'IV2SLS' 对象没有属性 'pinv_wexog'

Question

我从 statsmodels.sandbox.regression.gmm、

导入 IV2SLS

但是没能做到异方差鲁棒协方差

from statsmodels.sandbox.regression.gmm import IV2SLS

endog = cig_1995['lpackpc']
exog = cig_1995[['constant', 'lravgprs']]
instrument = cig_1995[['constant', 'rtaxso']]
results = IV2SLS(endog=endog,exog=exog,instrument=instrument).fit()
results = results.get_robustcov_results(cov_type='HC1')

AttributeError: 'IV2SLS' object has no attribute 'pinv_wexog'

Answer 1

您可以使用 linearmodels 包，其中包含 IV2SLS. The syntax is nearly the same as that incomplete version in statsmodels. The only difference is how you specify the covariance estimator, which is part of fit.

的有效且经过测试的实现

from linearmodels import IV2SLS

endog = cig_1995['lpackpc']
exog = cig_1995[['constant', 'lravgprs']]
instrument = cig_1995[['constant', 'rtaxso']]
results = IV2SLS(endog=endog,exog=exog,instrument=instrument).fit(cov_type="robust")

'IV2SLS' 对象没有属性 'pinv_wexog'

'IV2SLS' object has no attribute 'pinv_wexog'

python

statsmodels