linearmodels.asset_pricing.covariance.HeteroskedasticCovariance¶

class linearmodels.asset_pricing.covariance.HeteroskedasticCovariance(xe: ndarray[tuple[int, ...], dtype[float64]], *, 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[tuple[int, ...], dtype[float64]]¶

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