# 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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### 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 ...
173 views

### 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)^{-...
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? ...
2k 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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### 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 ...
1 vote
449 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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### 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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### 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 ...
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 ...
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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 ...
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### 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 ...
510 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 ...
1 vote
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### 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 ...
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 ...
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### 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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### 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 ...
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 ...
1 vote
352 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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### 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 ...