sandwich: Robust Covariance Matrix Estimators

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Model-robust standard error estimators for cross-sectional, time series, and longitudinal data.

Author
Thomas Lumley [aut], Achim Zeileis [aut, cre]
Date of publication
2015-09-24 12:43:21
Maintainer
Achim Zeileis <Achim.Zeileis@R-project.org>
License
GPL-2 | GPL-3
Version
2.3-4

View on CRAN

Man pages

bread
Bread for Sandwiches
estfun
Extract Empirical Estimating Functions
Investment
US Investment Data
isoacf
Isotonic Autocorrelation Function
kweights
Kernel Weights
lrvar
Long-Run Variance of the Mean
meat
A Simple Meat Matrix Estimator
NeweyWest
Newey-West HAC Covariance Matrix Estimation
PublicSchools
US Expenditures for Public Schools
sandwich
Making Sandwiches with Bread and Meat
vcovHAC
Heteroskedasticity and Autocorrelation Consistent (HAC)...
vcovHC
Heteroskedasticity-Consistent Covariance Matrix Estimation
vcovOPG
Outer Product of Gradients Covariance Matrix Estimation
weightsAndrews
Kernel-based HAC Covariance Matrix Estimation
weightsLumley
Weighted Empirical Adaptive Variance Estimation

Files in this package

sandwich
sandwich/inst
sandwich/inst/CITATION
sandwich/inst/doc
sandwich/inst/doc/sandwich-OOP.pdf
sandwich/inst/doc/sandwich.Rnw
sandwich/inst/doc/sandwich.R
sandwich/inst/doc/sandwich-OOP.Rnw
sandwich/inst/doc/sandwich-OOP.R
sandwich/inst/doc/sandwich.pdf
sandwich/tests
sandwich/tests/Examples
sandwich/tests/Examples/sandwich-Ex.Rout.save
sandwich/NAMESPACE
sandwich/NEWS
sandwich/data
sandwich/data/Investment.rda
sandwich/data/PublicSchools.rda
sandwich/R
sandwich/R/estfun.R
sandwich/R/vcovHAC.R
sandwich/R/sandwich.R
sandwich/R/lrvar.R
sandwich/R/vcovHC.R
sandwich/R/auxiliary.R
sandwich/R/bread.R
sandwich/vignettes
sandwich/vignettes/sandwich.Rout.save
sandwich/vignettes/sandwich.Rnw
sandwich/vignettes/sandwich-OOP.Rout.save
sandwich/vignettes/hac.bib
sandwich/vignettes/sandwich-OOP.Rnw
sandwich/MD5
sandwich/build
sandwich/build/vignette.rds
sandwich/DESCRIPTION
sandwich/THANKS
sandwich/man
sandwich/man/vcovHC.Rd
sandwich/man/isoacf.Rd
sandwich/man/Investment.Rd
sandwich/man/lrvar.Rd
sandwich/man/meat.Rd
sandwich/man/NeweyWest.Rd
sandwich/man/sandwich.Rd
sandwich/man/estfun.Rd
sandwich/man/bread.Rd
sandwich/man/weightsLumley.Rd
sandwich/man/vcovHAC.Rd
sandwich/man/vcovOPG.Rd
sandwich/man/PublicSchools.Rd
sandwich/man/kweights.Rd
sandwich/man/weightsAndrews.Rd