linearmodels.iv.gmm.KernelWeightMatrix.weight_matrix

KernelWeightMatrix.weight_matrix(x, z, eps)

Parameters:

xndarray

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

zndarray

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

epsndarray

Model errors (nobs by 1)

Returns:

ndarray

Covariance of GMM moment conditions.

Return type:

ndarray