linearmodels.iv.gmm.HomoskedasticWeightMatrix

class HomoskedasticWeightMatrix(center=False, debiased=False)

Homoskedastic (unadjusted) 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

\[\begin{split}s^{2} & =n^{-1}\sum_{i=1}^{n}(\epsilon_i-\bar{\epsilon})^2 \\ W & =n^{-1}s^{2}\sum_{i=1}^{n}z_i'z_i\end{split}\]

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

config

Weight estimator configuration