sandwich | R Documentation |

Constructing sandwich covariance matrix estimators by multiplying bread and meat matrices.

```
sandwich(x, bread. = bread, meat. = meat, ...)
```

`x` |
a fitted model object. |

`bread.` |
either a bread matrix or a function for computing
this via |

`meat.` |
either a bread matrix or a function for computing
this via |

`...` |
arguments passed to the |

`sandwich`

is a simple convenience function that
takes a bread matrix (i.e., estimator of the expectation of the negative
derivative of the estimating functions) and a meat matrix (i.e.,
estimator of the variance of the estimating functions) and multiplies
them to a sandwich with meat between two slices of bread. By default
`bread`

and `meat`

are called.

Some theoretical background along with implementation details is introduced in Zeileis (2006) and also used in Zeileis et al. (2020).

A matrix containing the sandwich covariance matrix estimate.
Typically, this should be an `k \times k`

matrix corresponding
to `k`

parameters.

Zeileis A (2006).
“Object-Oriented Computation of Sandwich Estimators.”
*Journal of Statistical Software*, **16**(9), 1–16.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v016.i09")}

Zeileis A, Köll S, Graham N (2020).
“Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R.”
*Journal of Statistical Software*, **95**(1), 1–36.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.18637/jss.v095.i01")}

`bread`

, `meat`

, `meatHC`

, `meatHAC`

```
x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)
sandwich(fm)
vcovHC(fm, type = "HC")
```

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