linearmodels.iv.model.IVGMM.estimate_parameters

static IVGMM.estimate_parameters(x: ndarray, y: ndarray, z: ndarray, w: ndarray) ndarray[source]
Parameters:
x: ndarray

Regressor matrix (nobs by nvar)

y: ndarray

Regressand matrix (nobs by 1)

z: ndarray

Instrument matrix (nobs by ninstr)

w: ndarray

GMM weight matrix (ninstr by ninstr)

Returns:

Estimated parameters (nvar by 1)

Return type:

numpy.ndarray

Notes

Exposed as a static method to facilitate estimation with other data, e.g., bootstrapped samples. Performs no error checking.