linearmodels.iv.model.IVLIML.from_formula¶

Parameters:¶

formula: str¶: Formula modified for the IV syntax described in the notes section
data: DataFrame¶: DataFrame containing the variables used in the formula
weights: IVData | ndarray | DataArray | DataFrame | Series | None = None¶: Observation weights used in estimation
fuller: float = 0¶: Fuller’s alpha to modify LIML estimator. Default returns unmodified LIML estimator.
kappa: int | float | None = None¶: Parameter value for k-class estimation. If not provided, computed to produce LIML parameter estimate.

Returns:¶

Model instance

Return type:¶

linearmodels.iv.model.IVLIML

Notes

The IV formula modifies the standard formula syntax to include a block of the form [endog ~ instruments] which is used to indicate the list of endogenous variables and instruments. The general structure is dependent ~ exog [endog ~ instruments] and it must be the case that the formula expressions constructed from blocks dependent ~ exog endog and dependent ~ exog instruments are both valid formulas.

A constant must be explicitly included using ‘1 +’ if required.

Examples

>>> import numpy as np
>>> from linearmodels.datasets import wage
>>> from linearmodels.iv import IVLIML
>>> data = wage.load()
>>> formula = "np.log(wage) ~ 1 + exper + exper ** 2 + brthord + [educ ~ sibs]"
>>> mod = IVLIML.from_formula(formula, data)