statsmodels.sandbox.regression.gmm.GMM.fitgmm¶
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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 : array
estimated parameters
Notes
todo: add fixed parameter option, not here ???
uses scipy.optimize.fmin