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Description
When AbsorbingLS is estimated with debiased = True
, the covariance estimator is scaled by nobs / (nobs - nvar)
, where (nobs, nvar)
is the shape of exog_resid
.
So nvar
here is the number of non-absorbed variables in the regression. Shouldn't the appropriate scaling factor instead be nobs / (nobs - nvar - nabsorbed)
, where nabsorbed
is the number of absorbed variables (or areg.approx_rank
)?