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_limit
int Maximum number of iterations for iterative GLS
- tol
float Tolerance to use when checking for convergence in iterative GLS
- initial_weight
ndarray 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_type
str 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
- iter_limit
- Returns
GMMSystemResultsEstimation results
- Return type