Generalized Method of Moments in the StatsModels library

The recipe below explains what Generalized Method of Moments are in StatsModels

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Recipe Objective - What are the Generalized Method of Moments in the StatsModels library?

The statsmodels.gmm contains model classes and functions based on estimates using the generalized method of moments. Currently, the general non-linear case is implemented. Contains sample classes of standard linear instrumental variable models. This was introduced as a test case. It works fine, but the linear structure is not taken into account. For linear, we plan to introduce a specific implementation that is faster and numerically accurate.

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Currently, GMM takes non-linear momentary conditions and either calculates estimates for a particular weight matrix, or alternates between optimal weight matrix estimates and parameter estimates. The implementation of models with different moment conditions is done by subclasses of GMM. In a minimal implementation, you only need to define the momentary conditions for momcond.For more related projects -

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GMM:

Class for estimation by Generalized Method of Moments

Parameters:

endog => Dependent variable

exog => Independent variable(s)

instrument => array of instruments

nmoms => number of moment conditions, if None then it is set equal to the number of columns of instruments.

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