statsmodels.sandbox.regression.gmm.IVGMM.fitgmm

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

estimate parameters using GMM

Parameters:
  • start (array_like) – starting values for minimization
  • weights (array) – weighting matrix for moment conditions. If weights is None, then the identity matrix is used
Returns:

paramest – estimated parameters

Return type:

array

Notes

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

uses scipy.optimize.fmin

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.sandbox.regression.gmm.IVGMM.fitgmm.html