Module Reference

System Regression Estimators

SUR(equations, *[, sigma])

Seemingly unrelated regression estimation (SUR/SURE).

IV3SLS(equations, *[, sigma])

Three-stage Least Squares (3SLS) Estimator.

IVSystemGMM(equations, *[, sigma, weight_type])

System Generalized Method of Moments (GMM) estimation of linear IV models.

LinearConstraint(r[, q, num_params, ...])

Linear constraint for regression estimation.

Estimation Results

SystemResults(results)

Results from Seemingly Unrelated Regression Estimators.

GMMSystemResults(results)

Results from GMM System Estimators.

System Regression Estimator Covariance Estimation

SUR and 3SLS

HomoskedasticCovariance(x, eps, sigma, ...)

Homoskedastic covariance estimation for system regression.

HeteroskedasticCovariance(x, eps, sigma, ...)

Heteroskedastic covariance estimation for system regression.

KernelCovariance(x, eps, sigma, full_sigma, *)

Kernel (HAC) covariance estimation for system regression.

ClusteredCovariance(x, eps, sigma, full_sigma, *)

Clustered covariance estimation for system regression.

Generalized Method of Moments (GMM)

GMMHomoskedasticCovariance(x, z, eps, w, *)

Covariance estimator for IV system estimation with homoskedastic data.

GMMHeteroskedasticCovariance(x, z, eps, w, *)

Covariance estimator for IV system estimation with heteroskedastic data.

GMMKernelCovariance(x, z, eps, w, *[, ...])

Kernel (HAC) covariance estimator for IV system estimation.

GMM Moment Weighting

HomoskedasticWeightMatrix([center, debiased])

Homoskedastic (unadjusted) weight estimation.

HeteroskedasticWeightMatrix([center, debiased])

Heteroskedasticity robust weight estimation.

KernelWeightMatrix([center, debiased, ...])

Heteroskedasticity and autocorrelation robust (HAC) weight estimation.