R/covc.r

In ivlewbel: Uses heteroscedasticity to estimate mismeasured and endogenous regressor models

# Calculate the sandwich covariance estimate
 covc = function(cluster, estfun, N1, K1, NROW1, fm1) {
	cluster = factor(cluster)
    # Calculate the "meat" of the sandwich estimators
	# call this middle to avoid partial matching
    u = apply(estfun, 2, function(x) tapply(x, cluster, sum))
    middle = crossprod(u)/N1
    
    # Calculations for degrees-of-freedom corrections, followed 
    # by calculation of the variance-covariance estimate.
    # NOTE: NROW/N is a kluge to address the fact that sandwich uses the
    # wrong number of rows (includes rows omitted from the regression).
    M = length(levels(cluster))
    dfc = (M/(M-1)) * ((N1-1)/(N1-K1))
    return(dfc * NROW1/N1 * sandwich(fm1, meat.=middle))
  }