- GMM.calc_weightmatrix(moms, weights_method='cov', wargs=(), params=None)¶
calculate omega or the weighting matrix
moment conditions (nobs x nmoms) for all observations evaluated at a parameter value
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
parameters that are required by some kernel methods to estimate the long-run covariance. Not used yet.
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