TY - UNPB
T1 - Object-oriented Computation of Sandwich Estimators
AU - Zeileis, Achim
PY - 2006
Y1 - 2006
N2 - 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.
AB - 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.
UR - http://epub.wu-wien.ac.at/dyn/openURL?id=oai:epub.wu-wien.ac.at:epub-wu-01_97d
U2 - 10.57938/2474c66d-4803-4f60-bfab-5766606120de
DO - 10.57938/2474c66d-4803-4f60-bfab-5766606120de
M3 - WU Working Paper
T3 - Research Report Series / Department of Statistics and Mathematics
BT - Object-oriented Computation of Sandwich Estimators
PB - Department of Statistics and Mathematics, WU Vienna University of Economics and Business
CY - Vienna
ER -