sandwich v0.1-1

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by Achim Zeileis

Robust Covariance Matrix Estimators

Model-robust standard error estimators for time series and longitudinal data.

Functions in sandwich

Name Description
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
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Date 2004-02-18
License GPL version 2

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