LinearIVGMM.calc_weightmatrix(moms, weights_method='cov', wargs=(), params=None)
calculate omega or the weighting matrix
Parameters: |
|
---|---|
Returns: |
w – estimate for the weighting matrix or covariance of the moment condition |
Return type: |
array (nmoms, nmoms) |
currently a constant cutoff window is used TODO: implement long-run cov estimators, kernel-based
Newey-West Andrews Andrews-Moy????
Greene Hansen, Bruce
© 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.LinearIVGMM.calc_weightmatrix.html