statsmodels.sandbox.regression.gmm.LinearIVGMM.fitgmm

LinearIVGMM.fitgmm(start, weights=None, optim_method=None, **kwds)[source]

estimate parameters using GMM for linear model

Uses closed form expression instead of nonlinear optimizers

Parameters:

  • start (not used) – starting values for minimization, not used, only for consistency of method signature

  • weights (ndarray) – weighting matrix for moment conditions. If weights is None, then the identity matrix is used

  • optim_method (not used,) – optimization method, not used, only for consistency of method signature

  • **kwds (keyword arguments) – not used, will be silently ignored (for compatibility with generic)

Returns:

paramest – estimated parameters

Return type:

ndarray