statsmodels.sandbox.regression.gmm.LinearIVGMM.calc_weightmatrix¶
- LinearIVGMM.calc_weightmatrix(moms, weights_method='cov', wargs=(), params=None)¶
calculate omega or the weighting matrix
- Parameters:
- moms
ndarray
moment conditions (nobs x nmoms) for all observations evaluated at a parameter value
- weights_method
str
‘cov’ If method=’cov’ is cov then the matrix is calculated as simple covariance of the moment conditions. see fit method for available aoptions for the weight and covariance matrix
- wargs
tuple
ordict
parameters that are required by some kernel methods to estimate the long-run covariance. Not used yet.
- moms
- Returns:
- w
array
(nmoms
,nmoms
) estimate for the weighting matrix or covariance of the moment condition
- w
Notes
currently a constant cutoff window is used TODO: implement long-run cov estimators, kernel-based
Newey-West Andrews Andrews-Moy????
References
Greene Hansen, Bruce