linearmodels.iv.gmm.HeteroskedasticWeightMatrix.weight_matrix

HeteroskedasticWeightMatrix.weight_matrix(x, z, eps)

Parameters

xndarray

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

zndarray

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

epsndarray

Model errors (nobs by 1)

Returns

ndarray

Covariance of GMM moment conditions.

Return type

ndarray