gmm.gmm.GMMEstimatorScipy

Guide & worked example · Source

gmm.gmm.GMMEstimatorScipy(
    moment_cond,
    weighting_matrix='optimal',
    backend='scipy',
    device=None,
)

Attributes

Name	Description
W_
device
moment_cond
std_errors_
theta_
weighting_matrix

Methods

Name	Description
fit
gmm_objective
iv_moment
jacobian_moment_cond
optimal_weighting_matrix
summary

fit

gmm.gmm.GMMEstimatorScipy.fit(
    z,
    y,
    x,
    verbose=False,
    fit_method=None,
    iid=True,
    two_step=True,
    *,
    init_params=None,
    max_lags=None,
    tol=1e-09,
    maxiter=2000,
)

gmm_objective

gmm.gmm.GMMEstimatorScipy.gmm_objective(beta)

iv_moment

gmm.gmm.GMMEstimatorScipy.iv_moment(z, y, x, beta)

jacobian_moment_cond

gmm.gmm.GMMEstimatorScipy.jacobian_moment_cond()

optimal_weighting_matrix

gmm.gmm.GMMEstimatorScipy.optimal_weighting_matrix(moments)

summary

gmm.gmm.GMMEstimatorScipy.summary(prec=4, alpha=0.05)