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statsmodels.sandbox.regression.gmm.IVGMMResults.calc_cov_params

IVGMMResults.calc_cov_params(moms, gradmoms, weights=None, use_weights=False, has_optimal_weights=True, weights_method='cov', wargs=())

calculate covariance of parameter estimates

not all options tried out yet

If weights matrix is given, then the formula use to calculate cov_params depends on whether has_optimal_weights is true. If no weights are given, then the weight matrix is calculated with the given method, and has_optimal_weights is assumed to be true.

(API Note: The latter assumption could be changed if we allow for has_optimal_weights=None.)

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© 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.IVGMMResults.calc_cov_params.html