Package

r-sandwich

Description

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>.

Note