linearmodels.system.gmm.KernelWeightMatrix.weight_matrix¶ KernelWeightMatrix.weight_matrix(x, z, eps, *, sigma=None)[source]¶ Construct a GMM weight matrix for a model. Parameters: xlist[ndarray]Model regressors (exog and endog) zlist[ndarray]Model instruments (exog and instruments) epsndarrayModel errors (nobs by nequation) sigmandarrayFixed covariance of model errors. If None, estimated from eps. Returns: ndarrayCovariance of GMM moment conditions. Return type: Float64Array