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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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commented Sep 23, 2014

see #1896

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

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commented Sep 23, 2014

Coverage Status

Coverage increased (+0.06%) when pulling 6f108c1 on josef-pkt:wls_covtype into f8cf491 on statsmodels:master.

@josef-pkt josef-pkt force-pushed the josef-pkt:wls_covtype branch from 6f108c1 to 1c56231 Sep 24, 2014

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commented Sep 24, 2014

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

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commented Sep 24, 2014

merge when TravisCI comes back green

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commented Sep 24, 2014

merge

josef-pkt added a commit that referenced this pull request Sep 24, 2014

Merge pull request #1989 from josef-pkt/wls_covtype
BUG/ENH: WLS generic robust cov_type didn't use whitened,

@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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