# Questions tagged [sandwich]

Sandwich, or sandwich variance estimation, refers to a method of estimating standard errors from estimating equations that is robust to many model based assumptions. The preferred tag is "robust-standard-error"

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### Calculating sandwich estimator

Considering design matrix $X \in \mathbb{R}^{n\times p}$ $(n>p)$ and response $y\in \mathbb{R}^{n}$. The sandwich estimator can be calculated directly using (X^TX)^{-1}X^T diag(r^2) X (X^TX)^{-...
• 75
1 vote
450 views

### Robust regression with Sandwich estimator

I understand that rlm (robust regression) addresses issues of outliers and influential observations, but does not address heteroskedasticity. I have come to learn ...
• 715
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### How to estimate robust sandwich standard errors when estimating parameters using optim() in R?

Currently I am using numerical optimization in R via the optim() function to estimate some parameters in a complicated ...
• 369
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### How to calculate sandwich standard errors for generalized least squares models?

Dependent data can be modeled using covariance structures like compound symmetry, spherical, AR-1, and other. Using generalized least squares, inference can be made on the regression coefficients ...
• 63.5k
1 vote
2k views

### Wondering what type of covariance correction for standard errors is better: Hansen-Hodrick or Newey-West?

I am wondering what type of covariance correction for standard errors is better: Hansen-Hodrick or Newey-West? Also, does someone know if StatsModels package that ...
• 351
1 vote
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### Different optimal bandwidths of Newey West (1994) in R and STATA

R and STATA gave very different optimal bandwidths for the same data set. It will be greatly appreciated if someone can give me any hint why this happens. Here are two sample codes from R and STATA ...
• 121
8k views

### Standard Errors with Weighted Least Squares Regression

For OLS, $\hat{\beta} = (X'X)^{-1}X'y$, and $\text{var}(\hat{\beta}) = (X'X)^{-1} X' \sigma^2 I X (X'X)^{-1}$. I can reproduce these "by hand". For WLS, with heteroskedastic errors and weights in ...
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1 vote
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### What does setting vcov=sandwich result in? I was expecting that it will result in HC consistent standard errors [closed]

However, when I checked the results using, vcovHC=sandwich, I found different results. Can anyone help me to figure out the difference? ...
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### Multinomial tests of heterogeneity using robust standard errors?

I am looking at differences in frequencies of categorical variables collected at different sites, adjusting for stratification factors of age and sex. I would like to use robust standard error ...
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974 views

### Difference between Quasi-Poisson and Sandwich Covariance

I understand that both methods can be utilized to obtain correct inference in overdispersed Poisson data. What I don't understand is the difference between them: why the analyst would choose one over ...
317 views

### How to implement the sandwich estimator in a semi-parametric situation?

I am trying to implement a sandwich estimator described in Zhang et al. (2012, p. 1012) in very brief terms. The information they give is not enough for me to understand what has been actually done, ...
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### Reference for incremental sandwich covariance from biglm?

I am working on some similar methods to Lumley's biglm wrapper around Miller's AS274 algorithm, and I can't seem to find a reference for his incremental Huber/White ...
1 vote
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### I can't correct the OLS model with heteroskedasticity by the lmtest means

i'm using a selvaggio model to explain the behavior of deposits in a bank's data, and i need to use the estimated parameters, the problem is the heteroskedasticity that i detectect with breusch-pagan ...
2k views

### Clustered (grouped) standard errors MLE in R

I'm doing the following maximum likelihood estimation using mle2 function from bbmle package: ...
• 305
1 vote
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### Application of Huber-White Variance Estimates in GLMER

I'm currently working on an analysis in R using GLMER mixed-effects model with a logistic regression framework under the lme4 package. I would like to include empirical (Huber–White sandwich) variance ...
• 369
201 views

### effect estimate without constant variance (r sandwich vcovHC)

For the sandwich package in R, when using vcovHC(model) where model <- lm(Y~X), what gives the effect estimate regarding the ...
2k views

### Sandwich Estimator in Maximum Likelihood Estimation of Logit

I am estimating a discrete choice model using mixed logit using Halton Draws. So everything is effectively done with MCMC. The code is written in MATLAB. I am using MATLAB's ...
796 views

### How to calculate robust standard error with offset?

I think the default vcovHC in R's sandwich package does not handle offsets in Poisson models. We see this because robust (...
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### Why sandwich estimators aren't always used in OLS regression?

I asked before what is the intuition behind sandwich estimators. I must still missing something because I don't understand why sandwich estimators are not always applied to OLS residuals. Can you ...
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### Robust OLS versus ML with sandwich estimator

If you compare the standard errors of the OLS coefficients with the White correction, versus the ML estimates with the variance estimated with the sandwich estimator, which standard errors do you ...
• 3,449
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### Do robust standard errors protect you from proportional odds assumptions?

Cox Proportional Hazards models are traditionally taught alongside proportional hazards assumptions. There is a corresponding test of proportionality. However, if standard errors are calculated from ...
• 63.5k
1 vote
1k views

### Clustered data WITHOUT multilevel / GEE model?

I have a data-set with around 700 observations from 12 centres. Although the clustering effect as tested in a random intercept model didn't seem significant, it seems more appropriate to use a ...
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### Huber sandwich estimator in quantile regression

I need the description of Huber sandwich estimate method for quantile regression. I found this "a Huber sandwich estimate using a local estimate of the sparsity function". Sparsity function looks ...
3k views

### Pairwise comparisons for a regression with sandwich estimates (in R)

The question in short I run a regression in R and made a boxplot of the response variable with grouping by one of the predictor variables. On this boxplot I'd like to add some information about the ...
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