3.11.1.1.14. statsmodels.stats.api.cov_cluster¶

statsmodels.stats.api.cov_cluster(results, group, use_correction=True)[source]¶

cluster robust covariance matrix

Calculates sandwich covariance matrix for a single cluster, i.e. grouped variables.

Parameters:

results : result instance

result of a regression, uses results.model.exog and results.resid TODO: this should use wexog instead

use_correction : bool

If true (default), then the small sample correction factor is used.

Returns:

cov : ndarray, (k_vars, k_vars)

cluster robust covariance matrix for parameter estimates

Notes

same result as Stata in UCLA example and same as Peterson