sandwich: Robust Covariance Matrix Estimators
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>.
Version:
3.1-1
Depends:
R (≥ 3.0.0)
Imports:
stats, utils,
zoo
Suggests:
AER,
car,
geepack,
lattice,
lme4,
lmtest,
MASS,
multiwayvcov, parallel,
pcse,
plm,
pscl,
scatterplot3d, stats4,
strucchange,
survival
Published:
2024年09月15日
Author:
Achim Zeileis
ORCID iD
[aut, cre],
Thomas Lumley
ORCID iD
[aut],
Nathaniel Graham
ORCID iD
[ctb],
Susanne Koell [ctb]
Maintainer:
Achim Zeileis <Achim.Zeileis at R-project.org>
NeedsCompilation:
no
Documentation:
Downloads:
Reverse dependencies:
Reverse depends:
AER,
CADFtest,
cjoint,
COUNT,
dhglm,
DiDforBigData,
evian,
gfunctions,
gKRLS,
gmm,
list,
mediation,
merDeriv,
mfx,
midasr,
momentfit,
PeerPerformance,
prais,
RcmdrMisc,
strucchange,
strucchangeRcpp,
vars
Reverse imports:
adventr,
aldvmm,
apm,
ardl.nardl,
autostsm,
bayesdistreg,
beeca,
betareg,
BFpack,
binsreg,
causalOT,
causalQual,
causalSLSE,
causalweight,
censReg,
chantrics,
clubSandwich,
clusterSEs,
cmprskcoxmsm,
contdid,
contrast,
ConvergenceClubs,
crch,
crseEventStudy,
crwbmetareg,
DChaos,
ddecompose,
DIDmultiplegtDYN,
dLagM,
drcte,
eventglm,
ExactMed,
facmodTS,
factorEx,
fChange,
fglsnet,
FindIt,
fixest,
funtimes,
fxregime,
GCCfactor,
gcmr,
GenericML,
glmmTMB,
GLMpack,
glmx,
glogis,
gravity,
Greg,
grf,
gtregression,
GVARX,
GWASTools,
HDTSA,
highfrequency,
iClick,
interflex,
invacost,
IOLS,
ivdoctr,
jtools,
lavaSearch2,
lax,
lfe,
lineartestr,
lite,
lmw,
lpirfs,
maczic,
maicplus,
ManyIVsNets,
matchMulti,
maxLik,
medflex,
mhurdle,
micsr,
mixl,
mlt,
model4you,
ModTools,
monotonicity,
MRTAnalysis,
multcomp,
multiwayvcov,
mzipmed,
nonnest2,
NormData,
npcp,
OPSR,
optic,
outreg,
party,
pcdid,
PlackettLuce,
plm,
PointFore,
propertee,
pubh,
PublicationBiasBenchmark,
quickmatch,
radiant.model,
Rchoice,
RCT2,
rddapp,
rddtools,
rdhte,
rdlocrand,
refitME,
RegCalReliab,
regmedint,
regtools,
RESI,
rifreg,
rigr,
risks,
RobinCar2,
rqlm,
sampcompR,
scDIFtest,
semtree,
sfaR,
singleRcapture,
slm,
sovereign,
SpatialRDD,
speccurvieR,
ssym,
StackImpute,
systemfit,
tbm,
tradepolicy,
trajmsm,
tram,
tramicp,
tramnet,
TrialEmulation,
trtf,
tsdistributions,
tseffects,
tsgarch,
tsissm,
tsmarch,
vcrpart,
weibulltools,
WeightIt,
wildmeta
Reverse suggests:
ANOM,
ARDL,
asympDiag,
BioStatR,
broom,
car,
chandwich,
clarify,
ddml,
dfadjust,
DoubleML,
dyn,
dynlm,
easyViz,
emmeans,
estimatr,
finalfit,
FinTS,
fwb,
geex,
getspanel,
ggeffects,
healthequal,
HSAUR2,
HSAUR3,
huxtable,
insight,
interactions,
ivreg,
lmtest,
madness,
marginaleffects,
margins,
MarkowitzR,
MatchIt,
memisc,
miceadds,
mlt.docreg,
modelbased,
modelsummary,
modmarg,
optweight,
panelr,
parameters,
parglms,
partykit,
performance,
prepost,
pscl,
psychotools,
rifttable,
rineq,
riskCommunicator,
SGDinference,
SharpeR,
SimEngine,
sjPlot,
skedastic,
sketching,
spatialreg,
StratifiedMedicine,
tangram,
texreg,
tidyfinance,
tidyfit,
tstests,
tukeytrend,
vivainsights,
VizTest,
wpa
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