statsmodels.sandbox.sysreg.SUR.fit¶
-
SUR.
fit
(igls=False, tol=1e-05, maxiter=100)[source]¶ - iglsbool
Iterate until estimates converge if sigma is None instead of two-step GLS, which is the default is sigma is None.
tol : float
maxiter : int
Notes
This ia naive implementation that does not exploit the block diagonal structure. It should work for ill-conditioned sigma but this is untested.