statsmodels.stats.sandwich_covariance.cov_hc0

statsmodels.stats.sandwich_covariance.cov_hc0(results)

Heteroscedasticity robust covariance matrix, White’s (1980) HC0

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

Parameters:

resultsresult instance

Results instance from an OLS regression.

Returns:

ndarray

The HC0 heteroscedasticity robust covariance matrix for the parameter estimates.