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Last data update: 2014.03.03

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Results 1 - 10 of 13 found.
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vcovHC (Package: sandwich) : Heteroskedasticity-Consistent Covariance Matrix Estimation

Heteroskedasticity-consistent estimation of the covariance matrix of the coefficient estimates in regression models.

● Data Source: CranContrib
● Keywords: regression, ts
● Alias: meatHC, vcovHC, vcovHC.default, vcovHC.mlm
● 0 images

isoacf (Package: sandwich) : Isotonic Autocorrelation Function

Autocorrelation function (forced to be decreasing by isotonic regression).

● Data Source: CranContrib
● Keywords: regression, ts
● Alias: isoacf, pava.blocks
● 0 images

lrvar (Package: sandwich) : Long-Run Variance of the Mean

Convenience function for computing the long-run variance (matrix) of a (possibly multivariate) series of observations.

● Data Source: CranContrib
● Keywords: regression, ts
● Alias: lrvar
● 0 images

meat (Package: sandwich) : A Simple Meat Matrix Estimator

Estimating the variance of the estimating functions of a regression model by cross products of the empirical estimating functions.

● Data Source: CranContrib
● Keywords: regression
● Alias: meat
● 0 images

NeweyWest (Package: sandwich) : Newey-West HAC Covariance Matrix Estimation

A set of functions implementing the Newey & West (1987, 1994) heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators.

● Data Source: CranContrib
● Keywords: regression, ts
● Alias: NeweyWest, bwNeweyWest
● 0 images

sandwich (Package: sandwich) : Making Sandwiches with Bread and Meat

Constructing sandwich covariance matrix estimators by multiplying bread and meat matrices.

● Data Source: CranContrib
● Keywords: regression
● Alias: sandwich
● 0 images

estfun (Package: sandwich) : Extract Empirical Estimating Functions

Generic function for extracting the empirical estimating functions of a fitted model.

● Data Source: CranContrib
● Keywords: regression
● Alias: estfun, estfun.clm, estfun.coxph, estfun.glm, estfun.hurdle, estfun.lm, estfun.mlm, estfun.mlogit, estfun.nls, estfun.polr, estfun.rlm, estfun.survreg, estfun.zeroinfl
● 0 images

bread (Package: sandwich) : Bread for Sandwiches

Generic function for extracting an estimator for the bread of sandwiches.

● Data Source: CranContrib
● Keywords: regression
● Alias: bread, bread.clm, bread.coxph, bread.gam, bread.hurdle, bread.lm, bread.mlm, bread.mlogit, bread.nls, bread.polr, bread.rlm, bread.survreg, bread.zeroinfl
● 0 images

weightsLumley (Package: sandwich) : Weighted Empirical Adaptive Variance Estimation

A set of functions implementing a class of kernel-based heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators as introduced by Andrews (1991).

● Data Source: CranContrib
● Keywords: regression, ts
● Alias: weave, weightsLumley
● 0 images

vcovHAC (Package: sandwich) : Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation

Heteroskedasticity and autocorrelation consistent (HAC) estimation of the covariance matrix of the coefficient estimates in a (generalized) linear regression model.

● Data Source: CranContrib
● Keywords: regression, ts
● Alias: meatHAC, vcovHAC, vcovHAC.default
● 0 images