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Object-Oriented Computation of Sandwich Estimators
Open accessAbstract
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.
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Cites
Microeconometrics: Methods and Applications
Cameron, A. C., & Trivedi, P. K. (2005) · doi:10.1017/cbo9780511811241 · Cited by 8,092
On The So-Called “Huber Sandwich Estimator” and “Robust Standard Errors”
Freedman, D. A. (2006) · The American Statistician · doi:10.1198/000313006x152207 · Cited by 498
Cited by
Cribari-Neto, F., & Zeileis, A. (2010) · Journal of Statistical Software · doi:10.18637/jss.v034.i02 · Cited by 2,505
Self-citationBretz, F., Hothorn, T., & Westfall, P. (2016) · doi:10.1201/9781420010909 · Cited by 1,233
Spatiotemporal transcriptomic divergence across human and macaque brain development
Zhu, Y., Sousa, A. M. M., Gao, T., Skarica, M., Li, M., Santpere, G., Esteller-Cucala, P., Juan, D., Ferrández-Peral, L., Gulden, F. O., et al. (2018) · Science · doi:10.1126/science.aat8077 · Cited by 414
Vehling, S., Kissane, D. W., Lo, C., Glaesmer, H., Hartung, T. J., Rodin, G., & Mehnert, A. (2017) · Cancer · doi:10.1002/cncr.30749 · Cited by 182
Gray matter network disruptions and amyloid beta in cognitively normal adults
Tijms, B. M., Kate, M. T., Wink, A. M., Visser, P. J., Ecay, M., Clerigue, M., Estanga, A., Garcia Sebastian, M., Izagirre, A., Villanua, J., et al. (2016) · Neurobiology of Aging · doi:10.1016/j.neurobiolaging.2015.10.015 · Cited by 59
Metadata
- Authors
- Zeileis, A.
- Venue
- Journal of Statistical Software
- Publisher
- Foundation for Open Access Statistic
- Published
- 2006
- Volume
- 16
- Issue
- 9
- ISSN
- 1548-7660 (ISSN-L)
- OpenAlex
- W2155729027
- Cited by
- 698
- References
- 2
- FWCI
- 6.12
- Type
- journal article
- Language
- en
- Open access
- diamond
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