statsmodels.sandbox.sysreg.SUR.fit

SUR.fit(igls=False, tol=1e-05, maxiter=100)

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.