linearmodels.system.gmm.HomoskedasticWeightMatrix.weight_matrix¶
- HomoskedasticWeightMatrix.weight_matrix(x: Sequence[ndarray[tuple[int, ...], dtype[float64]]], z: Sequence[ndarray[tuple[int, ...], dtype[float64]]], eps: ndarray[tuple[int, ...], dtype[float64]], *, sigma: ndarray) ndarray[tuple[int, ...], dtype[float64]][source]¶
Construct a GMM weight matrix for a model.
- Parameters:¶
- x: Sequence[ndarray[tuple[int, ...], dtype[float64]]]¶
List of containing model regressors for each equation in the system
- z: Sequence[ndarray[tuple[int, ...], dtype[float64]]]¶
List of containing instruments for each equation in the system
- eps: ndarray[tuple[int, ...], dtype[float64]]¶
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:¶