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sandwich (version 0.1-3)
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
230,152
Version
0.1-3
License
GPL version 2
Maintainer
Achim Zeileis
Last Published
September 16th, 2024
Functions in sandwich (0.1-3)
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vcovHC
Heteroskedasticity-Consistent Covariance Matrix Estimation
estfun
Extract Estimating Functions
weightsLumley
Weighted Empirical Adaptive Variance Estimation
weightsAndrews
Kernel-based HAC Covariance Matrix Estimation
kweights
Kernel Weights
isoacf
Isotonic Autocorrelation Function
vcovHAC
Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation