linearmodels.system.gmm.HeteroskedasticWeightMatrix.weight_matrix¶
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HeteroskedasticWeightMatrix.weight_matrix(x: Sequence[ndarray[Any, dtype[float64]]], z: Sequence[ndarray[Any, dtype[float64]]], eps: ndarray[Any, dtype[float64]], *, sigma: ndarray | None =
None) ndarray[Any, dtype[float64]][source]¶ Construct a GMM weight matrix for a model.
- Parameters:¶
- x: Sequence[ndarray[Any, dtype[float64]]]¶
Model regressors (exog and endog), (nobs by nvar)
- z: Sequence[ndarray[Any, dtype[float64]]]¶
Model instruments (exog and instruments), (nobs by ninstr)
- eps: ndarray[Any, 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:¶