linearmodels.shared.covariance.cov_cluster¶

linearmodels.shared.covariance.cov_cluster(z: ndarray[tuple[int, ...], dtype[float64]], clusters: ndarray[tuple[int, ...], Any]) → ndarray[tuple[int, ...], dtype[float64]][source]¶

Core cluster covariance estimator.

Parameters:¶

z: ndarray[tuple[int, ...], dtype[float64]]¶

Mean zero data with shape (n, k).

clusters: ndarray[tuple[int, ...], Any]¶

Array with shape (n,) that contains the cluster that each observation belongs to.

Returns:¶

Cluster asymptotic covariance with shape (k, k).

Return type:¶

numpy.ndarray

Raises:¶

ValueError – If clusters contains missing values, since the observations they belong to cannot be assigned to a cluster, or has fewer than two groups.