statsmodels.sandbox.regression.gmm.LinearIVGMM.calc_weightmatrix

LinearIVGMM.calc_weightmatrix(moms, weights_method='cov', wargs=(), params=None)

calculate omega or the weighting matrix

Parameters:

moms : array, (nobs, nmoms)

moment conditions for all observations evaluated at a parameter value

weights_method : string ‘cov’

If method=’cov’ is cov then the matrix is calculated as simple covariance of the moment conditions. see fit method for available aoptions for the weight and covariance matrix

wargs : tuple or dict

parameters that are required by some kernel methods to estimate the long-run covariance. Not used yet.

Returns:

w : array (nmoms, nmoms)

estimate for the weighting matrix or covariance of the moment condition

Notes

currently a constant cutoff window is used TODO: implement long-run cov estimators, kernel-based

Newey-West Andrews Andrews-Moy????

References

Greene Hansen, Bruce