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sandwich (version 2.5-0)

Robust Covariance Matrix Estimators

Description

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

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Version

Install

install.packages('sandwich')

Monthly Downloads

185,924

Version

2.5-0

License

GPL-2 | GPL-3

Maintainer

Achim Zeileis

Last Published

August 17th, 2018

Functions in sandwich (2.5-0)

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