Model-robust standard error estimators for cross-sectional, time series,
clustered, panel, and longitudinal data. Modular object-oriented
implementation with support for many model objects, including: lm,
glm, fixest, survreg, coxph, mlogit, polr, hurdle, zeroinfl,
and beyond.
Sandwich covariances for general parametric models:
Object-oriented implementation in R:
library("sandwich")
library("lmtest")
data("PetersenCL", package = "sandwich")
m <- lm(y ~ x, data = PetersenCL)
coeftest(m, vcov = sandwich)## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0297 0.0284 1.05 0.3
## x 1.0348 0.0284 36.45 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
coeftest(m, vcov = vcovCL, cluster = ~ firm)## t test of coefficients:
##
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 0.0297 0.0670 0.44 0.66
## x 1.0348 0.0506 20.45 <2e-16 ***
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1