3b7c9ec865c02888620cdf215e61c616e1dcc7a2,linearmodels/tests/iv/test_model.py,,data,#,19

Before Change

    np.random.seed(12345)
    clusters = np.random.randint(0, 10, n)
    rho = 0.5
    r = np.zeros((k + p + 1, k + p + 1))
    r.fill(rho)
    r[-1, 2:] = 0
    r[2:, -1] = 0
    r[-1, -1] = 0.5
    r += np.eye(9) * 0.5
    v = np.random.multivariate_normal(np.zeros(r.shape[0]), r, n)
    x = v[:, :k]
    z = v[:, k : k + p]
    e = v[:, [-1]]

After Change

    params = np.arange(1, k + 1) / k
    params = params[:, None]
    y = x @ params + e
    exog_instr = np.column_stack((x[:, q:], z))
    xhat = exog_instr @ np.linalg.pinv(exog_instr) @ x
    nobs, nvar = x.shape
    s2 = e.T @ e / nobs
    s2_debiased = e.T @ e / (nobs - nvar)

Instances