statsmodels.regression.linear_model.RegressionResults.HC2_se¶
- RegressionResults.HC2_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)) X(X.T X)^(-1) where h_ii = x_i(X.T X)^(-1)x_i.T
When HC2_se or cov_HC2 is called the RegressionResults instance will then have another attribute het_scale, which is in this case is resid^(2)/(1-h_ii).
Last update:
Oct 08, 2024