linearmodels.system.gmm.HomoskedasticWeightMatrix.weight_matrix

HomoskedasticWeightMatrix.weight_matrix(x, z, eps, *, sigma)

Construct a GMM weight matrix for a model.

Parameters:

xlist[ndarray]

List of containing model regressors for each equation in the system

zlist[ndarray]

List of containing instruments for each equation in the system

epsndarray

Model errors (nobs by neqn)

sigmandarray

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

Returns:

ndarray

Covariance of GMM moment conditions.

Return type:

ndarray