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scikits.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.

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