class statsmodels.sandbox.regression.gmm.IV2SLS(endog, exog, instrument=None)
[source]
Instrumental variables estimation using Two-Stage Least-Squares (2SLS)
Parameters: |
|
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All variables in exog are instrumented in the calculations. If variables in exog are not supposed to be instrumented, then these variables must also to be included in the instrument array.
Degrees of freedom in the calculation of the standard errors uses df_resid = (nobs - k_vars)
. (This corresponds to the small
option in Stata’s ivreg2.)
fit () | estimate model using 2SLS IV regression |
from_formula (formula, data[, subset, drop_cols]) | Create a Model from a formula and dataframe. |
hessian (params) | The Hessian matrix of the model |
information (params) | Fisher information matrix of model |
initialize () | Initialize (possibly re-initialize) a Model instance. |
loglike (params) | Log-likelihood of model. |
predict (params[, exog]) | Return linear predicted values from a design matrix. |
score (params) | Score vector of model. |
whiten (X) |
endog_names | Names of endogenous variables |
exog_names | Names of exogenous variables |
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.sandbox.regression.gmm.IV2SLS.html