sandwich

Last update 11 December 2023

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 3.0-2, 0.1-1, 0.1-2, 0.1-3, 0.9-0, 1.0-0, 1.0-1, 1.1-0, 1.1-1, 1.9-0, 2.0-0, 2.0-1, 2.0-2, 2.0-3, 2.1-0, 2.2-0, 2.2-1, 2.2-2, 2.2-3, 2.2-4, 2.2-5, 2.2-6, 2.2-7, 2.2-8, 2.2-9, 2.2-10, 2.3-0, 2.3-1, 2.3-2, 2.3-3, 2.3-4, 2.4-0, 2.5-0, 2.5-1, 3.0-0, 3.0-1, 3.1-0

Official website http://cran.r-project.org/web/packages/sandwich/

Source code repository https://github.com/cran/sandwich

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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