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GLM robust sandwich covariance matrices #1738
GLM in Stata has vce(robust) vce(hac) and vce(cluster), for hac see #1625
It looks like all we need is score_obs and Hessian, and we can use the generic code for sandwiches.
(I added test results for GLM binomial (Logit) for vce(robust) to the fit_constrained PR #1714 )
referenced this issue
Aug 21, 2014
@jseabold you can pretty much ignore all cov_type robust covariance issues.
Except for documentation I don't have anything more planned for 0.6.
for example, Kerby just ran into the issue of OIM versus EIM covariances in GLM, for which there is no option yet. (IRLS has expected information matrix, the hessian defaults to observed information matrix)
quasi-poisson is also not checked/tested yet, even though it might have been implemented since the beginning.