linearmodels.iv.model.IVLIML.fit

IVLIML.fit(*, cov_type='robust', debiased=False, **cov_config)

Estimate model parameters

Parameters

cov_typestr

Name of covariance estimator to use. Supported covariance estimators are:

• “unadjusted”, “homoskedastic” - Classic homoskedastic inference

• “robust”, “heteroskedastic” - Heteroskedasticity robust inference

• “kernel” - Heteroskedasticity and autocorrelation robust inference

• “cluster” - One-way cluster dependent inference. Heteroskedasticity robust

debiasedbool

Flag indicating whether to debiased the covariance estimator using a degree of freedom adjustment.

**cov_config

Additional parameters to pass to covariance estimator. The list of optional parameters differ according to cov_type. See the documentation of the alternative covariance estimators for the complete list of available commands.

Returns

IVResults

Results container

See also

linearmodels.iv.covariance.HomoskedasticCovariance

linearmodels.iv.covariance.HeteroskedasticCovariance

linearmodels.iv.covariance.KernelCovariance

linearmodels.iv.covariance.ClusteredCovariance

Notes

Additional covariance parameters depend on specific covariance used. The see the docstring of specific covariance estimator for a list of supported options. Defaults are used if no covariance configuration is provided.

Return type

Union[OLSResults, IVResults]