test HC1 SE

tests/test_fitter.py

@@ -5,6 +5,7 @@
 from tests.utils import generate_sample_data, create_duckdb_database
 import duckdb
 import pandas as pd
+import pyfixest as pf
 
 
 @pytest.fixture(scope="session")
@@ -39,6 +40,14 @@ def get_numpy_coefficients(db_path, formula):
     return coeffs[1:]
 
 
+def get_pyfixest_estimates(db_path, formula):
+    conn = duckdb.connect(db_path)
+    df = conn.execute("SELECT * FROM data").df()
+    conn.close()
+    m_pf = pf.feols(formula, data=df, vcov="hetero")
+    return m_pf
+
+
 @pytest.mark.parametrize(
     "fml",
     [
@@ -50,8 +59,6 @@ def get_numpy_coefficients(db_path, formula):
 def test_fitters(database, fml):
     db_path = database
 
-    uncompressed_coeffs = get_numpy_coefficients(db_path, fml)
-
     m_duck = DuckRegression(
         db_name=db_path,
         table_name="data",
@@ -61,14 +68,28 @@ def test_fitters(database, fml):
         seed=42,
     )
     m_duck.fit()
-
+    m_duck.fit_vcov()
+    # nobs
     np.testing.assert_allclose(
         m_duck.df_compressed["count"].sum(), 1_000_000, rtol=1e-4
     ), "Number of observations are not equal"
 
     results = m_duck.summary()
-    compressed_coeffs = results["point_estimate"][1:]
+    compressed_coeffs, compressed_se = (
+        results["point_estimate"][1:],
+        results["standard_error"][1:],
+    )
+    uncompressed_coeffs = get_numpy_coefficients(db_path, fml)
+    uncompressed_coeffs2 = get_pyfixest_estimates(db_path, fml)
 
     np.testing.assert_allclose(
         compressed_coeffs, uncompressed_coeffs, rtol=1e-4
     ), f"Coefficients are not equal for formula {fml}"
+
+    np.testing.assert_allclose(
+        compressed_coeffs, uncompressed_coeffs2.coef().values[1:], rtol=1e-4
+    ), f"Coefficients are not equal to pyfixest version for formula {fml}"
+
+    np.testing.assert_allclose(
+        compressed_se, uncompressed_coeffs2.se().values[1:], rtol=1e-4
+    ), f"Standard errors are not equal to pyfixest version for formula {fml}"