bread.lmerMod {merDeriv} | R Documentation |
Extract Bread Component for Huber-White Sandwich Estimator of Linear Mixed Effects Models
Description
This function calculates the bread component of the Huber-White
sandwich estimator (variance covariance matrix multiplied by
the number of clusters) for a linear mixed effects model
of class lmerMod
.
Usage
## S3 method for class 'lmerMod'
bread(x, ...)
Arguments
x |
An object of class |
... |
additional arguments, including |
Value
A p by p "bread" matrix for the Huber-White sandwich estimator
(variance-covariance matrix multiplied by the number of clusters), where
p represents the number of parameters.
If full = FALSE
, returns the
variance-covariance matrix of only fixed effect
parameters. If full = TRUE
, returns the variance-covariance matrix
for all fitted parameters (including fixed effect parameters,
random effect (co)variances, and residual variance.
If information = "expected"
, the variance-covariance matrix
is based on the inversion of Fisher information matrix.
If information = "observed"
, the variance-covariance matrix
is based on the observed Fisher information, which is the negative
of Hessian matrix. If ranpar = "var"
, the random effects are
parameterized as variance/covariance; If ranpar = "sd"
,
the random effects are parameterized as standard deviation/correlation.
References
Wang, T. & Merkle, E. C. (2018). Derivative Computations and Robust Standard Errors for Linear Mixed Effects Models in lme4. Journal of Statistical Software, 87(1), 1-16. doi: 10.18637/jss.v087.c01
Zeileis, A. (2006). Object-Oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1-16. https://www.jstatsoft.org/v16/i09/
Examples
## Not run:
# The sleepstudy example
lme4fit <- lmer(Reaction ~ Days + (Days|Subject), sleepstudy, REML = FALSE)
# bread component for all parameters
bread(lme4fit, full = TRUE, information = "expected", ranpar = "var")
## End(Not run)