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Ben Enriquez
Ben Enriquez

How to Use Sandwich Package in R for Model-Robust Standard Error Estimation


How to Download and Use the Sandwich Package in R




R is a powerful programming language for statistical computing and data analysis. One of the advantages of R is that it offers a large number of packages that extend its functionality and provide tools for various tasks. In this article, we will focus on one of these packages, called sandwich, which provides robust covariance matrix estimators for different types of models.


What is the Sandwich Package?




The sandwich package is an R package that implements model-robust standard error estimators for cross-sectional, time series, clustered, panel, and longitudinal data. These estimators are useful when some of the assumptions of the model are violated, such as homoscedasticity or independence of errors. In such cases, the usual standard errors may be biased and lead to incorrect inference, such as hypothesis testing or confidence intervals.




download sandwich package in r



What are Sandwich Covariances?




The name sandwich comes from the fact that these covariance matrix estimators have a sandwich-like structure, consisting of two outer "bread" matrices and an inner "meat" matrix. The bread matrices are based on the inverse of some estimate of the Fisher information, which is usually derived from the log-likelihood function of the model. The meat matrix is based on cross-products of the score function, which is the gradient of the log-likelihood function. The sandwich covariance matrix estimator is then obtained by multiplying these three matrices together.


What are the Benefits of Using Sandwich Covariances?




The main benefit of using sandwich covariances is that they are consistent under weaker assumptions than the usual covariances. This means that they converge to the true covariance matrix as the sample size increases, even if some aspects of the model are misspecified. For example, if there is heteroscedasticity (unequal variance) or autocorrelation (correlation among errors) in the data, using sandwich covariances can correct for these problems and provide more reliable standard errors.


How to Install the Sandwich Package from CRAN?




The sandwich package is available on CRAN, which is the official repository for R packages. There are two main ways to install it from CRAN: using the install.packages() function or using the RStudio menu.


Using the install.packages() Function




The install.packages() function is a built-in function in R that allows you to install packages from various sources. To install a package from CRAN, you just need to specify its name as a character string. For example, to install the sandwich package, you can type:


install.packages("sandwich")


This will download and install the latest version of the package from CRAN. You may be asked to choose a CRAN mirror (or server) from which to download the package. You can select any mirror that is close to your location or that works well for you.


You can also install multiple packages at once by using a vector of package names as an argument. For example, to install both sandwich and lmtest (another useful package for testing linear models), you can type:


install.packages(c("sandwich", "lmtest"))


Using the RStudio Menu




If you are using RStudio, which is a popular integrated development environment (IDE) for R, you can also use its graphical user interface (GUI) to install packages from CRAN. To do this, you need to follow these steps:


  • Click Tools Install Packages



  • Select Repository (CR AN) as the source



  • Type the name of the package (or packages) you want to install in the Packages box



  • Click Install



This will also download and install the latest version of the package (or packages) from CRAN. You can also select other options, such as installing dependencies (other packages that are required by the package you want to install) or updating existing packages.


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How to Load and Use the Sandwich Package?




Once you have installed the sandwich package, you need to load it into your R session before you can use it. You also need to load the package that contains the model you want to estimate, such as lm for linear regression or glm for generalized linear models. To load a package, you can use the library() function. For example, to load both sandwich and lm, you can type:


library(sandwich) library(lm)


This will make the functions and objects in these packages available for use. You only need to load a package once per session, unless you restart R or detach the package.


Using the sandwich() Function




The main function in the sandwich package is sandwich(), which computes the sandwich covariance matrix estimator for a fitted model object. The syntax of this function is:


sandwich(x, ...)


where x is the fitted model object and ... are optional arguments that can be used to modify the behavior of the function. For example, you can specify a different type of estimator, such as HC (heteroscedasticity-consistent) or HAC (heteroscedasticity and autocorrelation-consistent), by using the type argument.


To illustrate how to use this function, let's consider a simple linear regression model using the mtcars data set, which is built-in in R. This data set contains information about 32 cars, such as miles per gallon (mpg), number of cylinders (cyl), horsepower (hp), and weight (wt). Suppose we want to model mpg as a function of wt and hp. We can fit this model using the lm() function:


model


This will create a model object called model, which contains various information about the fitted model. To compute the sandwich covariance matrix estimator for this model, we can use the sandwich() function:


sandwich(model)


This will return a matrix that looks like this:


Intercept wt hp ----- --------- ----- ----- Intercept 9.172 -1.621 -0.032 wt -1.621 0.635 0.010 hp -0.032 0.010 0.000 This matrix represents the estimated covariance matrix of the model coefficients, which are intercept, wt, and hp. The diagonal elements are the variances of each coefficient, and the off-diagonal elements are the covariances between pairs of coefficients. To obtain the standard errors of each coefficient, we need to take the square root of the diagonal elements:


SE ----- ----- Intercept 3.028 wt 0.797 hp 0.015 These are the robust standard errors that account for possible heteroscedasticity or autocorrelation in the data.


Using Other Functions in the Sandwich Package




The sandwich package also provides other functions that can be used to perform inference based on the sandwich covariance matrix estimator. For example, you can use the coeftest() function to test hypotheses about the model coefficients, such as whether they are equal to zero or some other value. You can also use the vcovHC() or vcovHAC() functions to compute specific types of


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