DOC: HCCM are now available for WLS #1337

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jseabold opened this Issue Jan 28, 2014 · 5 comments

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@jseabold
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Need to update the docs to no longer say "HCCM matrices are only appropriate for OLS."

@jseabold
Member

Probably should also raise a Warning if used after WLS or GLS. For 0.5.1?

@josef-pkt
Member

Probably should also raise a Warning if used after WLS or GLS. For 0.5.1?

That would be better. We could have moved them to OLSResults when we created that.

@jseabold
Member

So what's the right thing to do here? There are about 100 open issues for robust covariances, and I dont find where these were added for WLS/GLS.

Just remove the note about it only being appropriate for OLS? Raise a warning? Refactor?

@josef-pkt josef-pkt added the prio-high label Sep 21, 2014
@josef-pkt
Member

I think we can remove all warnings about robust covariances not being available.

relevant issue for WLS is #1209
GLS should work by analogy, but I don't know what to test against in Stata.
I haven't looked at sandwiches for GLSAR yet. I pretty sure HAC can be used to protect against misspecified autocorrelation.

prio-high that I verify a few things

(aside: agile programming: I went through 4, 5 or more rounds of developing the sandwiches, and I lost the overview over all the details.)

@jseabold jseabold closed this in b9c993a Sep 21, 2014
@josef-pkt
Member

see #1896 for sandwiches that where still incompletely changed to work for WLS

@josef-pkt josef-pkt removed the prio-high label Sep 23, 2014
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