linearmodels.system.gmm.HeteroskedasticWeightMatrix.weight_matrix¶

HeteroskedasticWeightMatrix.weight_matrix(x: Sequence[ndarray], z: Sequence[ndarray], eps: ndarray, *, sigma: ndarray | None = None) → ndarray[source]¶

Construct a GMM weight matrix for a model.

Parameters:¶

x: Sequence[ndarray]¶

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

z: Sequence[ndarray]¶

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

eps: ndarray¶

Model errors (nobs by 1)

sigma: ndarray | None = None¶

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

Returns:¶

Covariance of GMM moment conditions.

Return type:¶

numpy.ndarray