Statsmodels stats sandwich covariance cov hac example. RegressionResults License: BSD-3 Dec 3, 2019 · In [1]: import pandas as pd import statsmodels. cov_hac(results, nlags=None, weights_func=<function weights_bartlett>, use_correction=True) heteroscedasticity and autocorrelation robust covariance matrix (Newey-West) Assumes we have a single time series with zero axis consecutive, equal spaced time periods Parameters results : result instance result of a One method is generalized least squares, which requires a manual alteration of the original equation. statsmodels. stats. Another is computing robust standard errors, which corrects the fit statistics to account for the heteroskedasticity. cov_white_simple(model1) # HC0 sm. 4. exog and If None, then nlags = floor [4 (T/100)^ (2/9)] is used. cov_hac(model1,nlags=4) sm. Returns Returns cov – HAC robust covariance matrix for parameter estimates Return type ndarray, (k_vars, k_vars) Notes For nlags=0, this is just White covariance, cov_white. dtdgy kjcg parev uzuxv kgzm qgldwc zhesn vpck joz ksr