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Object-Oriented Computation of Sandwich Estimators

Open access
Zeileis, Achim·2006·Journal of Statistical Software

Abstract

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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Metadata

Authors
Zeileis, A.
Venue
Journal of Statistical Software
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
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