PeriodIndex at the monthly frequency, with all of the columns from endog_monthly ordered first and the columns from endog_quarterly ordered afterwards. Otherwise it is simply the input endog_monthly dataset.

  • k_endog_monthly (int) – The number of monthly variables (which are ordered first) in the returned endog dataset.