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Last data update: 2014.03.03

R: Making Sandwiches with Bread and Meat

sandwich

R Documentation

Making Sandwiches with Bread and Meat

Description

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

Usage

sandwich(x, bread. = bread, meat. = meat, ...)

Arguments

`x`	a fitted model object.
`bread.`	either a bread matrix or a function for computing this via `bread.(x)`.
`meat.`	either a bread matrix or a function for computing this via `meat.(x, ...)`.
`...`	arguments passed to the `meat` function.

Details

sandwich is a simple convenience function that takes a bread matrix (i.e., estimator of the expectation of the negative derivative of the estimating functions) and a meat matrix (i.e., estimator of the variance of the estimating functions) and multiplies them to a sandwich with meat between two slices of bread. By default bread and meat are called.

Some theoretical background along with implementation details is given in Zeileis (2006).

Value

A matrix containing the sandwich covariance matrix estimate. Typically, this should be an k x k matrix corresponding to k parameters.

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)

sandwich(fm)
vcovHC(fm, type = "HC")