linearmodels.iv.gmm.HeteroskedasticWeightMatrix.weight_matrix

HeteroskedasticWeightMatrix.weight_matrix(x: ndarray[tuple[int, ...], dtype[float64]], z: ndarray[tuple[int, ...], dtype[float64]], eps: ndarray[tuple[int, ...], dtype[float64]]) ndarray[tuple[int, ...], dtype[float64]][source]
Parameters:
x: ndarray[tuple[int, ...], dtype[float64]]

Model regressors (exog and endog), (nobs by nvar)

z: ndarray[tuple[int, ...], dtype[float64]]

Model instruments (exog and instruments), (nobs by ninstr)

eps: ndarray[tuple[int, ...], dtype[float64]]

Model errors (nobs by 1)

Returns:

Covariance of GMM moment conditions.

Return type:

numpy.ndarray