linearmodels.system.model.IV3SLS.multivariate_iv

classmethod IV3SLS.multivariate_iv(dependent, exog=None, endog=None, instruments=None)[source]

Interface for specification of multivariate IV models

Parameters:
dependentarray_like

nobs by ndep array of dependent variables

exogarray_like

nobs by nexog array of exogenous regressors common to all models

endogarray_like

nobs by nendog array of endogenous regressors common to all models

instrumentsarray_like

nobs by ninstr array of instruments to use in all equations

Returns:
modelIV3SLS

Model instance

Notes

At least one of exog or endog must be provided.

Utility function to simplify the construction of multivariate IV models which all use the same regressors and instruments. Constructs the dictionary of equations from the variables using the common exogenous, endogenous and instrumental variables.

Return type:

IV3SLS