linearmodels.asset_pricing.covariance.HeteroskedasticCovariance

class linearmodels.asset_pricing.covariance.HeteroskedasticCovariance(xe: ndarray, *, jacobian: ndarray | None = None, inv_jacobian: ndarray | None = None, center: bool = True, debiased: bool = False, df: int = 0)[source]

Heteroskedasticity robust covariance estimator

Parameters:
xe: ndarray

Scores/moment conditions

jacobian: ndarray | None = None

Jacobian. One and only one of jacobian and inv_jacobian must be provided

inv_jacobian: ndarray | None = None

Inverse jacobian. One and only one of jacobian and inv_jacobian must be provided. Default is None.

center: bool = True

Flag indicating to center the scores when computing the covariance. Default is true.

debiased: bool = False

Flag indicating to use a debiased estimator. Default is False.

df: int = 0

Degree of freedom value ot use if debiasing. Default is 0.

Methods

Properties

config

cov

Compute parameter covariance

inv_jacobian

Inverse Jacobian

jacobian

The Jacobian

s

Score/moment condition covariance

square

Flag indicating if jacobian is square