from statsmodels.regression.linear_model import OLS, GLSAR from statsmodels.tools.tools import add_constant from statsmodels.datasets import macrodata import statsmodels.regression.tests.results.results_macro_ols_robust as res d2 = macrodata.load(as_pandas=False).data g_gdp = 400*np.diff(np.log(d2['realgdp'])) g_inv = 400*np.diff(np.log(d2['realinv'])) exogg = add_constant(np.c_[g_gdp, d2['realint'][:-1]], prepend=False) res_olsg = OLS(g_inv, exogg).fit() print(res_olsg.summary()) res_hc0 = res_olsg.get_robustcov_results('HC1') print('\n\n') print(res_hc0.summary()) print('\n\n') res_hac4 = res_olsg.get_robustcov_results('HAC', maxlags=4, use_correction=True) print(res_hac4.summary()) print('\n\n') tt = res_hac4.t_test(np.eye(len(res_hac4.params))) print(tt.summary()) print('\n\n') print(tt.summary_frame()) res_hac4.use_t = False
import numpy as np from statsmodels.regression.linear_model import OLS, GLSAR from statsmodels.tools.tools import add_constant from statsmodels.datasets import macrodata import statsmodels.regression.tests.results.results_macro_ols_robust as res d2 = macrodata.load().data g_gdp = 400 * np.diff(np.log(d2["realgdp"])) g_inv = 400 * np.diff(np.log(d2["realinv"])) exogg = add_constant(np.c_[g_gdp, d2["realint"][:-1]], prepend=False) res_olsg = OLS(g_inv, exogg).fit() print(res_olsg.summary()) res_hc0 = res_olsg.get_robustcov_results("HC1") print("\n\n") print(res_hc0.summary()) print("\n\n") res_hac4 = res_olsg.get_robustcov_results("HAC", maxlags=4, use_correction=True) print(res_hac4.summary()) print("\n\n") tt = res_hac4.t_test(np.eye(len(res_hac4.params))) print(tt.summary()) print("\n\n") print(tt.summary_frame()) res_hac4.use_t = False