linearmodels.system.gmm.HeteroskedasticWeightMatrix.sigma

HeteroskedasticWeightMatrix.sigma(eps, x)

Estimate residual covariance.

Parameters
epsndarray

The residuals from the system of equations.

xlist[ndarray]

A list of the regressor matrices for each equation in the system.

Returns
ndarray

The estimated covariance matrix of the residuals.

Return type

ndarray