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BUG: GEE default covariance is not used #1906
If I set the covariance_type in GEE.fit, then it doesn't seem to be used.
The summary table is the same whatever covariance_type I have chosen.
other issue: I prefer to standardize
moving to prio-high
took me a while to see what's wrong
bse is correctly set and uses the define
However, if we call summary right after fit, then the
also I don't see pvalues being set to the default covariance_type (pvalues are inherited), I haven't verified this yet, just based on reading the code.
Similar, other inherited methods like wald_test and conf_int should be using the wrong cov_params (just a guess)
edit conf_int is not inherited, but it uses "robust" as default in the method argument, and does not default to the chosen
@kshedden I will try to prepare a PR for this so that the inherited methods work correctly.
Two results instances, one with and one without calling summary()
referenced this issue
Aug 19, 2014
@josef-pkt I can work on this, but it sounds like you have already started.
On Wed, Aug 20, 2014 at 12:33 AM, Josef Perktold firstname.lastname@example.org
another tricky piece:
we would have to set it in the fit method already
@kshedden If you want to see how I did it for GEE, the discrete models and for RegressionModel
new keywords in
I started the minimal changes so far in #1916
@kshedden One question, based on my reading of the code the subclasses NominalGEEResults and OrdinalGEEResults never get the naive and bias corrected covariances attached. They are calculated in the super call but not attached to the subclass results instance.
Is this intentional or a bug? Should those two also have all three covariances?
a consequence of fixing this: So far
(more radical change: only calculate robust and robust_bc covariances on demand, and move part of GEE_covmat to be called by the results class. (And store the naive covariance as