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, *)

Heteroskedastic 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 homoskedastic data

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

Covariance estimator for IV system estimation with homoskedastic data

GMM Moment Weighting

HomoskedasticWeightMatrix([center, debiased])

Homoskedastic (unadjusted) weight estimation

HeteroskedasticWeightMatrix([center, debiased])

Heteroskedasticity robust weight estimation

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

Heteroskedasticity robust weight estimation