How to include a (matrix) constraint using statsmodels DynamicFactor? python

Question

I am using tsa.DynamicFactor of statsmodels with multiple Factors. I would like to include some contraints that impose that some factors can affect only some series. How can I do that?

I couldn't find anything online. thanks a lot! Best

Answer 1

Instead of DynamicFactor you need to use DynamicFactorMQ which allows to specify which observed variables load on which factors via a combination of factors , factor_orders and factor_multiplicities arguments. The docs have some usage examples.