statsmodels.stats.sandwich_covariance.cov_white_simple¶
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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
Returns: cov : ndarray, (k_vars, k_vars)
heteroscedasticity robust covariance matrix for parameter estimates
Notes
This produces the same result as cov_hc0, and does not include any small sample correction.
verified (against LinearRegressionResults and Peterson)