statsmodels.sandbox.regression.gmm.IVRegressionResults.HC3_se

IVRegressionResults.HC3_se

MacKinnon and White’s (1985) heteroskedasticity robust standard errors.

Notes

Defined as (X.T X)^(-1)X.T diag(e_i^(2)/(1-h_ii)^(2)) X(X.T X)^(-1) where h_ii = x_i(X.T X)^(-1)x_i.T.

When HC3_se or cov_HC3 is called the RegressionResults instance will then have another attribute het_scale, which is in this case is resid^(2)/(1-h_ii)^(2).