statsmodels.sandbox.regression.gmm.GMM.fitgmm

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

estimate parameters using GMM

Parameters:
startarray_like

starting values for minimization

weightsndarray

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

Returns:
paramestndarray

estimated parameters

Notes

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

uses scipy.optimize.fmin


Last update: Feb 28, 2024