statsmodels.regression.linear_model.OLSResults.HC0_se

OLSResults.HC0_se

White’s (1980) heteroskedasticity robust standard errors.

Notes

Defined as sqrt(diag(X.T X)^(-1)X.T diag(e_i^(2)) X(X.T X)^(-1) where e_i = resid[i].

When HC0_se or cov_HC0 is called the RegressionResults instance will then have another attribute het_scale, which is in this case is just resid**2.


Last update: Feb 28, 2024