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statsmodels.sandbox.regression.gmm.GMM

class statsmodels.sandbox.regression.gmm.GMM(endog, exog, instrument, nmoms=None, **kwds)[source]

Class for estimation by Generalized Method of Moments

needs to be subclassed, where the subclass defined the moment conditions momcond

Parameters :

endog : array

endogenous variable, see notes

exog : array

array of exogenous variables, see notes

instrument : array

array of instruments, see notes

nmoms : None or int

number of moment conditions, if None then it is set equal to the number of columns of instruments. Mainly needed to determin the shape or size of start parameters and starting weighting matrix.

kwds : anything

this is mainly if additional variables need to be stored for the calculations of the moment conditions

Returns :

*Attributes* :

results : instance of GMMResults

currently just a storage class for params and cov_params without it’s own methods

bse : property

return bse

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

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