Generalized Method of Moments gmm
¶
statsmodels.gmm
contains model classes and functions that are based on
estimation with Generalized Method of Moments.
Currently the general nonlinear case is implemented. An example class for the standard
linear instrumental variable model is included. This has been introduced as a test case, it
works correctly but it does not take the linear structure into account. For the linear
case we intend to introduce a specific implementation which will be faster and numerically
more accurate.
Currently, GMM takes arbitrary nonlinear moment conditions and calculates the estimates either for a given weighting matrix or iteratively by alternating between estimating the optimal weighting matrix and estimating the parameters. Implementing models with different moment conditions is done by subclassing GMM. In the minimal implementation only the moment conditions, momcond have to be defined.
Module Reference¶
GMM (endog, exog, instrument[, k_moms, …]) 
Class for estimation by Generalized Method of Moments 
GMMResults (*args, **kwds) 
just a storage class right now 
IV2SLS (endog, exog[, instrument]) 
Instrumental variables estimation using TwoStage LeastSquares (2SLS) 
IVGMM (endog, exog, instrument[, k_moms, …]) 
Basic class for instrumental variables estimation using GMM 
IVGMMResults (*args, **kwds) 

IVRegressionResults (model, params[, …]) 
Results class for for an OLS model. 
LinearIVGMM (endog, exog, instrument[, …]) 
class for linear instrumental variables models estimated with GMM 
NonlinearIVGMM (endog, exog, instrument, …) 
Class for nonlinear instrumental variables estimation wusing GMM 