linearmodels.system.gmm.KernelWeightMatrix.weight_matrix

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

Construct a GMM weight matrix for a model.

Parameters
xList[ndarray]

Model regressors (exog and endog)

zList[ndarray]

Model instruments (exog and instruments)

epsndarray

Model errors (nobs by nequation)

sigmandarray

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

Returns
ndarray

Covariance of GMM moment conditions.

Return type

ndarray