def test_cov_cluster_2groups(): #comparing cluster robust standard errors to Peterson #requires Petersen's test_data #http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.txt import os cur_dir = os.path.abspath(os.path.dirname(__file__)) fpath = os.path.join(cur_dir,"test_data.txt") pet = np.genfromtxt(fpath) endog = pet[:,-1] group = pet[:,0].astype(int) time = pet[:,1].astype(int) exog = add_constant(pet[:,2], prepend=True) res = OLS(endog, exog).fit() cov01, covg, covt = sw.cov_cluster_2groups(res, group, group2=time) #Reference number from Petersen #http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm bse_petw = [0.0284, 0.0284] bse_pet0 = [0.0670, 0.0506] bse_pet1 = [0.0234, 0.0334] #year bse_pet01 = [0.0651, 0.0536] #firm and year bse_0 = sw.se_cov(covg) bse_1 = sw.se_cov(covt) bse_01 = sw.se_cov(cov01) #print res.HC0_se, bse_petw - res.HC0_se #print bse_0, bse_0 - bse_pet0 #print bse_1, bse_1 - bse_pet1 #print bse_01, bse_01 - bse_pet01 assert_almost_equal(bse_petw, res.HC0_se, decimal=4) assert_almost_equal(bse_0, bse_pet0, decimal=4) assert_almost_equal(bse_1, bse_pet1, decimal=4) assert_almost_equal(bse_01, bse_pet01, decimal=4)
import scikits.statsmodels.api as sm import scikits.statsmodels.sandbox.panel.sandwich_covariance as sw import scikits.statsmodels.sandbox.panel.sandwich_covariance_generic as swg #requires Petersen's test_data #http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.txt pet = np.genfromtxt("test_data.txt") endog = pet[:,-1] group = pet[:,0].astype(int) time = pet[:,1].astype(int) exog = sm.add_constant(pet[:,2], prepend=True) res = sm.OLS(endog, exog).fit() cov01, covg, covt = sw.cov_cluster_2groups(res, group, group2=time) #Reference number from Petersen #http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm bse_petw = [0.0284, 0.0284] bse_pet0 = [0.0670, 0.0506] bse_pet1 = [0.0234, 0.0334] #year bse_pet01 = [0.0651, 0.0536] #firm and year bse_0 = sw.se_cov(covg) bse_1 = sw.se_cov(covt) bse_01 = sw.se_cov(cov01) print res.HC0_se, bse_petw - res.HC0_se print bse_0, bse_0 - bse_pet0 print bse_1, bse_1 - bse_pet1 print bse_01, bse_01 - bse_pet01