Kevin Sheppard
Kevin Sheppard
Sorry, I think it is blank.
Hi @KseniaNedorezova Is there an issue to ask about? Could you post some code demonstrating the issue?
Can you please post some demo code that reproduces the problem.
Any chance you could use one of the demo datasets included with linearmodels to reproduce? That way I can run without needing any data, which might not be available to...
Can you post some runnable code so I can see if I can help you? This doesn't usually happen and so seems to be specific to your setup.
You need to change the `cov_type` in a call to `fit`. https://bashtage.github.io/linearmodels/panel/panel/linearmodels.panel.model.PanelOLS.fit.html#linearmodels.panel.model.PanelOLS.fit
What is formula? The definition of robust depends on whether entity effects are included. Clustered std errors are robust to heteroskedasticity.
What Stata command are you using?
What you have looks correct to me ``` mod = PanelOLS.from_formula(formula, data) reg = mod.fit(cov_type='clustered', clusters=data['var']) ``` You could also use ``` mod = PooledOLS.from_formula(formula, data) reg = mod.fit(cov_type='clustered', clusters=data['var'])...
What happends when you take the ratio of the parameter variance from stata to that from linear models? Stata has a log of magic small sample adjustments it makes. If...