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statsmodels.sandbox.regression.gmm.GMM.calc_weightmatrix

GMM.calc_weightmatrix(moms, method='momcov', wargs=())[source]

calculate omega or the weighting matrix

Parameters :

moms : array, (nobs, nmoms)

moment conditions for all observations evaluated at a parameter value

method : ‘momcov’, anything else

If method=’momcov’ is cov then the matrix is calculated as simple covariance of the moment conditions. For anything else, a constant cutoff window of length 5 is used.

wargs : tuple

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

Returns :

w : array (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

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