search

statsmodels / statsmodels

Statsmodels: statistical modeling and econometrics in Python
http://www.statsmodels.org/devel/
BSD 3-Clause "New" or "Revised" License
10.12k stars 2.88k forks source link

ENH: add generic cov_type='opg' #4678

Open josef-pkt opened 6 years ago

josef-pkt commented 6 years ago

The ResultMixin for GenericLikelihoodModelResults has still covjac for the OPG cov_params.

OPG is available in statespace models, but not for all MLE that define score_obs. In linear regression models, like OLS, OPG is the same as 'nonrobust'. I'm not sure, but in GLM it is most likely the same as EIM and normalized_cov_params returned by WLS in fit_irls (at least for canonical link).

It should be easy to add this to the generic _get_robustcov_results.

josef-pkt commented 6 years ago

ambiguity: OPG on score_obs is HC cov_score, but we don't use the sandwich form.