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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GEE Std. Error Estimators: Pros and Cons of using jack-knife or bootstrap estimator of std. errors rather than sandwich when clusters$>30$?

What are the Advantages and disadvantages of using jack-knife, bootstrap estimator rather than sandwich (Huber-White) estimator in the context of generalized estimating equations? I heard sandwich ...
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30 views

How to determine if correlated errors are a result of using an incorrect functional form?

Assume you have identified that the errors of a regression model are correlated. How should you determine if this is a sign of using incorrect an functional form? That is, a situation that should be ...
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Calculating robust standard errors while leaving out fixed effects in ordered logit?

I am estimating an ordered logit equation with R and trying to calculate robust standard errors. I have several thousand fixed effects in the model, (U.S. counties), and some of these coefficients are ...
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49 views

Why cannot the sandwich SE be used when the Kenward-Roger denominator df are in use?

This question is about mixed models, and the use of both the Kenward-Roger correction (K-R) for small sample sizes and robust (sandwich) estimators for standard errors in the same model. Is it ...
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1answer
26 views

Variance Estimation for Least Squares with Probability Weights

I'm running a simulation study and finding that the nominal SEs of the estimated coefficients when using weights in lm in R are an underestimate of the simulation SE. I have confirmed that $\hat{\beta}...
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29 views

Stationarity vs. Heteroskedasticity

I am reviewing a OLS regression model based on time series data. The variables have been transformed so they are stationary; however, the existence of heteroskedasticity was assumed and the Huber ...
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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)^{-...
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181 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 ...
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2answers
510 views

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 ...
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1answer
519 views

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 ...
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1k 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 ...
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383 views

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 ...
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3k 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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651 views

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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418 views

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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363 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 ...
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1answer
219 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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81 views

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 ...
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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 ...
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1k views

Clustered (grouped) standard errors MLE in R

I'm doing the following maximum likelihood estimation using mle2 function from bbmle package: ...
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200 views

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 ...
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1answer
101 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 ...
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1k 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 ...
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586 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 (heteroscedasticity consistent) standard ...
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153 views

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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1answer
2k views

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 ...
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540 views

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 ...
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2answers
684 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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1answer
340 views

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 ...
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1answer
2k 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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2answers
10k views

Robust regression inference and Sandwich estimators

Can you give me an example of the use of sandwich estimators in order to perform robust regression inference? I can see the example in ?sandwich, but I don't quite ...
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1answer
725 views

Robust Residual standard error (in R)

I have a question regarding to the concept of robust standard errors. What I found about that topic is, that one can estimate the robust standard error for regression coefficients to eliminate ...