3.11.19.4.5. statsmodels.stats.sandwich_covariance.S_white_simple¶

statsmodels.stats.sandwich_covariance.S_white_simple(x)[source]¶

inner covariance matrix for White heteroscedastistity sandwich

Parameters:

x : ndarray (nobs,) or (nobs, k_var)

data, for HAC this is array of x_i * u_i

Returns:

S : ndarray, (k_vars, k_vars)

inner covariance matrix for sandwich

Notes

this is just dot(X.T, X)