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statsmodels.stats.sandwich_covariance.cov_cluster

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:
  • 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 – cluster robust covariance matrix for parameter estimates

Return type:

ndarray, (k_vars, k_vars)

Notes

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