stats.sandwich_covariance.cov_cluster()

statsmodels.stats.sandwich_covariance.cov_cluster

statsmodels.stats.sandwich_covariance.cov_cluster(results, group, use_correction=True) [source]

cluster robust covariance matrix

Calculates sandwich covariance matrix for a single cluster, i.e. grouped variables.

Parameters:	results : result instance result of a regression, uses results.model.exog and results.resid TODO: this should use wexog instead use_correction : bool If true (default), then the small sample correction factor is used.
Returns:	cov : ndarray, (k_vars, k_vars) cluster robust covariance matrix for parameter estimates

Notes

same result as Stata in UCLA example and same as Peterson