linearmodels.system.gmm.HomoskedasticWeightMatrix

class HomoskedasticWeightMatrix(center=False, debiased=False)[source]

Homoskedastic (unadjusted) weight estimation

Parameters:
centerbool

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

debiasedbool

Flag indicating whether to use small-sample adjustments

Notes

The weight matrix estimator is

\[Z'(\Sigma \otimes I_N)Z\]

where \(Z\) is a block diagonal matrix containing both the exogenous regressors and instruments and \(\Sigma\) is the covariance of the model residuals.

center has no effect on this estimator since it is always centered.

Attributes:
config

Weight estimator configuration

Methods

sigma(eps, x)

Estimate residual covariance.

weight_matrix(x, z, eps, *, sigma)

Construct a GMM weight matrix for a model.

Properties

config

Weight estimator configuration