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URL: https://cran.r-project.org/web/packages/sandwich/index.html
Proper Citation: sandwich (RRID:SCR_027691)
Description: 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.
Synonyms: sandwich:Robust Covariance Matrix Estimators
Resource Type: software application, software resource
Keywords: covariance matrix estimators, Eicker-Huber-White sandwich covariance, sandwich covariance,
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