linearmodels.system.gmm.KernelWeightMatrix.weight_matrix¶
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KernelWeightMatrix.weight_matrix(x: Sequence[ndarray[Any, dtype[float64]]], z: Sequence[ndarray[Any, dtype[float64]]], eps: ndarray[Any, dtype[float64]], *, sigma: ndarray | None =
None) ndarray[Any, dtype[float64]][source]¶ Construct a GMM weight matrix for a model.
- Parameters:¶
- x: Sequence[ndarray[Any, dtype[float64]]]¶
Model regressors (exog and endog)
- z: Sequence[ndarray[Any, dtype[float64]]]¶
Model instruments (exog and instruments)
- eps: ndarray[Any, dtype[float64]]¶
Model errors (nobs by nequation)
- sigma: ndarray | None =
None¶ Fixed covariance of model errors. If None, estimated from eps.
- Returns:¶
Covariance of GMM moment conditions.
- Return type:¶