linearmodels.iv.gmm.HeteroskedasticWeightMatrix.weight_matrix¶

HeteroskedasticWeightMatrix.weight_matrix(x: ndarray, z: ndarray, eps: ndarray) → ndarray[source]¶

Parameters:¶

x: ndarray¶

Model regressors (exog and endog), (nobs by nvar)

z: ndarray¶

Model instruments (exog and instruments), (nobs by ninstr)

eps: ndarray¶

Model errors (nobs by 1)

Returns:¶

Covariance of GMM moment conditions.

Return type:¶

numpy.ndarray