statsmodels.sandbox.regression.gmm.GMM.fitgmm

GMM.fitgmm(start, weights=None, optim_method='bfgs', optim_args=None) [source]

estimate parameters using GMM

Parameters:	start (array_like) – starting values for minimization weights (array) – weighting matrix for moment conditions. If weights is None, then the identity matrix is used
Returns:	paramest – estimated parameters
Return type:	array

Notes

todo: add fixed parameter option, not here ???

uses scipy.optimize.fmin