sandwich 3.0-2 Unreleased

  • Issue a warning in vcovHC() for HC2/HC3/HC4/HC4m/HC5 if any of the hat values are numerically equal to 1. This leads to numerically unstable covariances, in the most extreme case NaN because the associated residuals are equal to 0 and divided by 0. (Suggested by Ding Peng and John Fox.)

sandwich 3.0-1 2021-05-18

sandwich 3.0-0 2020-10-02

  • Release of version 3.0-0 accompanying the publication of the paper “Various Versatile Variances: An Object-Oriented Implementation of Clustered Covariances in R.” together with Susanne Koell and Nathaniel Graham in the Journal of Statistcal Software at https://doi.org/10.18637/jss.v095.i01. The paper is also provided as a vignette in the package as vignette("sandwich-CL", package = "sandwich").

  • Improved or clarified notation in Equations 6, 9, 21, and 22 (based on feedback from Bettina Gruen).

  • The documentation of the HC1 bias correction for clustered covariances in vignette("sandwich-CL", package = "sandwich") has been corrected (Equation 15). While both the code in vcovCL() and the corresponding documentation ?vcovCL always correctly used (n-1)/(n-k), the vignette had incorrectly stated it as n/(n-k). (Reported by Yves Croissant.)

  • The package is also accompanied by a pkgdown website on R-Forge now:
    https://sandwich.R-Forge.R-project.org/
    This essentially uses the previous content of the package (documentation, vignettes, NEWS) and just formatting was enhanced. But a few new features were also added:

    • A “Get started” vignette for the pkgdown page (but not shipped in the package) providing an introduction to the package and listing all variance-covariance functions provided with links to further details.
    • R/Markdown overview vignettes for the pkgdown page (but also not shipped in the package) linking the Sweave-based PDF vignettes so that they are easily accessible online.
    • A README with very brief overview for the pkgdown title page.
    • A nice logo, kindly provided by Reto Stauffer.
  • All kernel weights functions in kweights() are made symmetric around zero now (suggested by Christoph Hanck). The quadratic spectral kernal is approximated by exp(-c * x^2) rather than 1 for very small x.

  • In case the Formula namespace is loaded, warnings are suppressed now for processing formula specifications like cluster = ~ id in expand.model.frame(). Otherwise warnings may occur with the | separator in multi-part formulas with factors. (Reported by David Hugh-Jones.)

  • The bread() method for mlm objects has been improved to also handle weighted mlm objects. (Suggested by James Pustejovsky.)

sandwich 2.5-1 2019-04-06

  • In various vcov*() functions assuring that the variance-covariance matrix is positive-definite (via fix = TRUE) erroneously dropped the dimnames. Now these are properly preserved. (Reported by Joe Ritter.)

  • Added suppressWarnings(RNGversion("3.5.0")) in those places where set.seed() was used to assure exactly reproducible results from R 3.6.0 onwards.

sandwich 2.5-0 2018-08-17

  • Enhanced vignette("sandwich-CL", package = "sandwich") by better describing the background of clustered covariances and being more precise in the mathematical notation. Documentation for the new features (see below, e.g., the formula cluster specification and the vcovBS() methods) has been added.

  • In vcovCL(), vcovPL(), vcovPC(), and vcovBS(), the cluster argument (and potentially also order.by) can be specified by a formula - provided that expand.model.frame(x, cluster) works for the model object x.

  • The cluster and/or order.by are processed accordingly if observations were dropped in the NA processing of the model object x (provided x$na.action is available).

  • New dedicated vcovBS() method for lm objects that (a) provides many more bootstrapping techniques applicable to linear models (e.g., residual-based or wild bootstrap), (b) computes the bootstrap coefficients more efficiently with lm.fit() or qr.coef() rather than update().

  • New dedicated vcovBS() method for glm objects that uses "xy" bootstrap like the default method but uses glm.fit() instead of update() and hence is slightly faster.

  • All vcovBS() methods (default, glm, and lm) facilitate parallel bootstrapping by changing the applyfun from the default lapply(). By setting cores either parallel::parLapply() (on Windows) or parallel::mclapply() (otherwise) are used.

  • Default handling of missing parameter estimates in vcovBS() changed from "everything" to "pairwise.complete.obs" and allow modification of cov(..., use = ...). This is relevant if not all parameters can be re-estimated on the bootstrap samples, e.g., for dummy variables of relatively rare events.

  • Fix of a bug in vcovHC.mlm() (reported by James Pustejovsky). The off-diagonal values of the vcovHC() were computed without preserving the sign of the underlying residuals. This issue did not affect the diagonal because the underlying cross product amounts to squaring all values - but it does matter for the off-diagonal. Also, type = "const" was disabled in this scenario and vcov(...) is simply used instead of vcovHC(..., type = "const").

  • Bug fix in vcovCL()/meatCL() for multi-way clustering (reported by Brian Tsay). If patterns of levels in one clustering variable also occured in another clustering variable, their interactions were sometimes not computed correctly.

  • In vcovCL() for multi-way clustering without cluster adjustment, all cluster adjustment factors are omitted entirely. In previous versions they were scaled with (Gmin - 1)/Gmin, where Gmin is the minimal number of clusters across clustering dimensions.

  • meatHC() and meatHAC() now pass their ... argument to estfun(), just as meatCL(), meatPL(), and meatPC() do as well.

sandwich 2.4-0 2017-07-26

  • Various flavors of clustered sandwich estimators in vcovCL(), panel sandwich estimators in vcovPL(), and panel-corrected estimators a la Beck & Katz in vcovPC(). The new vignette("sandwich-CL", package = "sandwich") introduces all functions and illustrates their use and properties.

  • The new function vcovBS() provides a basic (clustered) bootstrap covariance matrix estimate, using case-based resampling.

sandwich 2.3-4 2015-09-24

  • In meatHAC(), bwAndrews(), and bwNeweyWest() it is now assured that the estfun() is transformed to a plain matrix. Otherwise for time series regression with irregular zoo data, the bandwidth estimation might have failed.

  • In meatHC() it is now assured that the residuals are zero in observations where all regressors and all estimating functions are zero.

sandwich 2.3-3 2015-03-26

  • Now the default methods of vcovHC() and vcovHAC() are also correctly registered as S3 methods in the NAMESPACE.

  • Corrected errors in Equation 3 of vignette("sandwich", package = "sandwich"). The equation incorrectly listed the error terms “u” instead of the observations “y” on the right-hand side (pointed out by Karl-Kuno Kunze).

sandwich 2.3-2 2014-08-24

  • sandwich(), vcovHC(), and vcovHAC() did not work when models were fitted with na.action = na.exclude because the estfun() then (correctly) preserved the NAs. This is now avoided and all functions handle the na.exclude case like the na.omit case. (Thanks to John Fox for spotting the problem and suggesting the solution.)

sandwich 2.3-1 2014-07-20

  • The estfun() methods for survreg and coxph objects incorrectly returned the unweighted estimating functions in case the objects were fitted with weights. Now the weights are properly extracted and used.

sandwich 2.3-0 2013-10-05

  • Updated Depends/Imports: Package zoo is only in Imports now.

sandwich 2.2-10 2013-03-29

sandwich 2.2-9 2012-01-14

  • Added convenience function lrvar() to compute the long-run variance of the mean of a time series: a simple wrapper for kernHAC() and NeweyWest() applied to lm(x ~ 1).

  • lm/mlm/glm models with aliased parameters were not handled correctly (leading to errors in sandwich()/vcovHC() etc.), fixed now.

  • An improved error message is issued if prewhitening in vcovHAC() cannot work due to collinearity in the estimating functions.

sandwich 2.2-8 2011-09-28

  • Fixed a bug in bwNeweyWest() for mlm objects that only have an intercept.

sandwich 2.2-7 2011-06-07

  • HC4m and HC5 estimators, as suggested by Cribari-Neto and coauthors, have been added to vcovHC() and related functions.

sandwich 2.2-6 2010-03-03

  • Bug fix in estfun() method for survreg objects.

sandwich 2.2-5 2010-01-15

  • estfun() methods for hurdle/zeroinfl objects can now handle multiple offset vectors (if any).

sandwich 2.2-4 2009-12-07

  • new vcovHC() method for mlm objects. This simply combines the “meat” for each individual regression and combines the result.

sandwich 2.2-3 2009-11-30

  • New bread() method for mlm objects.

sandwich 2.2-2 2009-11-18

  • Updates in estfun() methods for hurdle/zeroinfl objects.

sandwich 2.2-1 2009-02-05

  • Documentation enhancements for new Rd parser.

sandwich 2.2-0 2008-12-20

  • Added/enhanced bread() and estfun() methods for rlm and mlogit objects (from MASS and mlogit, respectively).

  • Made vcovHC() and vcovHAC() generic with previous function definitions as default methods.

  • Updated vignettes (in particular using the more convenient tobit() interface from the AER package).

sandwich 2.1-0 2008-01-26

sandwich 2.0-3 2007-12-14

  • bread() method for lm objects now calls summary.lm() explicitely (rather than the generic) so that it also works with aov objects.

sandwich 2.0-2 2007-04-13

  • Added new vcovOPG() function for computing the outer product of gradients estimator (works for maximum likelihood estfun() methods only).

  • Scaled estfun() and bread() method for glm objects by dispersion estimate. Hence, this corresponds to maximum likelihood and not deviance methods.

sandwich 2.0-1 2006-11-17

  • Minor fix to bwAndrews() so that it can be easily used in models for multivariate means.

sandwich 2.0-0 2006-08-18

  • A paper based on the "sandwich-OOP" vignette was accepted for publication in volume 16(9) of Journal of Statistical Software at https://doi.org/10.18637/jss.v016.i09.

  • A NAMESPACE was added for the package.

sandwich 1.9-0 2006-05-24

  • The vignette "sandwich-OOP" has been revised, extended and released as a technical report.

  • Several estfun() methods and some of the meat*() functions have been enhanced and made more consistent.

  • Thanks to Henric Nilsson and Giovanni Millo for feedback and testing.

sandwich 1.1-1 2006-02-15

sandwich 1.1-0 2006-01-19

  • sandwich is made object-oriented, so that various types of sandwich estimators can be computed not only for lm models, but also glm, survreg, etc. To achieve object orientation various changes have been made: a sandwich() function is provided which needs a bread and a meat matrix. For the bread, a generic bread() function is provided, for the meat, there are meat(), meatHC() and meatHAC(). All rely on the existence of a estfun() method.

  • vcovHC() and vcovHAC() have been restructured to use sandwich() together with meatHC() and meatHAC(), respectively.

  • A new vignette("sandwich-OOP", package = "sandwich") has been added, explaining the new object-orientation features.

  • Various methods to bread() and estfun() have been added, particularly for survreg and coxph.

sandwich 1.0-1 2005-04-06

sandwich 1.0-0 2004-11-29

sandwich 0.9-0 2004-11-02

sandwich 0.1-3 2004-07-20

  • Improvements in vcovHC() and vcovHAC(). Argument order.by can now be a formula and ar.method can be modified (rather than being hard-coded "ols" which is still the default).

  • Thanks to Hiroyuki Kawakatsu for feedback and testing.

sandwich 0.1-2 2004-04-07

  • Improvements in vcovHC(): The new default is now HC3 and support was added for HC4.

sandwich 0.1-1 2004-02-18

  • First CRAN release of the sandwich package for robust covariance matrix estimators. Provides heteroscedasticity-consistent (HC) and hetereoscedasticity- and autocorrelation-consistent (HAC) covariance matrix estimators. Based on prior work by Thomas Lumley in his weave package.

  • Thanks to Christian Kleiber for support, feedback, and testing.