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BUG: OLS with clustering and nw_lags does not error #8360

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BUG: OLS with clustering and nw_lags does not error #8360

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5edb9b9
BUG: OLS with clustering and nw_lags does not error
Sep 22, 2014
e755d50
DOC: Add Bugfix note to v0.15.0
Sep 22, 2014
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3 changes: 3 additions & 0 deletions doc/source/v0.15.0.txt
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Original file line number Diff line number Diff line change
Expand Up @@ -940,3 +940,6 @@ Bug Fixes
- Bug where ``col_space`` was ignored in ``DataFrame.to_string()`` when ``header=False`` (:issue:`8230`).

- Bug in DataFrame terminal display: Setting max_column/max_rows to zero did not trigger auto-resizing of dfs to fit terminal width/height (:issue:`7180`).
- Bug in OLS where running with "cluster" and "nw_lags" parameters did not work correctly, but also did not throw an error
(:issue:`5884', :issue:`8360`).

8 changes: 8 additions & 0 deletions pandas/stats/interface.py
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Expand Up @@ -83,6 +83,14 @@ def ols(**kwargs):
The appropriate OLS object, which allows you to obtain betas and various
statistics, such as std err, t-stat, etc.
"""

if (kwargs.get('cluster') is not None and
kwargs.get('nw_lags') is not None):
raise ValueError(
'Pandas OLS does not work with Newey-West correction '
'and clustering.')


pool = kwargs.get('pool')
if 'pool' in kwargs:
del kwargs['pool']
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12 changes: 7 additions & 5 deletions pandas/stats/tests/test_ols.py
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Expand Up @@ -682,13 +682,15 @@ def testRollingWithTimeCluster(self):
cluster='time')

def testRollingWithNeweyWestAndEntityCluster(self):
self.checkMovingOLS(self.panel_x, self.panel_y,
nw_lags=1, cluster='entity')
self.assertRaises(ValueError, self.checkMovingOLS,
self.panel_x, self.panel_y,
nw_lags=1, cluster='entity')

def testRollingWithNeweyWestAndTimeEffectsAndEntityCluster(self):
self.checkMovingOLS(self.panel_x, self.panel_y,
nw_lags=1, cluster='entity',
time_effects=True)
self.assertRaises(ValueError,
self.checkMovingOLS, self.panel_x, self.panel_y,
nw_lags=1, cluster='entity',
time_effects=True)

def testExpanding(self):
self.checkMovingOLS(
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