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Object-oriented Computation of Sandwich Estimators

By Achim Zeileis


Sandwich covariance matrix estimators are a popular tool in applied regression modeling for performing inference that is robust to certain types of model misspecification. Suitable implementations are available in the R system for statistical computing for certain model fitting functions only (in particular lm()), but not for other standard regression functions, such as glm(), nls(), or survreg(). Therefore, conceptual tools and their translation to computational tools in the package sandwich are discussed, enabling the computation of sandwich estimators in general parametric models. Object orientation can be achieved by providing a few extractor functions-most importantly for the empirical estimating functions-from which various types of sandwich estimators can be computed.Series: Research Report Series / Department of Statistics and Mathematic

Topics: covariance matrix estimators / estimating functions / object orientation / R
Publisher: Department of Statistics and Mathematics, WU Vienna University of Economics and Business
Year: 2006
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