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sandwich (version 0.9-0)
Robust Covariance Matrix Estimators
Description
Model-robust standard error estimators for cross-sectional, time series and longitudinal data.
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Install
install.packages('sandwich')
Monthly Downloads
187,335
Version
0.9-0
License
GPL version 2
Maintainer
Achim Zeileis
Last Published
November 2nd, 2004
Functions in sandwich (0.9-0)
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vcovHAC
Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation
NeweyWest
Newey-West HAC Covariance Matrix Estimation
isoacf
Isotonic Autocorrelation Function
estfun
Extract Estimating Functions
weightsAndrews
Kernel-based HAC Covariance Matrix Estimation
vcovHC
Heteroskedasticity-Consistent Covariance Matrix Estimation
PublicSchools
US Expenditures for Public Schools
weightsLumley
Weighted Empirical Adaptive Variance Estimation
Investment
US Investment Data
kweights
Kernel Weights