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
ivreg (from package
plm (from package
The package is available on the Comprehensive R Archive Network. To install it, type
To install the latest development version directly from Github, type:
Once installed, have a look at the available vignettes by typing: