What does the covariance type mean in Statsmodels.api?

Question

In Python's statsmodels.api package, one of OLS regression's outputs is the following:

Covariance type: nonrobust

What would that mean?

Answer 1

By default, OLS results does not use covariance robust to heteroscedasticity (non-constant variance). If this can be a problem in your analysis, you can redo it with robust covariance estimators. See OLSResults.get_robustcov_results.