statsmodels.sandbox.regression.gmm.LinearIVGMM.calc_weightmatrix
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LinearIVGMM.calc_weightmatrix(moms, weights_method='cov', wargs=(), params=None)
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calculate omega or the weighting matrix
Parameters: moms : array, (nobs, nmoms)
moment conditions for all observations evaluated at a parameter value
weights_method : string ?cov?
If method=?cov? is cov then the matrix is calculated as simple covariance of the moment conditions. see fit method for available aoptions for the weight and covariance matrix
wargs : tuple or dict
parameters that are required by some kernel methods to estimate the long-run covariance. Not used yet.
Returns: w : array (nmoms, nmoms)
estimate for the weighting matrix or covariance of the moment condition
Notes
currently a constant cutoff window is used TODO: implement long-run cov estimators, kernel-based
Newey-West Andrews Andrews-Moy????
References
Greene Hansen, Bruce
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