Skip to content

Instantly share code, notes, and snippets.

@naenumtou

naenumtou/HAC5.py

Created October 3, 2022 13:44
Show Gist options
  • Save naenumtou/662a32bd358cb71bbf713a113acfa51d to your computer and use it in GitHub Desktop.
Save naenumtou/662a32bd358cb71bbf713a113acfa51d to your computer and use it in GitHub Desktop.
Download ZIP
Raw
HAC5.py
# HAC Result
# 2
lags = int(df.shape[0] ** (1 / 4))
print(f'Number of lags: {lags}')
HAC = newResult.get_robustcov_results(
cov_type = 'HAC',
maxlags = lags
)
# Summary
print(HAC.summary())
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment