Class for estimation by Generalized Method of Moments
needs to be subclassed, where the subclass defined the moment conditions momcond
Parameters : | endog : array
exog : array
instrument : array
nmoms : None or int
kwds : anything
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Returns : | *Attributes* : results : instance of GMMResults
bse : property
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Notes
The GMM class only uses the moment conditions and does not use any data directly. endog, exog, instrument and kwds in the creation of the class instance are only used to store them for access in the moment conditions. Which of this are required and how they are used depends on the moment conditions of the subclass.
Warning:
Options for various methods have not been fully implemented and are still missing in several methods.
Methods
calc_cov_params(moms, gradmoms[, weights, ...]) | calculate covariance of parameter estimates |
calc_weightmatrix(moms[, method, wargs]) | calculate omega or the weighting matrix |
cov_params(**kwds) | |
fit([start]) | Estimate the parameters using default settings. |
fitgmm(start[, weights]) | estimate parameters using GMM |
fititer(start[, maxiter, start_weights, ...]) | iterative estimation with updating of optimal weighting matrix |
get_bse([method]) | method option not defined yet |
gmmobjective(params, weights) | objective function for GMM minimization |
gradient_momcond(params[, epsilon, method]) | |
jtest() | overidentification test |
momcond_mean(params) | mean of moment conditions, |
Attributes
bse | standard error of the parameter estimates |