linearmodels.shared.covariance.cov_cluster¶

linearmodels.shared.covariance.cov_cluster(z: ndarray, clusters: ndarray) → ndarray[source]¶

Core cluster covariance estimator

Parameters:¶

z: ndarray¶

n by k mean zero data array

clusters: ndarray¶

n by 1 array

Returns:¶

k by k cluster asymptotic covariance

Return type:¶

numpy.ndarray