linearmodels.iv.model.IVGMM.estimate_parameters

static IVGMM.estimate_parameters(x: ndarray[tuple[int, ...], dtype[float64]], y: ndarray[tuple[int, ...], dtype[float64]], z: ndarray[tuple[int, ...], dtype[float64]], w: ndarray[tuple[int, ...], dtype[float64]]) ndarray[tuple[int, ...], dtype[float64]][source]
Parameters:
x: ndarray[tuple[int, ...], dtype[float64]]

Regressor matrix (nobs by nvar)

y: ndarray[tuple[int, ...], dtype[float64]]

Regressand matrix (nobs by 1)

z: ndarray[tuple[int, ...], dtype[float64]]

Instrument matrix (nobs by ninstr)

w: ndarray[tuple[int, ...], dtype[float64]]

GMM weight matrix (ninstr by ninstr)

Returns:

Estimated parameters (nvar by 1)

Return type:

numpy.ndarray

Notes

Exposed as a static method to facilitate estimation with other data, e.g., bootstrapped samples. Performs no error checking.