statsmodels.sandbox.regression.gmm.GMM.calc_weightmatrix

method

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

calculate omega or the weighting matrix

Parameters

momsarray

moment conditions (nobs x nmoms) for all observations evaluated at a parameter value

weights_methodstring ‘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

wargstuple or dict

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

Returns

warray (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