Skip to content

Small sample correction for AbsorbingLS #220

Open
@arielgoldszmidt

Description

@arielgoldszmidt

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)?

Metadata

Metadata

Assignees

No one assigned

    Projects

    No projects

    Milestone

    No milestone

    Relationships

    None yet

    Development

    No branches or pull requests

    Issue actions