sandwich (version 2.2-5)

sandwich: Making Sandwiches with Bread and Meat

Description

Constructing sandwich covariance matrix estimators by multiplying bread and meat matrices.

Usage

sandwich(x, bread. = bread, meat. = meat, ...)

Arguments

x

a fitted model object.

bread.

either a bread matrix or a function for computing this via bread.(x).

meat.

either a bread matrix or a function for computing this via meat.(x, ...).

...

arguments passed to the meat function.

Value

• A matrix containing the sandwich covariance matrix estimate. Typically, this should be an $k \times k$ matrix corresponding to $k$ parameters.

Details

sandwich is a simple convenience function that takes a bread matrix (i.e., estimator of the expectation of the negative derivative of the estimating functions) and a meat matrix (i.e., estimator of the variance of the estimating functions) and multiplies them to a sandwich with meat between two slices of bread. By default bread and meat are called.

Some theoretical background along with implementation details is given in Zeileis (2006).

References

Zeileis A (2006), Object-oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1--16. URL http://www.jstatsoft.org/v16/i09/.

See Also

bread, meat, meatHC, meatHAC

Examples

x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)

sandwich(fm)
vcovHC(fm, type = "HC")