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Mention self._vcov in docs #527

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merged 9 commits into from
Jul 6, 2024
Merged

Mention self._vcov in docs #527

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88a791a
feols.vcov() returns covariance matrix
greenguy33 Jun 28, 2024
7372f2b
changed self._vcov to self.vcov in feols.py
greenguy33 Jul 1, 2024
f4e281a
Update quickstart.ipynb with vcov attribute
greenguy33 Jul 1, 2024
c05e12c
Update lpdid.py
s3alfisc Jul 1, 2024
ab24f36
Update quickstart.ipynb
s3alfisc Jul 1, 2024
61e41bb
Merge branch 'master' of https://github.com/py-econometrics/pyfixest
greenguy33 Jul 5, 2024
81be661
Update feols_.py
greenguy33 Jul 5, 2024
2228131
Update quickstart.ipynb
greenguy33 Jul 6, 2024
6f1fb75
.vcov to ._vcov
greenguy33 Jul 6, 2024
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2 changes: 1 addition & 1 deletion pyfixest/estimation/feols_.py
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Original file line number Diff line number Diff line change
Expand Up @@ -478,7 +478,7 @@ def vcov(
# update p-value, t-stat, standard error, confint
self.get_inference()

return self
return self._vcov
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I just realized that things might be a little bit more complicated than just this simple change

Doing as above would introduce a breaking changes as users could no longer run code as

import pyfixest as pf
pf.feols("Y~X1", data = pf.get_data).vcov("hetero").summary()

I'm not really sure if many use such syntax, but I have certainly seen it already =)

One option would be to add a "return_vcov" function argument, which defaults to False, in which case the Feols object would be returned (i.e. the status quo), whereas if True, we'd return the full vcov matrix.

I also wonder if we should add a function that allows users to control if they want to overwrite inferential results in the Feols instance whenever they call .vcov?

I.e. right now, whenever vcov() is called, the _vcov attribute of the Feols instance is updated, and self.get_inference() updates t-statistics, p-values, etc.

What do you think @greenguy33 ?


def _vcov_iid(self):
_N = self._N
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