model.py 文件源码

def _estimate_kappa(self):
        y, x, z = self._wy, self._wx, self._wz
        is_exog = self._regressor_is_exog
        e = c_[y, x[:, ~is_exog]]
        x1 = x[:, is_exog]
        if x1.shape[1] == 0:
            # No exogenous regressors
            return 1

        ez = e - z @ (pinv(z) @ e)
        ex1 = e - x1 @ (pinv(x1) @ e)

        vpmzv_sqinv = inv_sqrth(ez.T @ ez)
        q = vpmzv_sqinv @ (ex1.T @ ex1) @ vpmzv_sqinv
        return min(eigvalsh(q))