linearmodels.iv.gmm.HomoskedasticWeightMatrix¶
- class HomoskedasticWeightMatrix(center=False, debiased=False)[source]¶
Homoskedastic (unadjusted) weight estimation
- Parameters:
Notes
The weight matrix estimator is
\[\begin{split}s^{2} & =n^{-1}\sum_{i=1}^{n}(\epsilon_i-\bar{\epsilon})^2 \\ W & =n^{-1}s^{2}\sum_{i=1}^{n}z_i'z_i\end{split}\]where \(z_i\) contains both the exogenous regressors and instruments.
center
has no effect on this estimator since it is always centered.- Attributes:
config
Weight estimator configuration
Methods
weight_matrix
(x, z, eps)- Parameters:
Properties
Weight estimator configuration