bread {sandwich}

Bread for Sandwiches

Description

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

Usage

bread(x, ...)

Arguments

x

a fitted model object.

...

arguments passed to methods.

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.

References

Zeileis A (2006). “Object-Oriented Computation of Sandwich Estimators.” Journal of Statistical Software, 16(9), 1–16. 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. 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