Open s3alfisc opened 3 weeks ago
See equations (9) and (10) in Various Versatile Variances. See also this set of lecture notes.
Implement utility functions _vcov_hc() and _vcov_hac() following the R sandwich package.
_vcov_hc()
_vcov_hac()
sandwich
Allow arguments "hac" for pf.feols() and pf.fepois().
pf.feols()
pf.fepois()
Likely, everything needs to be implemented in numba for performance reasons; the estimators are hard to vectorize.
numba
See equations (9) and (10) in Various Versatile Variances. See also this set of lecture notes.
Implement utility functions
_vcov_hc()and_vcov_hac()following the Rsandwichpackage.Allow arguments "hac" for
pf.feols()andpf.fepois().Likely, everything needs to be implemented in
numbafor performance reasons; the estimators are hard to vectorize.