sandwich v2.4-0

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Robust Covariance Matrix Estimators

Model-robust standard error estimators for cross-sectional, time series, clustered, panel, and longitudinal data.

Functions in sandwich

Name Description
kweights Kernel Weights
lrvar Long-Run Variance of the Mean
InstInnovation Innovation and Institutional Ownership
Investment US Investment Data
PublicSchools US Expenditures for Public Schools
bread Bread for Sandwiches
estfun Extract Empirical Estimating Functions
isoacf Isotonic Autocorrelation Function
NeweyWest Newey-West HAC Covariance Matrix Estimation
PetersenCL Petersen's Simulated Data for Assessing Clustered Standard Errors
vcovHAC Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation
vcovHC Heteroskedasticity-Consistent Covariance Matrix Estimation
vcovBS (Clustered) Bootstrap Covariance Matrix Estimation
vcovCL Clustered Covariance Matrix Estimation
weightsLumley Weighted Empirical Adaptive Variance Estimation
vcovOPG Outer Product of Gradients Covariance Matrix Estimation
vcovPC Panel-Corrected Covariance Matrix Estimation
meat A Simple Meat Matrix Estimator
sandwich Making Sandwiches with Bread and Meat
vcovPL Clustered Covariance Matrix Estimation for panel data
weightsAndrews Kernel-based HAC Covariance Matrix Estimation
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Vignettes of sandwich

Name
hac.bib
sandwich-CL.Rnw
sandwich-CL.Rout.save
sandwich-OOP.Rnw
sandwich-OOP.Rout.save
sandwich.Rnw
sandwich.Rout.save
sim-CL.R
sim-CL.rda
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Details

Date 2017-07-26
License GPL-2 | GPL-3
NeedsCompilation no
Packaged 2017-07-26 19:08:36 UTC; zeileis
Repository CRAN
Date/Publication 2017-07-26 19:36:29 UTC

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