statsmodels.stats.sandwich_covariance.cov_hac

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:

• results (result instance) – result of a regression, uses results.model.exog and results.resid TODO: this should use wexog instead
• nlags (int or None) – highest lag to include in kernel window. If None, then nlags = floor[4(T/100)^(2/9)] is used.
• weights_func (callable) – weights_func is called with nlags as argument to get the kernel weights. default are Bartlett weights

Returns:

cov – HAC robust covariance matrix for parameter estimates

Return type:

ndarray, (k_vars, k_vars)

Notes

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.