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.