linearmodels.system.gmm.HeteroskedasticWeightMatrix.weight_matrix

HeteroskedasticWeightMatrix.weight_matrix(x, z, eps, *, sigma=None)[source]

Construct a GMM weight matrix for a model.

Parameters
xlist[ndarray]

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

zlist[ndarray]

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

epsndarray

Model errors (nobs by 1)

sigmandarray

Fixed covariance of model errors. If None, estimated from eps.

Returns
ndarray

Covariance of GMM moment conditions.

Return type

ndarray