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Gunjan Shukla
Gunjan Shukla

How to use sandwich package for model-robust inference in R


How to Download and Use the Sandwich Package in R




If you are looking for a robust and versatile way to estimate the covariance matrix of your model parameters in R, you might want to check out the sandwich package. This package provides a range of covariance matrix estimators that are consistent even when some of the model assumptions are violated, such as heteroscedasticity, autocorrelation, or clustering. In this article, we will show you how to download and use the sandwich package in R, and explain some of its features and alternatives.




sandwich package r download


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What is the Sandwich Package?




The sandwich package is a package for R that implements various robust covariance matrix estimators, also known as sandwich covariances. These estimators are useful when you want to perform inference on your model parameters, such as hypothesis tests or confidence intervals, but you suspect that some of the model assumptions are not met. For example, if your model suffers from heteroscedasticity (unequal variance of the error terms), autocorrelation (correlation of the error terms over time), or clustering (dependence of the observations within groups), then the usual covariance matrix estimator might be biased and lead to incorrect inference. In this case, you can use a sandwich covariance matrix estimator that is consistent under these violations, and plug it into your inference procedure.


Features of the Sandwich Package




The sandwich package has several features that make it a powerful and flexible tool for robust covariance matrix estimation. Some of these features are:



  • It is object-oriented, meaning that it can work with many different model classes, such as lm, glm, survreg, coxph, mlogit, polr, hurdle, zeroinfl, ivreg, betareg, and more. You don't need to modify or adjust your model object to use the sandwich package.



  • It provides a wide range of sandwich covariances for different types of data and models, such as cross-sectional, time series, clustered, panel, longitudinal, generalized linear, survival, count, ordinal, zero-inflated, instrumental variable, beta regression, and more. You can choose the appropriate covariance matrix estimator for your situation.



  • It is modular and extensible, meaning that you can easily combine different components of the sandwich covariances, such as the bread (the inverse of the Fisher information matrix) and the meat (the cross-product of the score functions), or create your own custom components. You can also extend the sandwich package to new model classes by providing S3 methods for estfun (the score function) and bread (the Fisher information matrix).



Alternatives to the Sandwich Package




The sandwich package is not the only option for robust covariance matrix estimation in R. There are some other packages that offer similar or complementary functionality. Some of these packages are:


sandwich package r tutorial


sandwich package r example


sandwich package r documentation


sandwich package r robust standard errors


sandwich package r heteroscedasticity


sandwich package r autocorrelation


sandwich package r cluster


sandwich package r vcov


sandwich package r coeftest


sandwich package r lmtest


sandwich package r bread


sandwich package r meat


sandwich package r kernel


sandwich package r weights


sandwich package r estimators


sandwich package r glm


sandwich package r survreg


sandwich package r coxph


sandwich package r mlogit


sandwich package r polr


sandwich package r hurdle


sandwich package r zeroinfl


sandwich package r vcovHAC


sandwich package r vcovCL


sandwich package r vcovHC


sandwich package r vcovPL


sandwich package r vcovOPG


sandwich package r vcovPC


sandwich package r vcovBS


sandwich package r vcovJK


sandwich package r vcovLumley


sandwich package r vcovCRHC0


sandwich package r vcovCRHC1


sandwich package r vcovCRHC2


sandwich package r vcovCRHC3


sandwich package r vcovCRHC4


sandwich package r vcovCRHC5


sandwich package r vcovCRHC6


sandwich package r NeweyWest


sandwich package r WeilZinbarg


sandwich package r AndrewsHansenTest


sandwich package r AndrewsTest


sandwich package r HansenTest


sandwich package r KieferTest


sandwich package r NeweyWestTest


sandwich package r Waldtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.lmtest.



  • lmtest: This package provides various tests for linear models based on different types of robust covariances. It also has a coeftest function that allows you to perform hypothesis tests on your model coefficients using any covariance matrix estimator.



  • multiwayvcov: This package extends the sandwich package to allow for multiway clustering of standard errors. It also provides functions for computing degrees of freedom adjustments for clustered standard errors.



  • plm: This package provides functions for panel data analysis based on linear models. It also offers various robust covariance matrix estimators for panel data models.



  • pcse: This package implements panel-corrected standard errors for panel data models with cross-sectional dependence.



How to Install and Load the Sandwich Package in RHow to Install and Load the Sandwich Package in R




Installing and loading the sandwich package in R is very easy. You can follow these steps:


Installing from CRAN




The sandwich package is available on CRAN, the Comprehensive R Archive Network, which is the official repository of R packages. To install the sandwich package from CRAN, you can use the install.packages function in R. For example, you can run this code in your R console:


install.packages("sandwich")


This will download and install the latest version of the sandwich package and its dependencies from CRAN. You only need to do this once, unless you want to update the package to a newer version.


Installing from GitHub




If you want to install the development version of the sandwich package, which might have some new features or bug fixes that are not yet on CRAN, you can install it from GitHub, which is a platform for hosting and sharing code. To install the sandwich package from GitHub, you need to have the devtools package installed in R. You can install the devtools package from CRAN using the same install.packages function. For example, you can run this code in your R console:


install.packages("devtools")


Once you have the devtools package installed, you can use the install_github function to install the sandwich package from GitHub. For example, you can run this code in your R console:


devtools::install_github("sandwich-org/sandwich")


This will download and install the latest development version of the sandwich package and its dependencies from GitHub. You might need to do this more often, as the development version might change frequently.


Loading the Sandwich Package




After installing the sandwich package, you need to load it into your R session before you can use it. To load the sandwich package, you can use the library function in R. For example, you can run this code in your R console:


library(sandwich)


This will load the sandwich package and make its functions available for use. You need to do this every time you start a new R session. How to Use the Sandwich Package in R




Now that you have installed and loaded the sandwich package in R, you can start using it to estimate robust covariance matrices for your models. The sandwich package provides a generic function called vcovHC, which stands for variance-covariance matrix heteroscedasticity-consistent, that can be applied to any model object that has methods for estfun and bread. The vcovHC function returns a sandwich covariance matrix estimator that is consistent under heteroscedasticity of unknown form. You can then use this estimator in your inference procedure, such as coeftest from the lmtest package, to obtain robust standard errors, t-statistics, and p-values for your model coefficients.


The vcovHC function has several arguments that allow you to customize the sandwich covariance matrix estimator according to your data and model. Some of these arguments are:



  • type: This argument specifies the type of sandwich estimator to use. The default is type = "HC3", which is a bias-corrected estimator that performs well in small samples. Other options are type = "HC0", which is the original estimator proposed by White (1980), type = "HC1", which is a simple degrees of freedom adjustment, type = "HC2", which is another bias-corrected estimator, and type = "HC4", which is a weighted estimator that accounts for leverage points.



  • order.by: This argument specifies the ordering of the observations for computing the sandwich estimator. The default is order.by = NULL, which means no ordering. This is suitable for cross-sectional data. Other options are order.by = timevar, which means ordering by a time variable. This is suitable for time series data. You can also specify a vector or a formula for the ordering.



  • cluster: This argument specifies the clustering variable for computing the sandwich estimator. The default is cluster = NULL, which means no clustering. This is suitable for independent data. Other options are cluster = groupvar, which means clustering by a group variable. This is suitable for clustered or panel data. You can also specify a vector or a formula for the clustering.





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