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scikits.statsmodels.sandbox.regression.gmm.NonlinearIVGMM.fititer

NonlinearIVGMM.fititer(start, maxiter=2, start_weights=None, weights_method='cov', wargs=())

iterative estimation with updating of optimal weighting matrix

stopping criteria are maxiter or change in parameter estimate less than self.epsilon_iter, with default 1e-6.

Parameters :

start : array

starting value for parameters

maxiter : int

maximum number of iterations

start_weights : array (nmoms, nmoms)

initial weighting matrix; if None, then the identity matrix is used

weights_method : {‘cov’, ...}

method to use to estimate the optimal weighting matrix, see calc_weightmatrix for details

Returns :

params : array

estimated parameters

weights : array

optimal weighting matrix calculated with final parameter estimates

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