linearmodels.system.gmm.HomoskedasticWeightMatrix.weight_matrix¶

HomoskedasticWeightMatrix.weight_matrix(x: Sequence[ndarray], z: Sequence[ndarray], eps: ndarray, *, sigma: ndarray) → ndarray[source]¶

Construct a GMM weight matrix for a model.

Parameters:¶

x: Sequence[ndarray]¶

List of containing model regressors for each equation in the system

z: Sequence[ndarray]¶

List of containing instruments for each equation in the system

eps: ndarray¶

Model errors (nobs by neqn)

sigma: ndarray¶

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

Returns:¶

Covariance of GMM moment conditions.

Return type:¶

numpy.ndarray