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