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Statsmodels
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stats.sandwich_covariance.cov_nw_panel()

statsmodels.stats.sandwich_covariance.cov_nw_panel

statsmodels.stats.sandwich_covariance.cov_nw_panel(results, nlags, groupidx, weights_func=<function weights_bartlett>, use_correction='hac') [source]

Panel HAC robust covariance matrix

Assumes we have a panel of time series with consecutive, equal spaced time periods. Data is assumed to be in long format with time series of each individual stacked into one array. Panel can be unbalanced.

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