linearmodels.system.gmm.KernelWeightMatrix.sigma¶

KernelWeightMatrix.sigma(eps: ndarray, x: Sequence[ndarray]) → ndarray¶

Estimate residual covariance.

Parameters:¶

eps: ndarray¶

The residuals from the system of equations.

x: Sequence[ndarray]¶

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

Returns:¶

The estimated covariance matrix of the residuals.

Return type:¶

numpy.ndarray