clubSandwich

Cluster-Robust (Sandwich) Variance Estimators with Small-Sample Corrections

Provides several cluster-robust variance estimators (i.e., sandwich estimators) for ordinary and weighted least squares linear regression models, including the bias-reduced linearization estimator introduced by Bell and McCaffrey (2002) <http://www.statcan.gc.ca/pub/12-001-x/2002002/article/9058-eng.pdf> and developed further by Pustejovsky and Tipton (2017) <DOI:10.1080/07350015.2016.1247004>. The package includes functions for estimating the variance- covariance matrix and for testing single- and multiple- contrast hypotheses based on Wald test statistics. Tests of single regression coefficients use Satterthwaite or saddle-point corrections. Tests of multiple- contrast hypotheses use an approximation to Hotelling's T-squared distribution. Methods are provided for a variety of fitted models, including lm() and mlm objects, glm(), ivreg() (from package 'AER'), plm() (from package 'plm'), gls() and lme() (from 'nlme'), robu() (from 'robumeta'), and rma.uni() and rma.mv() (from 'metafor').

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Description file content

Package
clubSandwich
Title
Cluster-Robust (Sandwich) Variance Estimators with Small-Sample Corrections
Version
0.3.5
Description
Provides several cluster-robust variance estimators (i.e., sandwich estimators) for ordinary and weighted least squares linear regression models, including the bias-reduced linearization estimator introduced by Bell and McCaffrey (2002) and developed further by Pustejovsky and Tipton (2017) . The package includes functions for estimating the variance- covariance matrix and for testing single- and multiple- contrast hypotheses based on Wald test statistics. Tests of single regression coefficients use Satterthwaite or saddle-point corrections. Tests of multiple- contrast hypotheses use an approximation to Hotelling's T-squared distribution. Methods are provided for a variety of fitted models, including lm() and mlm objects, glm(), ivreg() (from package 'AER'), plm() (from package 'plm'), gls() and lme() (from 'nlme'), robu() (from 'robumeta'), and rma.uni() and rma.mv() (from 'metafor').
URL
BugReports
https://github.com/jepusto/clubSandwich/issues
Depends
R (>= 3.0.0)
License
GPL-3
VignetteBuilder
knitr
LazyData
true
Imports
stats, sandwich
Suggests
Formula, knitr, carData, geepack, metafor, robumeta, nlme, mlmRev, AER, plm (>= 1.6-4), lme4, zoo, testthat, rmarkdown
RoxygenNote
6.1.1
Encoding
UTF-8
Language
en-US
NeedsCompilation
no
Packaged
2019-05-14 21:06:37 UTC; jep2963
Author
James Pustejovsky [aut, cre] ()
Maintainer
James Pustejovsky
Repository
CRAN
Date/Publication
2019-05-14 21:40:14 UTC

install.packages('clubSandwich')

0.3.5

3 months ago

https://github.com/jepusto/clubSandwich

James Pustejovsky

GPL-3

Depends on

R (>= 3.0.0)

Imports

stats, sandwich

Suggests

Formula, knitr, carData, geepack, metafor, robumeta, nlme, mlmRev, AER, plm (>= 1.6-4), lme4, zoo, testthat, rmarkdown

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