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
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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 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

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