linearmodels.system.covariance.GMMHomoskedasticCovariance¶
- class GMMHomoskedasticCovariance(x, z, eps, w, *, sigma=None, debiased=False, constraints=None)[source]¶
Covariance estimator for IV system estimation with homoskedastic data
- Parameters
- x
List
[ndarray
] List containing the model regressors for each equation in the system
- z
List
[ndarray
] List containing the model instruments for each equation in the system
- eps
ndarray
nobs by neq array of residuals where each column corresponds an equation in the system
- w
ndarray
Weighting matrix used in estimation
- sigma
ndarray
Residual covariance used in estimation
- constraints{
None
,LinearConstraint
} Constraints used in estimation, if any
- x
Notes
The covariance is estimated by
\[(X'ZW^{-1}Z'X)^{-1}(X'ZW^{-1}\Omega W^{-1}Z'X)(X'ZW^{-1}Z'X)^{-1}\]where \(\Omega = W = Z'(\Sigma \otimes I_N)Z\) where m is the number of moments in the system
- Attributes
cov
Parameter covariance
cov_config
Optional configuration information used in covariance
Methods
Properties
Parameter covariance
Optional configuration information used in covariance