CRAN/E | sandwich

sandwich

Robust Covariance Matrix Estimators

Installation

About

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.

Citation sandwich citation info
sandwich.R-Forge.R-project.org/
Bug report File report

Key Metrics

Version 3.1-0
R ≥ 3.0.0
Published 2023-12-11 300 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks sandwich results

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Maintainer

Maintainer

Achim Zeileis

Authors

Achim Zeileis

aut / cre

Thomas Lumley

aut

Nathaniel Graham

ctb

Susanne Koell

ctb

Material

README
NEWS
Reference manual
Package source

In Views

Econometrics
Finance
Robust

Vignettes

Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R
Object-Oriented Computation of Sandwich Estimators
Econometric Computing with HC and HAC Covariance Matrix Estimators

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

sandwich archive

Depends

R ≥ 3.0.0

Imports

stats
utils
zoo

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