linearmodels.iv.gmm.HeteroskedasticWeightMatrix¶
- class HeteroskedasticWeightMatrix(center=False, debiased=False)[source]¶
Heteroskedasticity robust weight estimation
- Parameters:
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
Weight estimator configuration