statsmodels.regression.linear_model.RegressionResults.HC0_se¶
- RegressionResults.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:
Oct 12, 2024