linearmodels.system.results.GMMSystemResults

class GMMSystemResults(results)[source]

Results from GMM System Estimators

Parameters
resultsAttrDict

Dictionary of model estimation 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()

Breusch-Pagan LM test for no cross-correlation

conf_int([level])

Confidence interval construction

likelihood_ratio()

Likelihood ratio test of no cross-correlation

predict([equations, data, fitted, ...])

In- and out-of-sample predictions

Properties

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