statsmodels.sandbox.regression.gmm.LinearIVGMM.fitgmm

LinearIVGMM.fitgmm(start, weights=None, optim_method=None, **kwds)

estimate parameters using GMM for linear model

Uses closed form expression instead of nonlinear optimizers

Parameters:

startnot used

starting values for minimization, not used, only for consistency of method signature

weightsndarray

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

optim_methodnot used,

optimization method, not used, only for consistency of method signature

**kwdskeyword arguments

not used, will be silently ignored (for compatibility with generic)

Returns:

paramestndarray

estimated parameters