linearmodels.system.gmm.HeteroskedasticWeightMatrix.weight_matrix¶
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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]]]¶
The regressors (exog and endog) of each equation in the system, with shape (nobs, k_i) for equation i.
- z: Sequence[ndarray[tuple[int, ...], dtype[float64]]]¶
The instruments (exog and instruments) of each equation in the system, with shape (nobs, nz_i) for equation i.
- eps: ndarray[tuple[int, ...], dtype[float64]]¶
Model errors, with shape (nobs, neqn).
- sigma: ndarray | None =
None¶ Not used by this estimator. It is accepted so that all the weight matrix estimators have the same signature.
- Returns:¶
Weight matrix, which is the covariance of the GMM moment conditions with shape (nmoments, nmoments).
- Return type:¶