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Last data update: 2014.03.03

R: A Simple Meat Matrix Estimator

meat	R Documentation

A Simple Meat Matrix Estimator

Description

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

Usage

meat(x, adjust = FALSE, ...)

Arguments

x

a fitted model object.

adjust

logical. Should a finite sample adjustment be made? This amounts to multiplication with

n/(n-k)

where

is the number of observations and

the number of estimated parameters.

...

arguments passed to the estfun function.

Details

For some theoretical background along with implementation details see Zeileis (2006).

Value

k x k

matrix corresponding containing the scaled cross products of the empirical estimating functions.

References

Zeileis A (2006), Object-Oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1–16. URL http://www.jstatsoft.org/v16/i09/.

Examples

x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)

meat(fm)
meatHC(fm, type = "HC")
meatHAC(fm)