Generalized Method of Moments Estimator¶
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class
mygmm.gmm.
GMM
(momcond)[source]¶ GMM estimation class.
Attributes
momcond Moment function Methods
gmmest
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__init__
(momcond)[source]¶ Initialize the class.
Parameters: momcond : function
Moment function. Should return:
- array (nobs x nmoms)
moment function values
- (optionally) array (nmoms x nparams)
derivative of moment function average across observations.
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gmmest
(theta_start, bounds=None, constraints=(), iter=2, method='BFGS', kernel='Bartlett', band=None, names=None, **kwargs)[source]¶ Multiple step GMM estimation procedure.
Parameters: theta_start : array
Initial parameters
bounds : list of tuples
Bounds on parameters
constraints : dict or sequence of dict
Equality and inequality constraints. See scipy.optimize.minimize
iter : int
Number of GMM steps
method : str
Optimization method
kernel : str
Type of kernel for HAC. Currenly implemented: SU, Bartlett, Parzen, Quadratic
band : int
Truncation parameter for HAC
names : list of str
Parameter names
Returns: instance of Results
Estimation results
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