# linearmodels.system.gmm.HomoskedasticWeightMatrix¶

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

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