chandwich
Chandler-Bate Sandwich Loglikelihood Adjustment
Paul J. Northrop, Richard E. Chandler
Last update: 25 August 2023
Software version identifier: 1.1.5, 1.0.0, 1.1.0, 1.1.1, 1.1.2, 1.1.3, 1.1.4, 1.1.6
Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0
Performs adjustments of a user-supplied independence loglikelihood function using a robust sandwich estimator of the parameter covariance matrix, based on the methodology in Chandler and Bate (2007) <doi:10.1093/biomet/asm015>. This can be used for cluster correlated data when interest lies in the parameters of the marginal distributions or for performing inferences that are robust to certain types of model misspecification. Functions for profiling the adjusted loglikelihoods are also provided, as are functions for calculating and plotting confidence intervals, for single model parameters, and confidence regions, for pairs of model parameters. Nested models can be compared using an adjusted likelihood ratio test.
