chandwich {chandwich} R Documentation

## chandwich: Chandler-Bate Sandwich Loglikelihood Adjustment

### Description

Performs adjustments of an independence loglikelihood using a robust sandwich estimator of the parameter covariance matrix, based on the methodology in Chandler and Bate (2007). This can be used for cluster correlated data when interest lies in the parameters of the marginal distributions. Functions for profiling the adjusted loglikelihoods are also provided, as are functions for calculating and plotting confidence intervals, for single model parameters, and confidence regions, for pairs of model parameters.

### Details

The main function in the chandwich package is adjust_loglik. It finds the maximum likelihood estimate (MLE) of model parameters based on an independence loglikelihood in which cluster dependence in the data is ignored. The independence loglikelihood is adjusted in a way that ensures that the Hessian of the adjusted loglikelihood coincides with a robust sandwich estimate of the parameter covariance at the MLE. Three adjustments are available: one in which the independence loglikelihood itself is scaled (vertical scaling) and two others where the scaling is in the parameter vector (horizontal scaling).

See Chandler and Bate (2007) for full details and vignette("chandwich-vignette", package = "chandwich") for an overview of the package.

### References

Chandler, R. E. and Bate, S. (2007). Inference for clustered data using the independence loglikelihood. Biometrika, 94(1), 167-183. doi: 10.1093/biomet/asm015

adjust_loglik to adjust a user-supplied loglikelihood.
compare_models to compare nested models using an adjusted loglikelihood ratio test. See also the S3 method anova.chandwich.
conf_intervals to calculate confidence intervals for individual model parameters. See also the S3 method confint.chandwich.
conf_region to calculate a confidence region for a pair of model parameters.