sandwich v2.5-0
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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 | |
| meat | A Simple Meat Matrix Estimator | |
| vcovBS | (Clustered) Bootstrap Covariance Matrix Estimation | |
| vcovOPG | Outer-Product-of-Gradients Covariance Matrix Estimation | |
| vcovHAC | Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation | |
| sandwich | Making Sandwiches with Bread and Meat | |
| weightsLumley | Weighted Empirical Adaptive Variance Estimation | |
| vcovHC | Heteroskedasticity-Consistent Covariance Matrix Estimation | |
| vcovPC | Panel-Corrected Covariance Matrix Estimation | |
| PetersenCL | Petersen's Simulated Data for Assessing Clustered Standard Errors | |
| vcovCL | Clustered Covariance Matrix Estimation | |
| weightsAndrews | Kernel-based HAC Covariance Matrix Estimation | |
| vcovPL | Clustered Covariance Matrix Estimation for Panel Data | |
| bread | Bread for Sandwiches | |
| PublicSchools | US Expenditures for Public Schools | |
| estfun | Extract Empirical Estimating Functions | |
| isoacf | Isotonic Autocorrelation Function | |
| NeweyWest | Newey-West HAC Covariance Matrix Estimation | |
| InstInnovation | Innovation and Institutional Ownership | |
| Investment | US Investment Data | |
| kweights | Kernel Weights | |
| lrvar | Long-Run Variance of the Mean | |
| No Results! | ||
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 | ||
| No Results! | ||
Last month downloads
Details
| Date | 2018-08-17 |
| License | GPL-2 | GPL-3 |
| NeedsCompilation | no |
| Packaged | 2018-08-17 10:34:51 UTC; zeileis |
| Repository | CRAN |
| Date/Publication | 2018-08-17 11:55:39 UTC |
| suggests | AER , car , geepack , lattice , lmtest , MASS , multiwayvcov , parallel , pcse , plm , pscl , scatterplot3d , stats4 , strucchange , survival |
| depends | R (>= 2.10.0) |
| imports | stats , utils , zoo |
| Contributors | Nathaniel Graham, Thomas Lumley, Susanne Berger |
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