vcovCR: Cluster-robust variance-covariance matrix

Description

This is a generic function, with specific methods defined for lm, plm, gls, lme, robu, rma.uni, and rma.mv objects.

vcovCR returns a sandwich estimate of the variance-covariance matrix of a set of regression coefficient estimates.

Usage

vcovCR(obj, cluster, type, target, inverse_var, form, ...)
# S3 method for default
vcovCR(obj, cluster, type, target = NULL,
  inverse_var = FALSE, form = "sandwich", ...)

Arguments

obj

Fitted model for which to calcualte the variance-covariance matrix

cluster

Expression or vector indicating which observations belong to the same cluster. For some classes, the cluster will be detected automatically if not specified.

type

Character string specifying which small-sample adjustment should be used.

target

Optional matrix or vector describing the working variance-covariance model used to calculate the CR2 and CR4 adjustment matrices. If a vector, the target matrix is assumed to be diagonal. If not specified, vcovCR will attempt to infer a value.

inverse_var

Optional logical indicating whether the weights used in fitting the model are inverse-variance. If not specified, vcovCR will attempt to infer a value.

form

Controls the form of the returned matrix. The default "sandwich" will return the sandwich variance-covariance matrix. Alternately, setting form = "meat" will return only the meat of the sandwich and setting form = B, where B is a matrix of appropriate dimension, will return the sandwich variance-covariance matrix calculated using B as the bread.

...

Additional arguments available for some classes of objects.

Value

An object of class c("vcovCR","clubSandwich"), which consists of a matrix of the estimated variance of and covariances between the regression coefficient estimates. The matrix has several attributes:

type: indicates which small-sample adjustment was used
cluster: contains the factor vector that defines independent clusters
bread: contains the bread matrix
v_scale: constant used in scaling the sandwich estimator
est_mats: contains a list of estimating matrices used to calculate the sandwich estimator
adjustments: contains a list of adjustment matrices used to calculate the sandwich estimator
target: contains the working variance-covariance model used to calculate the adjustment matrices. This is needed for calculating small-sample corrections for Wald tests.

Details