sandwich (version 3.1-0)

bread: Bread for Sandwiches

Description

Generic function for extracting an estimator for the bread of sandwiches.

Usage

bread(x, ...)

Value

A matrix containing an estimator for the expectation of the negative derivative of the estimating functions, usually the Hessian. Typically, this should be an \(k \times k\) matrix corresponding to \(k\) parameters. The rows and columns should be named as in coef or terms, respectively.

The default method tries to extract vcov and nobs

and simply computes their product.

Arguments

x

a fitted model object.

...

arguments passed to methods.

References

Zeileis A (2006). “Object-Oriented Computation of Sandwich Estimators.” Journal of Statistical Software, 16(9), 1--16. tools:::Rd_expr_doi("10.18637/jss.v016.i09")

Zeileis A, Köll S, Graham N (2020). “Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R.” Journal of Statistical Software, 95(1), 1--36. tools:::Rd_expr_doi("10.18637/jss.v095.i01")

See Also

lm, glm

Examples

## linear regression
x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)

## bread: n * (x'x)^{-1}
bread(fm)
solve(crossprod(cbind(1, x))) * 10