6.6.3.3.5.1.3. statsmodels.sandbox.panel.panel_short.ShortPanelGLS.fit_iterative¶

ShortPanelGLS.fit_iterative(maxiter=3)[source]¶

Perform an iterative two-step procedure to estimate the GLS model.

Parameters:

maxiter : integer, optional

the number of iterations

Notes

maxiter=1: returns the estimated based on given weights maxiter=2: performs a second estimation with the updated weights,

this is 2-step estimation

maxiter>2: iteratively estimate and update the weights

TODO: possible extension stop iteration if change in parameter: estimates is smaller than x_tol

Repeated calls to fit_iterative, will do one redundant pinv_wexog calculation. Calling fit_iterative(maxiter) once does not do any redundant recalculations (whitening or calculating pinv_wexog).