REF: hac-panel, hac_groupsum, avoid np.diff for group identification

statsmodels · Aug 16, 2016 · 7066842 · 7066842
1 parent 1ecc95e
commit 7066842
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Showing 3 changed files with 4 additions and 5 deletions.
diff --git a/statsmodels/base/covtype.py b/statsmodels/base/covtype.py
@@ -252,7 +252,7 @@ def get_robustcov_results(self, cov_type='HC1', use_t=None, **kwds):
             nobs_ = len(groups)
         elif time is not None:
             # TODO: clumsy time index in cov_nw_panel
-            tt = (np.nonzero(np.diff(time) < 0)[0] + 1).tolist()
+            tt = (np.nonzero(time[1:] < time[:-1])[0] + 1).tolist()
             nobs_ = len(time)
         else:
             raise ValueError('either time or groups needs to be given')
@@ -277,7 +277,7 @@ def get_robustcov_results(self, cov_type='HC1', use_t=None, **kwds):
         res.cov_kwds['weights_func'] = weights_func
         if adjust_df:
             # need to find number of groups
-            tt = (np.nonzero(np.diff(time) < 0)[0] + 1)
+            tt = (np.nonzero(time[1:] < time[:-1])[0] + 1)
             self.n_groups = n_groups = len(tt) + 1
         res.cov_params_default = sw.cov_nw_groupsum(self, maxlags, time,
                                         weights_func=weights_func,

diff --git a/statsmodels/discrete/tests/test_sandwich_cov.py b/statsmodels/discrete/tests/test_sandwich_cov.py
@@ -653,7 +653,6 @@ def setup_class(cls):
                     use_correction='hac',
                     df_correction=False)
         cls.res1 = mod1.fit(cov_type='hac-panel', cov_kwds=kwds)
-        cls.res1b = mod1.fit(cov_type='nw-panel', cov_kwds=kwds)
 
         mod2 = OLS(endog, exog)
         cls.res2 = mod2.fit(cov_type='hac-panel', cov_kwds=kwds)

diff --git a/statsmodels/regression/linear_model.py b/statsmodels/regression/linear_model.py
@@ -2054,7 +2054,7 @@ def get_robustcov_results(self, cov_type='HC1', use_t=None, **kwds):
                 nobs_ = len(groups)
             elif time is not None:
                 # TODO: clumsy time index in cov_nw_panel
-                tt = (np.nonzero(np.diff(time) < 0)[0] + 1).tolist()
+                tt = (np.nonzero(time[1:] < time[:-1])[0] + 1).tolist()
                 nobs_ = len(time)
             else:
                 raise ValueError('either time or groups needs to be given')
@@ -2079,7 +2079,7 @@ def get_robustcov_results(self, cov_type='HC1', use_t=None, **kwds):
             res.cov_kwds['weights_func'] = weights_func
             if adjust_df:
                 # need to find number of groups
-                tt = (np.nonzero(np.diff(time) < 0)[0] + 1)
+                tt = (np.nonzero(time[1:] < time[:-1])[0] + 1)
                 self.n_groups = n_groups = len(tt) + 1
             res.cov_params_default = sw.cov_nw_groupsum(self, maxlags, time,
                                             weights_func=weights_func,