linearmodels.system.gmm.KernelWeightMatrix.sigma¶

KernelWeightMatrix.sigma(eps: ndarray[tuple[int, ...], dtype[float64]], x: Sequence[ndarray[tuple[int, ...], dtype[float64]]]) → ndarray[tuple[int, ...], dtype[float64]]¶

Estimate residual covariance.

Parameters:¶

eps: ndarray[tuple[int, ...], dtype[float64]]¶

The residuals from the system of equations, with shape (nobs, neq).

x: Sequence[ndarray[tuple[int, ...], dtype[float64]]]¶

The regressors of each equation in the system, with shape (nobs, k_i) for equation i.

Returns:¶

The estimated covariance matrix of the residuals.

Return type:¶

numpy.ndarray