stats.sandwich_covariance.cov_cluster_2groups()

statsmodels.stats.sandwich_covariance.cov_cluster_2groups

statsmodels.stats.sandwich_covariance.cov_cluster_2groups(results, group, group2=None, use_correction=True) [source]

cluster robust covariance matrix for two groups/clusters

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_both : ndarray, (k_vars, k_vars) cluster robust covariance matrix for parameter estimates, for both clusters cov_0 : ndarray, (k_vars, k_vars) cluster robust covariance matrix for parameter estimates for first cluster cov_1 : ndarray, (k_vars, k_vars) cluster robust covariance matrix for parameter estimates for second cluster

Notes

verified against Peterson’s table, (4 decimal print precision)