6.6.6. statsmodels.sandbox.panel.sandwich_covariance¶
temporary compatibility module
TODO: remove in 0.5.0
6.6.6.1. Functions¶
cov_cluster(results, group[, use_correction]) |
cluster robust covariance matrix |
cov_cluster_2groups(results, group[, ...]) |
cluster robust covariance matrix for two groups/clusters |
cov_hac(results[, nlags, weights_func, ...]) |
heteroscedasticity and autocorrelation robust covariance matrix (Newey-West) |
cov_hac_simple(results[, nlags, ...]) |
|
cov_hc0(results) |
See statsmodels.RegressionResults |
cov_hc1(results) |
See statsmodels.RegressionResults |
cov_hc2(results) |
See statsmodels.RegressionResults |
cov_hc3(results) |
See statsmodels.RegressionResults |
cov_nw_panel(results, nlags, groupidx[, ...]) |
Panel HAC robust covariance matrix |
cov_white_simple(results[, use_correction]) |
heteroscedasticity robust covariance matrix (White) |
se_cov(cov) |
get standard deviation from covariance matrix |
weights_bartlett(nlags) |
Bartlett weights for HAC |
weights_uniform(nlags) |
uniform weights for HAC |