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sandwich (version 2.2-3)
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
199,488
Version
2.2-3
License
GPL-2
Maintainer
Achim Zeileis
Last Published
November 30th, 2009
Functions in sandwich (2.2-3)
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weightsLumley
Weighted Empirical Adaptive Variance Estimation
estfun
Extract Empirical Estimating Functions
vcovHAC
Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation
vcovOPG
Outer Product of Gradients Covariance Matrix Estimation
sandwich
Making Sandwiches with Bread and Meat
Investment
US Investment Data
PublicSchools
US Expenditures for Public Schools
meat
A Simple Meat Matrix Estimator
bread
Bread for Sandwiches
kweights
Kernel Weights
vcovHC
Heteroskedasticity-Consistent Covariance Matrix Estimation
NeweyWest
Newey-West HAC Covariance Matrix Estimation
weightsAndrews
Kernel-based HAC Covariance Matrix Estimation
isoacf
Isotonic Autocorrelation Function