sandwich
Making Sandwiches with Bread and Meat
Constructing sandwich covariance matrix estimators by multiplying bread and meat matrices.
- Keywords
- regression
Usage
sandwich(x, bread. = bread, meat. = meat, …)Arguments
- x
a fitted model object.
- bread.
either a bread matrix or a function for computing this via
bread.(x).- meat.
either a bread matrix or a function for computing this via
meat.(x, …).- …
arguments passed to the
meatfunction.
Details
sandwich is a simple convenience function that
takes a bread matrix (i.e., estimator of the expectation of the negative
derivative of the estimating functions) and a meat matrix (i.e.,
estimator of the variance of the estimating functions) and multiplies
them to a sandwich with meat between two slices of bread. By default
bread and meat are called.
Some theoretical background along with implementation details is given in Zeileis (2006).
Value
A matrix containing the sandwich covariance matrix estimate. Typically, this should be an \(k \times k\) matrix corresponding to \(k\) parameters.
References
Zeileis A (2006), Object-Oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1--16. URL http://www.jstatsoft.org/v16/i09/.
See Also
Examples
# NOT RUN {
x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)
sandwich(fm)
vcovHC(fm, type = "HC")
# }