GMM.calc_weightmatrix()

statsmodels.sandbox.regression.gmm.GMM.calc_weightmatrix

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

calculate omega or the weighting matrix

Parameters:

moms : array, (nobs, nmoms) moment conditions 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 : 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