Class for linear instrumental variables estimation with homoscedastic errors
currently mainly a test case, not checked yet
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 |
fitstart() | |
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(params) | |
momcond_mean(params) | mean of moment conditions, |
Attributes
bse | standard error of the parameter estimates |