title: Robust Linear Regression Results in Python and Stata Do Not Agree
body: <p>My groupmates and I were doing this assignment that involves running a regression on Fama-French 3 factor model. I used python Statsmodels module and they used Stata and we share the same set of data. For Ordinary Least Squares regression, we got the same answers. But robust regression results for some reason don't agree.</p>
  
  <p>Here is the result from Stata:
  <a href="https://i.stack.imgur.com/OgZFF.jpg" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/OgZFF.jpg" alt="enter image description here"></a></p>
  
  <p>Here is the result from Statsmodels:
  <a href="https://i.stack.imgur.com/ZX7b6.jpg" rel="nofollow noreferrer"><img src="https://i.stack.imgur.com/ZX7b6.jpg" alt="enter image description here"></a></p>
  
  <p>Just wondering what could be the cause of this issue? Any way to resolve it? I also tried different methods (HuberT, RamsayE etc) in Statsmodels and none of them had the same answers as the result from Stata. Any help is appreciated.</p>