6.7.4.4.1.1.13. statsmodels.sandbox.regression.gmm.DistQuantilesGMM.momcond¶

DistQuantilesGMM.momcond(params)[source]¶

moment conditions for estimating distribution parameters by matching quantiles, defines as many moment conditions as quantiles.

Returns:

difference : array

difference between theoretical and empirical quantiles

Notes

This can be used for method of moments or for generalized method of moments.