Comments (1)
amichuda
commented on September 15, 2024
sorry for the delay into getting this. I looked into linearmodels. All covariance type parameters are coming in through https://github.com/bashtage/linearmodels/blob/9cc61bdb9ffb27c005d022315636aaaf2aca6fda/linearmodels/panel/covariance.py#L719 and from there each covariance type class inherits from https://github.com/bashtage/linearmodels/blob/9cc61bdb9ffb27c005d022315636aaaf2aca6fda/linearmodels/panel/covariance.py#L38
I think our approach should then be to also inherit HomoskedasticCovariance and provide a plug and play way to just insert into linearmodels
Your implementation of boot_algo_3 is perfect to test this out. Will let you know how it goes!
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