linearmodels.system.gmm.HeteroskedasticWeightMatrix.weight_matrix¶

HeteroskedasticWeightMatrix.weight_matrix(x: Sequence[ndarray[tuple[int, ...], dtype[float64]]], z: Sequence[ndarray[tuple[int, ...], dtype[float64]]], eps: ndarray[tuple[int, ...], dtype[float64]], *, sigma: ndarray | None = None) → ndarray[tuple[int, ...], dtype[float64]][source]¶

Construct a GMM weight matrix for a model.

Parameters:¶

x: Sequence[ndarray[tuple[int, ...], dtype[float64]]]¶

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

z: Sequence[ndarray[tuple[int, ...], dtype[float64]]]¶

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

eps: ndarray[tuple[int, ...], dtype[float64]]¶

Model errors (nobs by 1)

sigma: ndarray | None = None¶

Fixed covariance of model errors. If None, estimated from eps.

Returns:¶

Covariance of GMM moment conditions.

Return type:¶

numpy.ndarray