statsmodels.sandbox.sysreg.Sem2SLS¶

class
statsmodels.sandbox.sysreg.
Sem2SLS
(sys, indep_endog=None, instruments=None)[source]¶ TwoStage Least Squares for Simultaneous equations
Parameters:  sys (list) – [endog1, exog1, endog2, exog2,…] It will be of length 2 x M, where M is the number of equations endog = exog.
 indep_endog (dict) – A dictionary mapping the equation to the column numbers of the the independent endogenous regressors in each equation. It is assumed that the system is inputed as broken up into LHS and RHS. For now, the values of the dict have to be sequences. Note that the keys for the equations should be zeroindexed.
 instruments (array) – Array of the exogenous independent variables.
Notes
This is unfinished, and the design should be refactored. Estimation is done by brute force and there is no exploitation of the structure of the system.
Methods
fit
()whiten
(Y)Runs the first stage of the 2SLS.