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linearmodels.system.gmm.HeteroskedasticWeightMatrix.sigma¶

HeteroskedasticWeightMatrix.sigma(eps, x)¶

Estimate residual covariance.

Parameters:

epsndarray: The residuals from the system of equations.
xlist[ndarray]: A list of the regressor matrices for each equation in the system.

Returns:

ndarray: The estimated covariance matrix of the residuals.

Return type:: ndarray