Fix weights in robust standard errors

Author: geomesch

mixalime/__init__.py

@@ -1,4 +1,4 @@
-__version__ = '2.2.8'
+__version__ = '2.2.9'
 import importlib
 
 __min_reqs__ = [

mixalime/diff.py

@@ -86,7 +86,7 @@ def fit(self, data: np.ndarray, params: dict, compute_var=True, sandwich=True):
         if compute_var:
             if sandwich:
                 g = grad_w(r.x)
-                v = (g ** 2).sum()
+                v = (g ** 2 / w).sum()
                 fim = fim(r.x)
                 s = -1 if fim < -1e-9 else 1
                 return r, s * float(1 / fim ** 2 * v)