calc_weightmatrix(moms, weights_method='cov', wargs=(), params=None)¶
calculate omega or the weighting matrix
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.
w : array (nmoms, nmoms)
estimate for the weighting matrix or covariance of the moment condition
currently a constant cutoff window is used TODO: implement long-run cov estimators, kernel-based
Newey-West Andrews Andrews-Moy????
Greene Hansen, Bruce