linearmodels.iv.gmm.OneWayClusteredWeightMatrix¶

class linearmodels.iv.gmm.OneWayClusteredWeightMatrix(clusters: ndarray, center: bool = False, debiased: bool = False)[source]¶

Clustered (one-way) weight estimation

Parameters:¶

clusters: ndarray¶

Array indicating cluster membership

center: bool = False¶

Flag indicating whether to center the moment conditions by subtracting the mean before computing the weight matrix.

debiased: bool = False¶

Flag indicating whether to use small-sample adjustments

Methods

weight_matrix(x, z, eps)

param x: Model regressors (exog and endog), (nobs by nvar)

Properties

config

Weight estimator configuration