linearmodels.system.results.GMMSystemResults¶
- class GMMSystemResults(results)[source]¶
Results from GMM System Estimators
- Parameters
- results
AttrDict
Dictionary of model estimation results
- results
- Attributes
cov
Estimated covariance of parameters
cov_config
Configuration of covariance estimator used to compute covariance
cov_estimator
Type of covariance estimator used to compute covariance
debiased
Flag indicating whether covariance uses a small-sample adjustment
df_model
Model degree of freedom
df_resid
Residual degree of freedom
equation_labels
Individual equation labels
equations
Individual equation results
fitted_values
Fitted values
iterations
Number of iterations of the GLS executed
j_stat
J-test of overidentifying restrictions
method
Estimation method
model
Model used in estimation
model_ss
Residual sum of squares
nobs
Number of observations
params
Estimated parameters
pvalues
Parameter p-vals.
resid_ss
Residual sum of squares
resids
Estimated residuals
rsquared
Coefficient of determination (R2)
sigma
Estimated residual covariance
std_errors
Estimated parameter standard errors
summary
Model estimation summary.
system_rsquared
Alternative measure of system fit
total_ss
Total sum of squares
tstats
Parameter t-statistics
w
GMM weight matrix used in estimation
weight_config
Weight configuration options used in GMM estimation
weight_type
Type of weighting used in GMM estimation
wresids
Weighted estimated residuals
Methods
Breusch-Pagan LM test for no cross-correlation
conf_int
([level])Confidence interval construction
Likelihood ratio test of no cross-correlation
predict
([equations, data, fitted, ...])In- and out-of-sample predictions
Properties
Estimated covariance of parameters
Configuration of covariance estimator used to compute covariance
Type of covariance estimator used to compute covariance
Flag indicating whether covariance uses a small-sample adjustment
Model degree of freedom
Residual degree of freedom
Individual equation labels
Individual equation results
Fitted values
Number of iterations of the GLS executed
J-test of overidentifying restrictions
Estimation method
Model used in estimation
Residual sum of squares
Number of observations
Estimated parameters
Parameter p-vals.
Residual sum of squares
Estimated residuals
Coefficient of determination (R2)
Estimated residual covariance
Estimated parameter standard errors
Model estimation summary.
Alternative measure of system fit
Total sum of squares
Parameter t-statistics
GMM weight matrix used in estimation
Weight configuration options used in GMM estimation
Type of weighting used in GMM estimation
Weighted estimated residuals