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sandwich (version 2.3-4)
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
170,825
Version
2.3-4
License
GPL-2 | GPL-3
Maintainer
Achim Zeileis
Last Published
September 24th, 2015
Functions in sandwich (2.3-4)
Search functions
estfun
Extract Empirical Estimating Functions
weightsAndrews
Kernel-based HAC Covariance Matrix Estimation
kweights
Kernel Weights
PublicSchools
US Expenditures for Public Schools
isoacf
Isotonic Autocorrelation Function
Investment
US Investment Data
vcovOPG
Outer Product of Gradients Covariance Matrix Estimation
bread
Bread for Sandwiches
lrvar
Long-Run Variance of the Mean
vcovHAC
Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation
sandwich
Making Sandwiches with Bread and Meat
vcovHC
Heteroskedasticity-Consistent Covariance Matrix Estimation
NeweyWest
Newey-West HAC Covariance Matrix Estimation
meat
A Simple Meat Matrix Estimator
weightsLumley
Weighted Empirical Adaptive Variance Estimation