statsmodels.stats.sandwich_covariance.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: |
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Returns: |
cov – HAC robust covariance matrix for parameter estimates |
Return type: |
ndarray, (k_vars, k_vars) |
verified only for nlags=0, which is just White just guessing on correction factor, need reference
options might change when other kernels besides Bartlett are available.
© 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_hac.html