linearmodels.panel.covariance.FamaMacBethCovariance¶
- class FamaMacBethCovariance(y, x, params, all_params, *, debiased=False, bandwidth=None, kernel=None)[source]¶
HAC estimator for Fama-MacBeth estimator
- Parameters:
- y
ndarray
(entity x time) by 1 stacked array of dependent
- x
ndarray
(entity x time) by variables stacked array of exogenous
- params
ndarray
(variables by 1) array of estimated model parameters
- all_params
ndarray
(nobs by variables) array of all estimated model parameters
- debiasedbool
Flag indicating whether to debias the estimator.
- bandwidth
int
Non-negative integer to use as bandwidth. Set to 0 to disable autocorrelation robustness. If not provided a rule-of- thumb value is used.
- kernel
str
Name of one of the supported kernels. If None, uses the Newey-West kernel.
- y
Notes
Covariance is a Kernel covariance of all estimated parameters.
- Attributes:
Methods
Covariance calculation deferred until executed
Properties
The set of parameters estimated for each of the time periods
Estimator bandwidth
Estimated covariance
Model residuals
Covariance estimator name
Error variance