statsmodels.sandbox.regression.gmm.IVGMM.calc_weightmatrix

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

calculate omega or the weighting matrix

Parameters:

• moms (array) – moment conditions (nobs x nmoms) 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 – estimate for the weighting matrix or covariance of the moment condition

Return type:

array (nmoms, nmoms)

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