linearmodels.iv.model.IVGMM¶

class IVGMM(dependent, exog, endog, instruments, *, weights=None, weight_type='robust', **weight_config)[source]¶

Estimation of IV models using the generalized method of moments (GMM)

Parameters:

dependentarray_like: Endogenous variables (nobs by 1)
exogarray_like: Exogenous regressors (nobs by nexog)
endogarray_like: Endogenous regressors (nobs by nendog)
instrumentsarray_like: Instrumental variables (nobs by ninstr)
weightsarray_like: Observation weights used in estimation
weight_typestr: Name of moment condition weight function to use in the GMM estimation
**weight_config: Additional keyword arguments to pass to the moment condition weight function

See also

Notes

Available GMM weight functions are:

“unadjusted”, “homoskedastic” - Assumes moment conditions are homoskedastic
“robust”, “heteroskedastic” - Allows for heteroskedasticity by not autocorrelation
“kernel” - Allows for heteroskedasticity and autocorrelation
“cluster” - Allows for one-way cluster dependence

The estimator is defined as

\[\hat{\beta}_{gmm}=(X'ZW^{-1}Z'X)^{-1}X'ZW^{-1}Z'Y\]

where \(W\) is a positive definite weight matrix and \(Z\) contains both the exogenous regressors and the instruments.

Todo

Attributes:

Methods

`estimate_parameters`(x, y, z, w)	Parameters:
`fit`(*[, iter_limit, tol, initial_weight, ...])	Estimate model parameters
`from_formula`(formula, data, *[, weights, ...])	Parameters:
`predict`(params, *[, exog, endog, data, eval_env])	Predict values for additional data
`resids`(params)	Compute model residuals
`wresids`(params)	Compute weighted model residuals

Properties

`formula`	Formula used to create the model
`has_constant`	Flag indicating the model includes a constant or equivalent
`isnull`	Locations of observations with missing values
`notnull`	Locations of observations included in estimation