linearmodels.iv.gmm.HeteroskedasticWeightMatrix

class HeteroskedasticWeightMatrix(center=False, debiased=False)[source]

Heteroskedasticity robust weight estimation

Parameters:
centerbool

Flag indicating whether to center the moment conditions by subtracting the mean before computing the weight matrix.

debiasedbool

Flag indicating whether to use small-sample adjustments

Notes

The weight matrix estimator is

\[\begin{split}g_i & =z_i\epsilon_i\\ W & =n^{-1}\sum_{i=1}^{n}g'_ig_i\end{split}\]

where \(z_i\) contains both the exogenous regressors and instruments.

Attributes:
config

Weight estimator configuration

Methods

weight_matrix(x, z, eps)

Parameters:

Properties

config

Weight estimator configuration