https://github.com/cran/sandwich
Tip revision: aea3af4238bf8e63d7198bdd82ef9cd49733e7c7 authored by Achim Zeileis on 11 December 2023, 13:50:02 UTC
version 3.1-0
version 3.1-0
Tip revision: aea3af4
README.md
<!-- README.md is generated from README.Rmd. Please edit that file and run rmarkdown::render("README.Rmd") -->
## Robust Covariance Matrix Estimators
Model-robust standard error estimators for cross-sectional, time series,
clustered, panel, and longitudinal data. Modular object-oriented
implementation with support for many model objects, including: `lm`,
`glm`, `fixest`, `survreg`, `coxph`, `mlogit`, `polr`, `hurdle`, `zeroinfl`,
and beyond.
**Sandwich covariances for general parametric models:**
<img alt="Central limit theorem and sandwich estimator" src="man/figures/README-sandwich.svg" style="border:10px solid transparent">
**Object-oriented implementation in R:**
``` r
library("sandwich")
library("lmtest")
data("PetersenCL", package = "sandwich")
m <- lm(y ~ x, data = PetersenCL)
coeftest(m, vcov = sandwich)
```
## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0297 0.0284 1.05 0.3
## x 1.0348 0.0284 36.45 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
``` r
coeftest(m, vcov = vcovCL, cluster = ~ firm)
```
## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0297 0.0670 0.44 0.66
## x 1.0348 0.0506 20.45 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1