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

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]