statsmodels.sandbox.regression.gmm.NonlinearIVGMM.fitgmm

NonlinearIVGMM.fitgmm(start, weights=None, optim_method='bfgs', optim_args=None)

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

optim_methodstr, default is ‘bfgs’

numerical optimization method. Currently not all optimizers that are available in LikelihoodModels are connected.

optim_argsdict

keyword arguments for the numerical optimizer.

Returns:

paramestndarray

estimated parameters

Notes

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

uses scipy.optimize.fmin