Package: sandwich 3.1-1
![](https://github.com/r-forge/sandwich/raw/HEAD/pkg/logo.png)
sandwich: Robust Covariance Matrix Estimators
Object-oriented software for model-robust covariance matrix estimators. Starting out from the basic robust Eicker-Huber-White sandwich covariance methods include: heteroscedasticity-consistent (HC) covariances for cross-section data; heteroscedasticity- and autocorrelation-consistent (HAC) covariances for time series data (such as Andrews' kernel HAC, Newey-West, and WEAVE estimators); clustered covariances (one-way and multi-way); panel and panel-corrected covariances; outer-product-of-gradients covariances; and (clustered) bootstrap covariances. All methods are applicable to (generalized) linear model objects fitted by lm() and glm() but can also be adapted to other classes through S3 methods. Details can be found in Zeileis et al. (2020) <doi:10.18637/jss.v095.i01>, Zeileis (2004) <doi:10.18637/jss.v011.i10> and Zeileis (2006) <doi:10.18637/jss.v016.i09>.
Authors:
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sandwich.pdf |sandwich.html✨
sandwich/json (API)
NEWS
# Install 'sandwich' in R: |
install.packages('sandwich', repos = c('https://r-forge.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://r-forge.r-project.org/projects/sandwich
- InstInnovation - Innovation and Institutional Ownership
- Investment - US Investment Data
- PetersenCL - Petersen's Simulated Data for Assessing Clustered Standard Errors
- PublicSchools - US Expenditures for Public Schools
Last updated 5 months agofrom:061065edf4. Checks:OK: 7. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Sep 02 2024 |
R-4.5-win | OK | Sep 02 2024 |
R-4.5-linux | OK | Sep 02 2024 |
R-4.4-win | OK | Sep 02 2024 |
R-4.4-mac | OK | Sep 02 2024 |
R-4.3-win | OK | Sep 02 2024 |
R-4.3-mac | OK | Sep 02 2024 |
Exports:.vcovBSenvbreadbwAndrewsbwNeweyWestestfunisoacfkernHACkweightslrvarmeatmeatCLmeatHACmeatHCmeatPCmeatPLNeweyWestpava.blockssandwichvcovBSvcovBS.defaultvcovBS.lmvcovCLvcovHACvcovHAC.defaultvcovHCvcovHC.defaultvcovJKvcovOPGvcovPCvcovPLweaveweightsAndrewsweightsLumley
Econometric Computing with HC and HAC Covariance Matrix Estimators
Rendered fromsandwich.Rnw
usingutils::Sweave
on Sep 02 2024.Last update: 2022-06-10
Started: 2016-09-22
Object-Oriented Computation of Sandwich Estimators
Rendered fromsandwich-OOP.Rnw
usingutils::Sweave
on Sep 02 2024.Last update: 2022-06-10
Started: 2016-09-22
Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R
Rendered fromsandwich-CL.Rnw
usingutils::Sweave
on Sep 02 2024.Last update: 2023-08-05
Started: 2017-02-23