R-sandwich
Port variant standard
Summary Robust Covariance Matrix Estimators
Package version 3.0.1
Homepage https://sandwich.R-Forge.R-project.org/
Keywords cran
Maintainer CRAN Automaton
License Not yet specified
Other variants There are no other variants.
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Last modified 21 NOV 2021, 00:16:18 UTC
Port created 15 APR 2020, 18:11:42 UTC
Subpackage Descriptions
single 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>.
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Package Dependencies by Type
Build (only) gmake:single:ravensys
R:primary:standard
Build and Runtime R-zoo:single:standard
Runtime (only) R:complete:standard
Download groups
main mirror://CRAN/src/contrib
Distribution File Information
f6584b7084f3223bbc0c4722f53280496be73849747819b0cb4e8f3910284a89 1482805 CRAN/sandwich_3.0-1.tar.gz
Ports that require R-sandwich:standard
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R-multcomp:standard Simultaneous Inference in Parametric Models
R-plm:standard Linear Models for Panel Data