linearmodels.system.model.IVSystemGMM.fit

IVSystemGMM.fit(*, iter_limit=2, tol=1e-06, initial_weight=None, cov_type='robust', **cov_config)[source]

Estimate model parameters

Parameters:
iter_limitint

Maximum number of iterations for iterative GLS

tolfloat

Tolerance to use when checking for convergence in iterative GLS

initial_weightndarray

Initial weighting matrix to use in the first step. If not specified, uses the average outer-product of the set containing the exogenous variables and instruments.

cov_typestr

Name of covariance estimator. Valid options are

  • “unadjusted”, “homoskedastic” - Classic covariance estimator

  • “robust”, “heteroskedastic” - Heteroskedasticity robust covariance estimator

**cov_config

Additional parameters to pass to covariance estimator. All estimators support debiased which employs a small-sample adjustment

Returns:
GMMSystemResults

Estimation results

Return type:

GMMSystemResults