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clubSandwich

clubSandwich provides several cluster-robust variance estimators (i.e., sandwich estimators) for ordinary and weighted least squares linear regression models, two-stage least squares regression models, and generalized linear models. Several adjustments are incorporated to improve small-sample performance. The package includes functions for estimating the variance-covariance matrix and for testing single- and multiple-contrast hypotheses based on Wald test statistics. Tests of single regression coefficients use Satterthwaite or saddlepoint corrections. Tests of multiple-contrast hypotheses use an approximation to Hotelling’s T-squared distribution. Methods are provided for a variety of fitted models, including:

  • lm()
  • mlm()
  • glm()
  • geeglm() (from package geepack)
  • ivreg() (from package ivreg, when estimated using method = "OLS")
  • ivreg() (from package AER)
  • plm() (from package plm),
  • gls() and lme() (from package nlme)
  • lmer() (from package lme4)
  • robu() (from package robumeta)
  • rma.uni() and rma.mv() (from package metafor)

Installing clubSandwich

The package is available on the Comprehensive R Archive Network. To install it, type

install.packages("clubSandwich")

To install the latest development version directly from Github, type:

install.packages("remotes")
remotes::install_github("jepusto/clubSandwich")

Once installed, have a look at the available vignettes by typing:

browseVignettes(package="clubSandwich")