https://github.com/jepusto/clubSandwich

Cluster-robust (sandwich) variance estimators with small-sample corrections
https://github.com/jepusto/clubSandwich

Last synced: about 2 months ago
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Cluster-robust (sandwich) variance estimators with small-sample corrections

• Host: GitHub
• URL: https://github.com/jepusto/clubSandwich
• Owner: jepusto
• Created: 2015-06-25T01:17:20.000Z (about 9 years ago)
• Default Branch: main
• Last Pushed: 2024-06-23T14:17:45.000Z (3 months ago)
• Last Synced: 2024-07-28T08:34:40.634Z (about 2 months ago)
• Language: HTML
• Homepage: http://jepusto.github.io/clubSandwich/
• Size: 123 MB
• Stars: 46
• Watchers: 7
• Forks: 8
• Open Issues: 16
• Metadata Files:
  • Readme: README.md

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README

        

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# clubSandwich

`clubSandwich` provides several cluster-robust variance estimators 

(i.e., sandwich estimators) for ordinary and weighted least squares linear regression models, two-stage least squares regression models, and generalized linear models. 

Several adjustments are incorporated to improve small-sample performance. 

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 saddlepoint 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()`

- `mlm()`

- `glm()` 

- `geeglm()` (from package `geepack`)

- `ivreg()` (from package `ivreg`, when estimated using `method = "OLS"`)

- `ivreg()` (from package `AER`)

- `plm()` (from package `plm`), 

- `gls()` and `lme()` (from package `nlme`)

- `lmer()` (from package `lme4`)

- `robu()` (from package `robumeta`)

- `rma.uni()` and `rma.mv()` (from package `metafor`) 

# Installing clubSandwich

The package is available on the Comprehensive R Archive Network. To install it, type 

```{r}

install.packages("clubSandwich")

```

To install the latest development version directly from Github, type:

```{r}

install.packages("remotes")

remotes::install_github("jepusto/clubSandwich")

```

Once installed, have a look at the available vignettes by typing:

```{r}

browseVignettes(package="clubSandwich")

```