statsmodels.stats.sandwich_covariance.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: |
|
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Returns: |
cov – cluster robust covariance matrix for parameter estimates |
Return type: |
ndarray, (k_vars, k_vars) |
same result as Stata in UCLA example and same as 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_cluster.html