statsmodels.regression.recursive_ls.RecursiveLS.opg_information_matrix

RecursiveLS.opg_information_matrix(params, transformed=True, approx_complex_step=None, **kwargs)

Outer product of gradients information matrix

Parameters:

• params (array_like, optional) – Array of parameters at which to evaluate the loglikelihood function.
• **kwargs – Additional arguments to the loglikeobs method.

References

Berndt, Ernst R., Bronwyn Hall, Robert Hall, and Jerry Hausman. 1974. Estimation and Inference in Nonlinear Structural Models. NBER Chapters. National Bureau of Economic Research, Inc.