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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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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)
Search all functions
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