statsmodels.stats.sandwich_covariance.cov_white_simple¶
-
statsmodels.stats.sandwich_covariance.
cov_white_simple
(results, use_correction=True)[source]¶ heteroscedasticity robust covariance matrix (White)
- Parameters
- results
result
instance
result of a regression, uses results.model.exog and results.resid TODO: this should use wexog instead
- results
- Returns
- cov
ndarray
, (k_vars
,k_vars
) heteroscedasticity robust covariance matrix for parameter estimates
- cov
See also
Notes
This produces the same result as cov_hc0, and does not include any small sample correction.
verified (against LinearRegressionResults and Peterson)