linearmodels.system.gmm.HomoskedasticWeightMatrix.weight_matrix

HomoskedasticWeightMatrix.weight_matrix(x, z, eps, *, sigma)[source]

Construct a GMM weight matrix for a model.

Parameters
xlist[ndarray]

List of containing model regressors for each equation in the system

zlist[ndarray]

List of containing instruments for each equation in the system

epsndarray

Model errors (nobs by neqn)

sigmandarray

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

Returns
ndarray

Covariance of GMM moment conditions.

Return type

ndarray