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) < https://www150.statcan.gc.ca/n1/pub/12-001-x/2002002/article/9058-eng.pdf> 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'), lmer() (from `lme4`), robu() (from 'robumeta'), and rma.uni() and rma.mv() (from 'metafor').


News

clubSandwich 0.3.3

  • impute_covariance_matrix() now drops unobserved factor levels.
  • updated method for handling residuals from rma.uni and rma.mv objects, for consistency with metafor 2.1-0.

clubSandwich 0.3.2

  • Added conf_int() to provide easy cluster-robust confidence intervals.
  • Added examples to documentaiton for conf_int() and coef_test().

clubSandwich 0.3.1

  • Added "coefs" option to coef_test() to allow testing of subsets of coefficients.
  • Updated tests to use carData instead of car package.

clubSandwich 0.3.0

  • Added methods for ivreg objects.
  • Added methods for mlm objects.
  • Updated residuals_CS.plm to account for changes in plm 1.6-6.

clubSandwich 0.2.3

  • Updated methods for plm objects to account for changes in plm 1.6-6.
  • Added methods for glm objects.
  • Added documentation of "type" options in vcovCR().
  • Added examples for all vcovCR() methods.
  • Provide facility to cluster at higher level than highest random effects for lme and gls objects.
  • Added impute_covariance_matrix() utility function for multivariate meta-analysis.

clubSandwich 0.2.2

  • Added bread() methods for all supported model classes.
  • vcovCR() is now calculated using bread(), and carries attributes for bread, est_mat, and adjustment matrices.
  • vcovCR() gains a 'form' argument to obtain just the meat of the sandwich, or to use a user-specified bread matrix.
  • Refactored internal functions for degrees of freedom calculation to improve speed and memory usage.
  • Bug fixes:
    • updated nobs.plm method to handle first-differenced models

clubSandwich 0.2.1

  • First version released on CRAN.

Reference manual

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install.packages("clubSandwich")

0.5.1 by James Pustejovsky, 19 days ago


https://github.com/jepusto/clubSandwich


Report a bug at https://github.com/jepusto/clubSandwich/issues


Browse source code at https://github.com/cran/clubSandwich


Authors: James Pustejovsky [aut, cre]


Documentation:   PDF Manual  


Task views:


GPL-3 license


Imports stats, sandwich, mathjaxr

Suggests Formula, knitr, carData, geepack, metafor, robumeta, nlme, mlmRev, AER, plm, Matrix, lme4, zoo, testthat, rmarkdown


Suggested by estimatr, ggeffects, panelr, robumeta.


See at CRAN