R: A Simple Meat Matrix Estimator

meat {sandwich}

R Documentation

A Simple Meat Matrix Estimator

Estimating the variance of the estimating functions of a regression model by cross products of the empirical estimating functions.

meat(x, adjust = FALSE, ...)

`x`	a fitted model object.
`adjust`	logical. Should a finite sample adjustment be made? This amounts to multiplication with $n/(n-k)$ where $n$ is the number of observations and $k$ the number of estimated parameters.
`...`	arguments passed to the `estfun` function.

For some theoretical background along with implementation details see Zeileis (2006).

k x k

matrix corresponding containing the scaled cross products of the empirical estimating functions.

Zeileis A (2006), Object-oriented Computation of Sandwich Estimators. Package vignette.

x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)

meat(fm)
meatHC(fm, type = "HC")
meatHAC(fm)

[Package sandwich version 1.1-1 Index]