linearmodels.iv.gmm.HomoskedasticWeightMatrix¶

class linearmodels.iv.gmm.HomoskedasticWeightMatrix(center: bool = False, debiased: bool = False)[source]¶

Homoskedastic (unadjusted) weight estimation

Parameters:¶

center: bool = False¶

Flag indicating whether to center the moment conditions by subtracting the mean before computing the weight matrix.

debiased: bool = False¶

Flag indicating whether to use small-sample adjustments

Notes

The weight matrix estimator is

\[\begin{split}s^{2} & =n^{-1}\sum_{i=1}^{n}(\epsilon_i-\bar{\epsilon})^2 \\ W & =n^{-1}s^{2}\sum_{i=1}^{n}z_i'z_i\end{split}\]

where \(z_i\) contains both the exogenous regressors and instruments.

center has no effect on this estimator since it is always centered.

Methods

weight_matrix(x, z, eps)

param x: Model regressors (exog and endog), (nobs by nvar)

Properties

config

Weight estimator configuration