What is NonLinearIVGMM in the StatsModels library
This recipe explains what is NonLinearIVGMM in the StatsModels library
Recipe Objective - What is NonLinearIVGMM in the StatsModels library?
NonLinearIVGMM is a class for non-linear instrumental variables estimation using GMM.
It belongs to the class statsmodels.sandbox.regression.gmm.NonlinearIVGMM(endog, exog, instrument, func, **kwds)
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Table of Contents
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
func
function for the mean or conditional expectation of the endogenous variable. The function will be called with parameters and the array of explanatory, right hand side variables, func(params, exog)
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
predict(params[, exog])
Get prediction at params
score(params, weights, **kwds)
Score
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