statsmodels.sandbox.regression.gmm.GMM.fitgmm¶

GMM.fitgmm(start, weights=None, optim_method='bfgs', optim_args=None)[source]¶

estimate parameters using GMM

Parameters:¶

start : array_like¶

starting values for minimization

weights : ndarray¶

weighting matrix for moment conditions. If weights is None, then the identity matrix is used

Returns:¶

paramest – estimated parameters

Return type:¶

ndarray

Notes

todo: add fixed parameter option, not here ???

uses scipy.optimize.fmin