BUG/ENH: WLS generic robust cov_type didn't use whitened, #1989

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merged 2 commits into from Sep 24, 2014

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@josef-pkt
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see #1896

fix WLS for cluster robust standard errors, and for other generic cov_types

@josef-pkt josef-pkt added this to the 0.6 milestone Sep 23, 2014
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Coverage increased (+0.06%) when pulling 6f108c1 on josef-pkt:wls_covtype into f8cf491 on statsmodels:master.

josef-pkt added some commits Sep 23, 2014
@josef-pkt josef-pkt BUG/ENH: WLS generic robust cov_type didn't use whitened, see #1896
enable tests
693036a
@josef-pkt josef-pkt TST: commented out cases in tests
1c56231
@josef-pkt
Member

for the last commit I was trying out two commented out comparison

fvalue using cov_type HCx, HC0, doesn't agree with Gretl,
(I don't know what Gretl is using. AFAIR we agree with Stata)
fvalue between OLS and WLS don't agree, and I guess they won't see #1212

@josef-pkt
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merge when TravisCI comes back green

@josef-pkt
Member

merge

@josef-pkt josef-pkt merged commit 00007bb into statsmodels:master Sep 24, 2014

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@josef-pkt josef-pkt deleted the josef-pkt:wls_covtype branch Sep 25, 2014
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