sandwich (Q16660): Difference between revisions

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+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>.
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+GNU General Public License, version 2.0
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+GNU General Public License, version 3.0
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+Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R
+Normal rank
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+Econometric Computing with HC and HAC Covariance Matrix Estimators
+Normal rank
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+Object-Oriented Computation of Sandwich Estimators
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+Software:16660

Latest revision as of 16:10, 21 March 2024

Robust Covariance Matrix Estimators

Language	Label	Description	Also known as
English	sandwich	Robust Covariance Matrix Estimators

Statements

instance of

R package

0 references

software version identifier

3.0-2

publication date

15 June 2022

0 references

0.1-1

publication date

20 February 2004

0 references

0.1-2

publication date

8 April 2004

0 references

0.1-3

publication date

20 July 2004

0 references

0.9-0

publication date

3 November 2004

0 references

1.0-0

publication date

2 December 2004

0 references

1.0-1

publication date

6 April 2005

0 references

1.1-0

publication date

19 January 2006

0 references

1.1-1

publication date

15 February 2006

0 references

1.9-0

publication date

24 May 2006

0 references

2.0-0

publication date

18 August 2006

0 references

2.0-1

publication date

17 November 2006

0 references

2.0-2

publication date

14 April 2007

0 references

2.0-3

publication date

14 December 2007

0 references

2.1-0

publication date

26 January 2008

0 references

2.2-0

publication date

19 December 2008

0 references

2.2-1

publication date

5 February 2009

0 references

2.2-2

publication date

18 November 2009

0 references

2.2-3

publication date

30 November 2009

0 references

2.2-4

publication date

8 December 2009

0 references

2.2-5

publication date

15 January 2010

0 references

2.2-6

publication date

3 March 2010

0 references

2.2-7

publication date

7 June 2011

0 references

2.2-8

publication date

28 September 2011

0 references

2.2-9

publication date

14 January 2012

0 references

2.2-10

publication date

29 March 2013

0 references

2.3-0

publication date

5 October 2013

0 references

2.3-1

publication date

20 July 2014

0 references

2.3-2

publication date

24 August 2014

0 references

2.3-3

publication date

26 March 2015

0 references

2.3-4

publication date

24 September 2015

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2.4-0

publication date

26 July 2017

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2.5-0

publication date

17 August 2018

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2.5-1

publication date

7 April 2019

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3.0-0

publication date

2 October 2020

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3.0-1

publication date

18 May 2021

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3.1-0

publication date

11 December 2023

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11 December 2023

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description

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>.

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GNU General Public License, version 2.0

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GNU General Public License, version 3.0

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imports