statsmodels.stats.sandwich_covariance.cov_hc2

statsmodels.stats.sandwich_covariance.cov_hc2(results)

Heteroscedasticity robust covariance matrix, MacKinnon-White’s HC2

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. See statsmodels.RegressionResults.

Parameters:

resultsresult instance

Results instance from an OLS regression.

Returns:

ndarray

The HC2 heteroscedasticity robust covariance matrix for the parameter estimates.