linearmodels.system.model.IV3SLS.multivariate_iv¶

classmethod IV3SLS.multivariate_iv(dependent: ndarray | DataArray | DataFrame | Series, exog: ndarray | DataArray | DataFrame | Series | None = None, endog: ndarray | DataArray | DataFrame | Series | None = None, instruments: ndarray | DataArray | DataFrame | Series | None = None) → IV3SLS[source]¶

Interface for specification of multivariate IV models

Parameters:¶

dependent: ndarray | DataArray | DataFrame | Series¶

nobs by ndep array of dependent variables

exog: ndarray | DataArray | DataFrame | Series | None = None¶

nobs by nexog array of exogenous regressors common to all models

endog: ndarray | DataArray | DataFrame | Series | None = None¶

nobs by nendog array of endogenous regressors common to all models

instruments: ndarray | DataArray | DataFrame | Series | None = None¶

nobs by ninstr array of instruments to use in all equations

Returns:¶

model – Model instance

Return type:¶

linearmodels.system.model.IV3SLS

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.