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Compare lr test rebased #1214
I skipped some redundant commits, and edited the commits during merge conflicts (in almost every commit).
Main change besides cleanup of reverted and unnecessary commits is in default cov_type="nonrobust" especially commit 4d517f5
A second change that I kept from my sandwich branch and didn't change during rebase is that the default is
Discussion on cov_type="nonrobust"
#1189 (comment) and follow-up
I changed "H" for homoscedasticity to "nonrobust", both because I'm not a fan of one letter names (does H mean homo- or heteroscedasticity as in HCx), and because "nonrobust" doesn't imply that we assume homoscedasticity.
To the later point:
Same applies to auto- or cluster correlation.
Plus, Wooldridge talks all the time of using robust or not robust covariance matrices or hypothesis tests.
So far I can think of only "nonrobust" that captures the idea that we are not robust to misspecification of the error covariance matrix. The opposite view would be the model has correctly specified second moments, but I don't know a good short name for that.
I didn't review yet the new functions in detail.
@bashtage do you see anything obvious that I might have messed up during rebase?
The test suite passes, and I would like to merge this soon, so we have again a common code for working on the next parts, with hopefully fewer merge conflicts next time.