sandwich (Q16660)

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Robust Covariance Matrix Estimators
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sandwich
Robust Covariance Matrix Estimators

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    3.0-2
    15 June 2022
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    0.1-1
    20 February 2004
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    0.1-2
    8 April 2004
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    0.1-3
    20 July 2004
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    0.9-0
    3 November 2004
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    1.0-0
    2 December 2004
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    1.0-1
    6 April 2005
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    1.1-0
    19 January 2006
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    1.1-1
    15 February 2006
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    1.9-0
    24 May 2006
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    2.0-0
    18 August 2006
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    2.0-1
    17 November 2006
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    2.0-2
    14 April 2007
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    2.0-3
    14 December 2007
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    2.1-0
    26 January 2008
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    2.2-0
    19 December 2008
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    2.2-1
    5 February 2009
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    2.2-2
    18 November 2009
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    2.2-3
    30 November 2009
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    2.2-4
    8 December 2009
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    2.2-5
    15 January 2010
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    2.2-6
    3 March 2010
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    2.2-7
    7 June 2011
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    2.2-8
    28 September 2011
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    2.2-9
    14 January 2012
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    2.2-10
    29 March 2013
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    2.3-0
    5 October 2013
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    2.3-1
    20 July 2014
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    2.3-2
    24 August 2014
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    2.3-3
    26 March 2015
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    2.3-4
    24 September 2015
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    2.4-0
    26 July 2017
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    2.5-0
    17 August 2018
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    2.5-1
    7 April 2019
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    3.0-0
    2 October 2020
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    3.0-1
    18 May 2021
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    3.1-0
    11 December 2023
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    11 December 2023
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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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