sandwich.estimator: Pseudo-observation variance sandwich estimator

In pim: Fit Probabilistic Index Models

Pseudo-observation variance sandwich estimator

Description

The functions described here all implement an estimator for the variance of the coefficients. This function is not exported.

Usage

sandwich.estimator(
  U,
  U.diff,
  g1,
  g2,
  shared.factor = 1,
  switched.factor = 1,
  self.factor = 1
)

Arguments

U	See the formula for sandwich estimator: holds U_{ij}
U.diff	See the formula for sandwich estimator: holds the partial derivatives of U.
g1, g2	Index in the original observations of the "left" and "right" part of the pseudo-observations.
shared.factor	Factor by which all UijUik or UijUlj will be multiplied
switched.factor	Factor by which all UijUki or UijUjl will be multiplied
self.factor	Factor by which all UijUij or -UijUji will be multiplied

Value

The matrix of the sandwich estimator

pim documentation built on April 3, 2025, 9:30 p.m.