What is LinearIVGMM in the StatsModels library?

The following recipe describes what is LinearIVGMM in the StatsModels library

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Recipe Objective - What is LinearIVGMM in the StatsModels library?

LinearIVGMM is a class for linear instrumental variables models estimated with GMM. It Use a closed equation instead of a nonlinear optimizer at each step of the iterative GMM. It belongs to the class statsmodels.sandbox.regression.gmm.LinearIVGMM(endog, exog, instrument, k_moms=None, k_params=None, missing='none', **kwds)

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Parameters:

endog
dependent endogenous variable

exog
explanatory, right-hand side variables, including explanatory variables that are endogenous

instrument
Instrumental variables, variables that are exogenous to the error in the linear model containing both included and excluded exogenous variables

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Methods:

calc_weightmatrix(moms[, weights_method, ...])
calculate omega or the weighting matrix

fit([start_params, maxiter, inv_weights, ...])
Estimate parameters using GMM and return GMMResults

fitgmm(start[, weights, optim_method])
estimate parameters using GMM for linear model

fitstart()
Create an array of zeros

from_formula(formula, data[, subset, drop_cols])
Create a Model from a formula and dataframe.

predict(params[, exog])
Get prediction at params

score(params, weights, **kwds)
Score

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