Add Clustered Standard Errors Support #996
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- Implement clustered variance calculation in StatsModelsLinearRegression and StatsModels2SLS - Add cov_type='clustered' parameter to OrthoIV estimator - Add tests validating against statsmodels implementation Signed-off-by: Mikayel Sukiasyan <mikayels@amazon.com>
… to handle groups=None Signed-off-by: Mikayel Sukiasyan <mikayels@amazon.com>
Signed-off-by: Mikayel Sukiasyan <mikayels@amazon.com>
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Adding support for cluster-robust standard errors.
Implementation:
StatsModelsLinearRegressionandStatsModels2SLSclasses, using existing groups parameter plumbing. Matcheslinearmodelspackage implementation.cov_typeparameter toOrthoIVconstructor to expose the option sincemodel_finalisn't an argument.File modifications:
econml/sklearn_extensions/linear_model.py -Added_compute_clustered_variance()methodseconml/iv/dml/_dml.py- Addedcov_typeparameter toOrthoIVclass, passgroupsparameter tomodel_final.econml/dml/_rlearner.py- Pass groups parameter tomodel_final.econml/tests/test_clustered_se.py- Tests validating againststatsmodelsimplementation (up to small sample correction).First contribution, so please let me know if I've missed anything!