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sandwich (version 0.1-1)
Robust Covariance Matrix Estimators
Description
Model-robust standard error estimators for time series and longitudinal data.
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Install
install.packages('sandwich')
Monthly Downloads
187,335
Version
0.1-1
License
GPL version 2
Maintainer
Achim Zeileis
Last Published
February 18th, 2004
Functions in sandwich (0.1-1)
Search functions
kweights
Kernel Weights
estfun
Extract Estimating Functions
vcovHAC
Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation
vcovHC
Heteroskedasticity-Consistent Covariance Matrix Estimation
isoacf
Isotonic Autocorrelation Function
weightsLumley
Weighted Empirical Adaptive Variance Estimation
weightsAndrews
Kernel-based HAC Covariance Matrix Estimation