Object-oriented Computation of Sandwich Estimators

Achim Zeileis

    Publication: Working/Discussion PaperWU Working Paper

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    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.

    Publication series

    SeriesResearch Report Series / Department of Statistics and Mathematics
    Number37

    WU Working Paper Series

    • Research Report Series / Department of Statistics and Mathematics

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