statsmodels.stats.sandwich_covariance.cov_hc1

statsmodels.stats.sandwich_covariance.cov_hc1(results)

Heteroscedasticity robust covariance matrix, MacKinnon-White’s HC1

Defined as sqrt(diag(n/(n-p)*HC_0)). See statsmodels.RegressionResults.

Parameters:

resultsresult instance

Results instance from an OLS regression.

Returns:

ndarray

The HC1 heteroscedasticity robust covariance matrix for the parameter estimates.