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sandwich  

Robust Covariance Matrix Estimators
View on CRAN: Click here


Download and install sandwich package within the R console
Install from CRAN:
install.packages("sandwich")

Install from Github:
library("remotes")
install_github("cran/sandwich")

Install by package version:
library("remotes")
install_version("sandwich", "3.1-1")



Attach the package and use:
library("sandwich")
Maintained by
Achim Zeileis
[Scholar Profile | Author Map]
First Published: 2004-02-20
Latest Update: 2022-06-15
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. Details can be found in Zeileis et al. (2020) , Zeileis (2004) and Zeileis (2006) .
How to cite:
Achim Zeileis (2004). sandwich: Robust Covariance Matrix Estimators. R package version 3.1-1, https://cran.r-project.org/web/packages/sandwich. Accessed 30 Apr. 2025.
Previous versions and publish date:
0.1-1 (2004-02-20 17:24), 0.1-2 (2004-04-08 08:11), 0.1-3 (2004-07-20 10:30), 0.9-0 (2004-11-03 14:31), 1.0-0 (2004-12-02 13:49), 1.0-1 (2005-04-06 18:44), 1.1-0 (2006-01-19 13:45), 1.1-1 (2006-02-15 02:04), 1.9-0 (2006-05-24 00:36), 2.0-0 (2006-08-18 13:13), 2.0-1 (2006-11-17 00:26), 2.0-2 (2007-04-14 00:26), 2.0-3 (2007-12-14 18:35), 2.1-0 (2008-01-26 00:38), 2.2-0 (2008-12-19 20:55), 2.2-1 (2009-02-05 15:37), 2.2-2 (2009-11-18 04:01), 2.2-3 (2009-11-30 13:18), 2.2-4 (2009-12-08 00:26), 2.2-5 (2010-01-15 09:26), 2.2-6 (2010-03-03 01:20), 2.2-7 (2011-06-07 15:28), 2.2-8 (2011-09-28 22:08), 2.2-9 (2012-01-14 18:31), 2.2-10 (2013-03-29 12:06), 2.3-0 (2013-10-05 17:24), 2.3-1 (2014-07-20 13:21), 2.3-2 (2014-08-24 22:09), 2.3-3 (2015-03-26 19:56), 2.3-4 (2015-09-24 12:43), 2.4-0 (2017-07-26 21:36), 2.5-0 (2018-08-17 13:55), 2.5-1 (2019-04-07 00:01), 3.0-0 (2020-10-02 12:40), 3.0-1 (2021-05-18 11:50), 3.0-2 (2022-06-15 09:10), 3.1-0 (2023-12-11 14:50)
Other packages that cited sandwich R package
View sandwich citation profile
Other R packages that sandwich depends, imports, suggests or enhances
Complete documentation for sandwich
Functions, R codes and Examples using the sandwich R package
Some associated functions: InstInnovation . Investment . NeweyWest . PetersenCL . PublicSchools . bread . estfun . isoacf . kweights . lrvar . meat . sandwich . vcovBS . vcovCL . vcovHAC . vcovHC . vcovJK . vcovOPG . vcovPC . vcovPL . weightsAndrews . weightsLumley . 
Some associated R codes: auxiliary.R . bread.R . estfun.R . lrvar.R . sandwich.R . vcovBS.R . vcovBS.lm.R . vcovCL.R . vcovHAC.R . vcovHC.R . vcovJK.R . vcovPC.R . vcovPL.R .  Full sandwich package functions and examples
Downloads during the last 30 days
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