Merge pull request #171 from bashtage/fix-parzen-weight

Fix parzen weights

Author: bashtage

doc/source/changes.rst

@@ -1,6 +1,11 @@
 Change Log
 ----------
 
+Version 4.10
+============
+* Fixed a bug where weights were incorrectly calculated for HAC covariances
+  when the weight function was `parzen` or `gallant` (:issue:`170`)
+
 Version 4.9
 ===========
 * Changed the return type of Wooldridge's over identification test when
@@ -60,4 +65,4 @@ Version 2.0
 Version 1.0
 ===========
 * Added Instrumental Variable estimators -- 2SLS, LIML and
-  k-class, GMM and continuously updating GMM.
+  k-class, GMM and continuously updating GMM.

linearmodels/iv/covariance.py

@@ -168,7 +168,7 @@ def kernel_weight_parzen(bw, *args):
     """
     z = arange(bw + 1) / (bw + 1)
     w = 1 - 6 * z ** 2 + 6 * z ** 3
-    w[z > 0.5] = 2 * (1 - z[z > 0.5] ** 3)
+    w[z > 0.5] = 2 * (1 - z[z > 0.5]) ** 3
     return w
 
 

linearmodels/tests/iv/test_covariance.py

@@ -55,7 +55,7 @@ def w(k):
         for i in range(k + 1):
             z = i / (k + 1)
             if z > 0.5:
-                w[i] = 2 * (1 - z ** 3)
+                w[i] = 2 * (1 - z) ** 3
             else:
                 w[i] = 1 - 6 * z ** 2 + 6 * z ** 3
         return w