stats.sandwich_covariance.cov_white_simple()
statsmodels.stats.sandwich_covariance.cov_white_simple
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statsmodels.stats.sandwich_covariance.cov_white_simple(results, use_correction=True)
[source] -
heteroscedasticity robust covariance matrix (White)
Parameters: results : result instance
result of a regression, uses results.model.exog and results.resid TODO: this should use wexog instead
Returns: cov : ndarray, (k_vars, k_vars)
heteroscedasticity robust covariance matrix for parameter estimates
Notes
This produces the same result as cov_hc0, and does not include any small sample correction.
verified (against LinearRegressionResults and Peterson)
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.stats.sandwich_covariance.cov_white_simple.html