model.py 文件源码

def estimate_parameters(x, y, z, kappa):
        """
        Parameter estimation without error checking

        Parameters
        ----------
        x : ndarray
            Regressor matrix (nobs by nvar)
        y : ndarray
            Regressand matrix (nobs by 1)
        z : ndarray
            Instrument matrix (nobs by ninstr)
        kappa : scalar
            Parameter value for k-class estimator

        Returns
        -------
        params : ndarray
            Estimated parameters (nvar by 1)

        Notes
        -----
        Exposed as a static method to facilitate estimation with other data,
        e.g., bootstrapped samples.  Performs no error checking.
        """
        pinvz = pinv(z)
        p1 = (x.T @ x) * (1 - kappa) + kappa * ((x.T @ z) @ (pinvz @ x))
        p2 = (x.T @ y) * (1 - kappa) + kappa * ((x.T @ z) @ (pinvz @ y))
        return inv(p1) @ p2